Reply To: Formula Volatility Surface with no Gridpoint Rows

Israr Ahmed

One of the motivations behind this is to avoid having explicit Daily Granularity grid-point rows as this has performance issues when calculating Vega.

So ideally would have liked a Composite Vol Curve with no gridpoints – and use something like “replace_curve_dseq(1)” as you have on curves [Option1]

If however this isn’t possible at all … then we may still do this on a Composite Vol Curve that has Daily Gridpoints … which gives less benefit but at least contains the calculation [Option2]

But Option 1 would be ideal.

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