quantlib-dev

[Quantlib-dev] FX Vol Term Structure

[<tar...@li...>]

Hello,

I am trying to build a forex volatility term structure.

My input data are:
a list of tenors (e.g. 1W, 1M, 3M....)
a matrix of strikes a matrix of implied volatilities.

is there any possibility to build such a type of volatility surface to create 
a forex vol term structure?

thx,
Paolo

Re: [Quantlib-dev] FX Vol Term Structure

[Bojan N. <bo...@bn...>]

"tar...@li..." <tar...@li...> writes:

> My input data are:
> a list of tenors (e.g. 1W, 1M, 3M....)
> a matrix of strikes a matrix of implied volatilities.
>
> is there any possibility to build such a type of volatility surface to create 
> a forex vol term structure?

See the class BlackVarianceSurface
(ql/termstructures/volatility/equityfx/blackvariancesurface.hpp)

Best,
Bojan

-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql