[Quantlib-users] FX Implied Vol Surface class

[vgdev]

Hi,

Does there exist any implementation of the BlackVarianceSurface suitable
for FX implied vol surfaces?
As FX Implied vols are quoted corresponding to call/put delta, and will thus
have a different set of strikes for various maturities. I.e. we have a
matrix of strikes and a matrix of IVs, but the BlackVarianceSurface only
allows for a vector of strikes.

br/
V



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[Luigi Ballabio]

Sorry, we don't have such an implementation. If you write one, please
consider contributing it.

Luigi

Post by vgdev
Hi,
Does there exist any implementation of the BlackVarianceSurface suitable
for FX implied vol surfaces?
As FX Implied vols are quoted corresponding to call/put delta, and will thus
have a different set of strikes for various maturities. I.e. we have a
matrix of strikes and a matrix of IVs, but the BlackVarianceSurface only
allows for a vector of strikes.
br/
V
--
http://quantlib.10058.n7.nabble.com/FX-Implied-Vol-Surface-class-tp18377.html
Sent from the quantlib-users mailing list archive at Nabble.com.
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