[Quantlib-users] BlackVarianceSurface odd behavior

[Dan V. <dan...@gm...>]

Hi,
I'm running into an odd behavior of the surface when pricing a simple
vanilla option. I am using a surface that includes many strikes, it
has holes, and the short term vols are very high vs longer term. Still I
would expect QL to simply price with the vol queried from the surface.
I'm running into the following issues:

1. The theta of the option varies dramatically if I use the actual surface
or a constant vol built from the vol queried from the surface (note only
the theta changes, the price and other greeks are roughly the same)
2. When pricing with the surface, sometimes the pricer breaks and complains
of falling variances even though I'm not doing any kind of local vol
calculation. Isn't there a way to ask quantlib to simply price with the
actual vol from the surface without looking for arbitrages in the curve.
I'd rather leave the cleaning of the curve for a later date when using LV,
and also I'd rather the pricing be super fast and avoid these checks from
vanillas.

Thank you,
Dan