Re: [Quantlib-dev] Projecting Forward Volatility Surfaces

[Joseph W. <jo...@gn...>]

One way of doing this is the Carr-Mandan technique.  If you have a set of 
liquid vanilla european option prices at a particular time, you can use a 
damped Fast Fourier Transform to get the volatility surface for a particular 
time and a given set of parameter values.  You then minimize least squares 
over the parameter values.

The problem is that this only works if you have a set of liquid European 
option.  The major piece of infrastructure that isn't in QuantLib is the 
ability to do fast fourier transforms plus maybe some C++ data structures to 
handle the data.

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Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer
http://en.wikiversity.org/wiki/User:Roadrunner