[Quantlib-users] Vols adjustment for pricing Asian and Barrier options

[Ashish B. <ash...@gm...>]

Hi there,

We need to price the Asian and Barrier OTC commodity options using the
implied vols of european or american option. Will be using the Cubic spline
(and bi-cubic) method for the interpolating the vols between strikes and
prompt date. Do we have the same available in Quantlib?

Secondly, to reduce the volatility for Asian and Barrier, somebody
suggested to use moment matching. Is the vol adjusted in
the ql.FdBlackScholesAsianEngine and ql.FdBlackScholesBarrierEngine
engines? Or need to adjust before passing it to these? If so, does quantlib
has moment matching classes?

Question raised here too:
https://quant.stackexchange.com/questions/68374/pricing-asian-and-barrier-option-using-quantlib


Thanks in advance
Ashish Bansal