quantlib


How to calculate the local volatilty surface using QuantLib?


I'd like to calculate the local volatility surface for a series of option strikes, similar to the surface described in this paper:
http://www.ederman.com/new/docs/gs-local_volatility_surface.pdf
This is the image I am referring to in the aforementioned paper:
I know QuantLib has the ability to do this - but does anyone know the correct C# function call(s)?
I'm using the C# build of QuantLib, from:
http://www.resolversystems.com/products/quantlib-binary/
Answer quoted from QuantLib:
Assuming you're referring to the local-volatility class implemented in
<QuantLib/ql/termstructures/volatility/equityfx/localvolsurface.hpp>,
it's among the several classes that are not exported through SWIG.
You'll have to add it to the SWIG interface files (probably in
volatilities.i), regenerate the wrappers and recompile them. If you
need instructions on the building process, you can ask on the QuantLib
mailing list.
Quantlib is not free.
I tried:
-EPPlus, which support plotting chart on Excel, but only no surface chart
-NPOI, doesn't support any charts

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How to calculate the local volatilty surface using QuantLib?

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