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How to overwrite the local vol calculation

by Yomi :: Rate this Message:

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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

 « Return to Thread: How to overwrite the local vol calculation

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