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QuantLib_detail_ImpliedVolatilityHelper
Langue: en
Version: 376168 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::detail::ImpliedVolatilityHelper -helper class for one-asset implied-volatility calculation
SYNOPSIS
#include <ql/instruments/impliedvolatility.hpp>
Static Public Member Functions
static Volatility calculate (const Instrument &instrument, const PricingEngine &engine, SimpleQuote &volQuote, Real targetValue, Real accuracy, Natural maxEvaluations, Volatility minVol, Volatility maxVol)
static boost::shared_ptr< GeneralizedBlackScholesProcess > clone (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< SimpleQuote > &)
Detailed Description
helper class for one-asset implied-volatility calculation
The passed engine must be linked to the passed quote (see, e.g., VanillaOption to see how this can be achieved.)
Note:
- this function is meant for developers of option classes so that they can implement an impliedVolatility() method.
Member Function Documentation
static boost::shared_ptr<GeneralizedBlackScholesProcess> clone (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< SimpleQuote > &) [static]The returned process is equal to the passed one, except for the volatility which is flat and whose value is driven by the passed quote.
Author
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