Re: [Quantlib-dev] LocalvolSurface.cpp

[Michael H. <Mic...@gm...>]

Hallo Dima,

 

I am very curious about your new kernel interpolation. Sounds like this is
something that can help me a lot right now. I would like to try around a bit
with different interpolation methods to overcome my numerical problems. If I
can make my surface smoother with kernel interpolation I will give it a go
and would like to do some testing on it.

 

How do I get your new kernel interpolation running?  Can I check it out from
the SVN?  I checked the trunk and I found a file called
kernelinterpolation.hpp.   Does it work for 2-dimensions or just for one
because for the surface I need it for two dimensions. Can you please also
send me a link or a paper with more informations about it so I can build up
some theoretical knowledge before I start testing.

 

Greetings,

Michael

 

  _____  

From: Dima [mailto:dim...@go...] 
Sent: Mittwoch, 29. April 2009 11:55
To: Klaus Spanderen
Cc: qua...@li...
Subject: Re: [Quantlib-dev] LocalvolSurface.cpp

 

 

Just a remark regarding interpolation. I've implemented kernel

interpolation (its in the trunk), which can be made sufficiently smooth 

by choosing a proper standard deviation of the gaussian kernel. I've heard 

that this smoothness property makes it a good choice for local vol
calibrations.

I don't have any personal experience with that though.