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I came across black variance surface in quantlib code. For options, usually volatility surface is used for pricing. When you will use variance surface for pricing or any advantages over volatility surface?

Appreciate any pointers in understanding similarities and differences

Thanks

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  • $\begingroup$ In interpolating over maturity and or strike, it is customary to linearly interpolate the variance. This is made easier if you store the "volatility surface" in variance form (i.e. squared) in the first place, as Quantlib does. But is is not a major issue, and you can take the square root whenever you want ;) $\endgroup$ – Alex C May 1 '17 at 0:45
  • $\begingroup$ so there is no big difference except variance surface is easier in arithematic. Thanks $\endgroup$ – sigirisetti May 2 '17 at 14:51

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