Re: [Quantlib-dev] LocalvolSurface.cpp

[Andrew K. <an...@gm...>]

Hi.
Was it any feedback from Dima?
I'm also curious about this issue with respect to extrapolation problem
during local vol calculation.

By the way, regarding main topic - you should keep in mind, that Duperi
formula is used in continuous case calculation, so dt in lattice method must
be really short (for instance, 3000 per year). I use LocalVolSurface class
in QL PDE framework and it produces good results (see also
http://www.nabble.com/LocalVolSurface-class-to20896055.html#a20896055)


MH_quant wrote:
> 
> 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.
> 
> 

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