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| vickie | Posted on: 2009/6/12 8:32 |
Just popping in   Joined: 2009/2/4 From: Posts: 11 |
volatility surface Hi,
I'd like to know how to incorporate an implicit and forward volatility surface for MonteCarlo simulations. (I mean forward rates in volatility instead only standard (flat) surface) Is there any matlab code already implemented (and of course already calibrated)? Thanx, V. |
| vanna | Posted on: 2009/6/12 11:06 |
Just can't stay away   Joined: 2007/3/21 From: Posts: 104 |
Re: volatility surface I am not sure which exact model you are looking for. If you want to perform monte carlo simulations out of a volatility surface, there is an example code to do it using local volatility surface here :
http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=11&lid=488 Hope it help. Thanks for using QuantCode!
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