[Quantlib-dev] Re: [Quantlib-users] blackvariancecurve question - used by the LMM code...

[Klaus S. <kla...@fr...>]

Hi Nando,

you wrote
> BlackVarianceCurve is the wrong class for this task. ...
> If I got it right LmVolatilityModel is the LMM core dynamic. The class
> for caplet variance might be std::vector<Volatility> plus an
> interpolation method, without further constraints.
agreed. In order to allow Luigi to ship 0.3.12 I've send him a three line=20
patch, which allows - for this release only - to disable the constraint che=
ck=20
in BlackVarianceCurve using an additional parameter in the constructor.=20
Default is of course to check the constraint. Within the next release I'll=
=20
change CapletVarianceCurve towards replicating the interpolation=20
functionality.

cheers=20
=A0Klaus