10
$\begingroup$

I'd like to calculate the local volatility surface for a series of option strikes, similar to the surface described in this paper:

http://www.ederman.com/new/docs/gs-local_volatility_surface.pdf

This is the image I am referring to in the aforementioned paper:

enter image description here

I know QuantLib has the ability to do this - but what is the correct C# function call(s)?

I'm using the C# build of QuantLib, from: http://www.resolversystems.com/products/quantlib-binary/

$\endgroup$
8
$\begingroup$

Assuming you're referring to the local-volatility class implemented in <QuantLib/ql/termstructures/volatility/equityfx/localvolsurface.hpp>, it's among the several classes that are not exported through SWIG. You'll have to add it to the SWIG interface files (probably in volatilities.i), regenerate the wrappers and recompile them. If you need instructions on the building process, you can ask on the QuantLib mailing list.

$\endgroup$
  • $\begingroup$ Oooooh, so that's what I'm missing. Thanks! I'll work with the C++ version directly, once that's working I'll let you know. $\endgroup$ – Contango Jun 8 '11 at 18:02

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.