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Adding Andreasen-Huge volsurfaces #22

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merged 1 commit into from
Nov 4, 2020
Merged

Adding Andreasen-Huge volsurfaces #22

merged 1 commit into from
Nov 4, 2020

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jackgillett101
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An arb-free vol surface and local vol interpolation method that accepts a non-rectangular vol grid. To see that they are vol termstructures, they can be passed into the ts handle class via ql.BlackVolTermStructureHandle(ahSurface) and similar for local vol.

Heston black surface is also re-arranged into the vol surface section and a few variable names changed to camelCase.

@nhaga nhaga merged commit 5a40c6f into nhaga:master Nov 4, 2020
@jackgillett101 jackgillett101 deleted the andraesen_huge_interpolation branch November 4, 2020 00:36
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2 participants