Testing LocalVolSurface and exposing to SWIG

lballabio / quantlib-old

The QuantLib C++ library and extensions (warning: out of date)

http://quantlib.org

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Testing LocalVolSurface and exposing to SWIG #351

Closed gouthambs closed 6 years ago

gouthambs commented 8 years ago

I am interested in using LocalVolSurface in python. I can add some test cases for the same. I am planning on checking some option prices. Any other suggestions for testing?

lballabio commented 8 years ago

No, none that comes to mind now.

gouthambs commented 8 years ago

@luigi I played with the LocalVolSurface implementation. I noticed that we don't currently have an arbitrage free smoothing implementation a la Fengler. This leads to the local volatility surface not being smooth and continuous. Any thoughts? @klausspanderen @fametrano Any one else has expertise in this?