[Quantlib-dev] Local Vol

[Theo B. <tb...@ao...>]

Hi All,


Do we have an implementation of Local Vol in Quantlib?  I see a LocalVol surface but does not seem like its used.


Regards


Theo


-----Original Message-----
From: Luigi Ballabio <lui...@gm...>
To: Theo Boafo <tb...@ao...>
CC: quantlib-dev <qua...@li...>
Sent: Wed, 28 Nov 2012 16:39
Subject: Re: [Quantlib-dev] QuantLib-dev Digest, Vol 78, Issue 12


Yes, you can do that.

Luigi


On Wed, Nov 28, 2012 at 5:36 PM, Theo Boafo <tb...@ao...> wrote:
> Hi,
>
> So I can have a new class FloatFloatSwap inheriting from Swap class and
> build the two legs as you suggested?
>
> Regards
>
> Theo
>
>
>
> -----Original Message-----
> From: Luigi Ballabio <lui...@gm...>
> To: Theo Boafo <tb...@ao...>
> CC: quantlib-dev <qua...@li...>
> Sent: Wed, 28 Nov 2012 16:32
> Subject: Re: [Quantlib-dev] QuantLib-dev Digest, Vol 78, Issue 12
>
> You'll have to build the two legs yourself and use the Swap class instead.
>
> Luigi
>
>
> On Wed, Nov 28, 2012 at 5:22 PM, Theo Boafo <tb...@ao...> wrote:
>> Hi,
>>
>> Looking at the vanillaswap it values swaps with  fixed for floating
>> schedules or legs.  I cant see anything doing float for float or am I
>> missing something.
>>
>> Regards
>>
>> Theo
>>
>>
>> ------------------------------------------------------------------------------
>> Keep yourself connected to Go Parallel:
>> INSIGHTS What's next for parallel hardware, programming and related areas?
>> Interviews and blogs by thought leaders keep you ahead of the curve.
>> http://goparallel.sourceforge.net
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>