[Quantlib-dev] market vol surfaces

[Simon I. <Sim...@fs...>]

I'm working on equity/fx vol surfaces within QuantLib. However, I don't
see any surface which incorporates some basic definitions of the
underlying instruments (for the implied vol).

Definitions such as:
Spot-settlement lag and calendar
Exercise-settlement lag and calendar

Would it not make sense to do the same as for the yield-term-structures
and have some VolHelpers which can supply this information as well as
some basic functionality (Call prices, Put prices, Implied vol from
price etc.)?

Or am I not looking in the right place?

Thanks,
Simon



Simon Ibbotson
Valuations: Modelling & Methodologies.
Prudential Risk Division | Financial Services Authority
Ext: 65586
Email: Sim...@fs...
 




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