Re: [Quantlib-dev] problems with localVolImpl

[Luigi B. <lui...@gm...>]

Hi Paulius,

On Mon, 2008-02-18 at 13:01 +0000, Paulius Jakubenas wrote:
> When getting a local volatility from implied volatility via
> localVolImpl() (for example using a Monte Carlo simulation),
> from time to time one is given a negative local volatility (which
> generates an exception - as expected). 
> The problem often arises  from small numerical inaccuracies which get 
> augmented when numerically calculating the second derivative.
> 
> Has anyone  already encountered and resolved the problem? 
> If not, I'd like to contribute a fix to the library. This would mean
> changing the interface s.t. the 
> LocalVolTermStructure::localVolImpl method returns a discretized vol -
> not an instantaneous vol. 

I'm not sure that I'm following. What would the discretized vol be?

Later,
	Luigi


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