gmane.comp.finance.quantlib.user

Yomi | 17 Jun 11:55

How to overwrite the local vol calculation


Hi,

I have a local vol surface that has been calibrated to market data.
I want to create a derivated GeneralizedBlackScholesProcess using only this
vol surface.
i could use in my constructor a flat vol, but then after I would like to
link my localVolSurface_ to the one I pass as argument.

Any idea how to do?

Cheers
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Luigi Ballabio | 1 Jul 12:39

Re: How to overwrite the local vol calculation

On Tue, 2008-06-17 at 02:59 -0700, Yomi wrote:
> I have a local vol surface that has been calibrated to market data.
> I want to create a derivated GeneralizedBlackScholesProcess using only this
> vol surface.
> i could use in my constructor a flat vol, but then after I would like to
> link my localVolSurface_ to the one I pass as argument.
> 
> Any idea how to do?

It's not possible with the current implementation. You'll have to patch
the GeneralizedBlackScholesProcess class.

Luigi

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the parts you are reassembling were disassembled by you. Therefore, if 
you can't get them together again, there must be a reason. By all 
means, do not use a hammer. 
-- IBM maintenance manual, 1925 

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Guillaume Pealat | 1 Jul 14:54

Re: How to overwrite the local vol calculation

Thanks Luigi.

I have managed to make it work.

If I have time I will work on the reverse calibration process (from local to implied) and try to contribute it.

BTW, the access to the local volatility is really slow. The performance are not so good with the by default diffusion process.

I have my own parametric local vol, but have you noticed this before?

Regards

2008/7/1 Luigi Ballabio <luigi.ballabio <at> gmail.com>:

On Tue, 2008-06-17 at 02:59 -0700, Yomi wrote:
> I have a local vol surface that has been calibrated to market data.
> I want to create a derivated GeneralizedBlackScholesProcess using only this
> vol surface.
> i could use in my constructor a flat vol, but then after I would like to
> link my localVolSurface_ to the one I pass as argument.
>
> Any idea how to do?

It's not possible with the current implementation. You'll have to patch
the GeneralizedBlackScholesProcess class.

Luigi

--

All parts should go together without forcing. You must remember that
the parts you are reassembling were disassembled by you. Therefore, if
you can't get them together again, there must be a reason. By all
means, do not use a hammer.
-- IBM maintenance manual, 1925

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Luigi Ballabio | 1 Jul 15:06

Re: How to overwrite the local vol calculation

On Tue, 2008-07-01 at 13:54 +0100, Guillaume Pealat wrote:
> BTW, the access to the local volatility is really slow. The
> performance are not so good with the by default diffusion process.
> I have my own parametric local vol, but have you noticed this before?

No---I haven't worked much with local volatility...

Luigi 

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The rule on staying alive as a forecaster is to give 'em a number or 
give 'em a date, but never give 'em both at once. 
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