Re: [Quantlib-users] fixedLocalVolSurface |gridmodellocalvolsurface

[Klaus S. <kl...@sp...>]

Hi 

unfortunately no, it looks like it was overseen in the past to create the interfaces for these classes. I'll create a PR to add them.

best regards
Klaus

On Montag, 20. März 2023 13:48:28 CET Majka Michal 0709 EH via QuantLib-users wrote:


Hello,
 
I am using the Python interface to QuantLib 1.29.
* *
I have an own implementation of the Local Volatility (LV) interpolator and I would like to use it within QuantLib.
 
I would like to represent it as a dense grid with an interpolated LV surface for many tenors and strikes.
 
The goal is to use the [SLV](https://quantlib-python-docs.readthedocs.io/en/latest/stochastic_processes.html#ql.HestonSLVProcess[1]) model and check how the calibration of the leverage function works.
 
Regarding the Heston component of the SLV model: I also have my own calibration of the Heston model.
 
When I use [ql.LocalVolSurface()](https://quantlib-python-docs.readthedocs.io/en/latest/termstructures.html#localvolsurface[2]) I cannot unfortunately replicate my own interpolator - there are slight differences in our implementations and thus it is not an option. But I know that I can replicate plain Vanillas very accurately in my setup with that interpolator.
 
I can see two functions that should perfectly suit my needs:
 
[fixedLocalVolSurface()](https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/volatility/equityfx/localvolsurface.cpp[3])
[gridmodellocalvolsurface()](https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.cpp[4])
Both functions are somehow not available in the Python interface.
 
Is there a way to access those functions through the Python interface?
 
Thank you very much in advance! 



--------
[1] https://quantlib-python-docs.readthedocs.io/en/latest/stochastic_processes.html#ql.HestonSLVProcess
[2] https://quantlib-python-docs.readthedocs.io/en/latest/termstructures.html#localvolsurface
[3] https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/volatility/equityfx/localvolsurface.cpp
[4] https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.cpp