Reply To: Formula Volatility Surface with no Gridpoint Rows

Gareth Evenson

What you are trying to do I have generally seen done within the pricing model rather than the volatility surface itself. There is no vol interpolator or constructor plug-in supported (as opposed to curves) for more customised solutions. You may be able to do this with a volatility formula however, as you would if you were creating a composite vol including correlation – which I have done before.

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