I am trying to generate a ql.HestonSLVMCModel vol surface for FX (to generate paths and price TARFs). To start with I need a local vol surface. In FX, strikes are not fixed but quoted in delta. This complicates the use of ql.BlackVarianceSurface because it requires a rectangular grid of vols. In a post by StackG I found a proposed method ( in the comment of user35980 ) whereby the original vols at given strikes are extrapolated for every given strike at different maturities. I tried this, but th