[Quantlib-users] FX Implied Vol Surface class

[vgdev <veg...@gm...>]

Hi,

Does there exist any implementation of  the BlackVarianceSurface suitable
for FX implied vol surfaces?
As FX Implied vols are quoted corresponding to call/put delta, and will thus
have a different set of strikes for various maturities. I.e. we have a
matrix of strikes and a matrix of IVs, but the BlackVarianceSurface only
allows for a vector of strikes. 

br/
V



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