QuantLib_EurodollarFuturesImpliedStdDevQuote

Langue: en

Autres versions - même langue

Version: 379102 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::EurodollarFuturesImpliedStdDevQuote -

quote for the Eurodollar-future implied standard deviation

SYNOPSIS


#include <ql/quotes/eurodollarfuturesquote.hpp>

Inherits QuantLib::Quote, and QuantLib::LazyObject.

Public Member Functions


EurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100)

Quote interface

 


Real value () const

bool isValid () const

Protected Member Functions


void performCalculations () const

Protected Attributes


Real impliedStdev_

Real strike_

Real accuracy_

Natural maxIter_

Handle< Quote > forward_

Handle< Quote > callPrice_

Handle< Quote > putPrice_

Detailed Description

quote for the Eurodollar-future implied standard deviation

Member Function Documentation

void performCalculations () const [protected, virtual]This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

Generated automatically by Doxygen for QuantLib from the source code.