Re: [Quantlib-users] Volatility Surface

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

On Sun, Jan 22, 2012 at 11:11 PM, Christoph Breig
<chr...@go...> wrote:
> is there any possibility to create a volatiltiy surface from which I can
> draw an implied vola for a given moneyness and a given maturity (including
> extrapolation)?

Not for a given moneyness; current implementations draw by maturity and strike.
If that's good enough for you, you can use the BlackVarianceSurface
class; be aware though that it interpolates on variance (vol^2), not
on volatility.

Luigi