How to overwrite the local vol calculation

[Yomi]

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

[Luigi Ballabio]

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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[Yomi]

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@...>:

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]

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


--

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.
-- Jane Bryant Quinn



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