[Quantlib-dev] Fwd: Mutating payoff to generate volatility curve

[Joseph W. <joe...@gm...>]

Hi,

I'm trying to take compute a volatitity surface from pricing data
using the swig python interface.  So what I'd essentially want to do
is something like quote handler only that I'd keep the current price
fixed, and then modify the underlying.

Would this be doable by creating an interface to the payoff function
that allows the strike price to be mutated, or are there some other
gotchas.  The alternative is to create a separate instrument for each
option in the array, but since we are talking about hundreds of
instruments, this seems like overkill.