| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007, 2009 StatPro Italia srl |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file impliedvolatility.hpp |
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| 21 | \brief Utilities for implied-volatility calculation |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_implied_volatility_hpp |
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| 25 | #define quantlib_implied_volatility_hpp |
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| 26 | |
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| 27 | #include <ql/instrument.hpp> |
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| 28 | #include <ql/quotes/simplequote.hpp> |
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| 29 | #include <ql/processes/blackscholesprocess.hpp> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | namespace detail { |
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| 34 | |
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| 35 | //! helper class for one-asset implied-volatility calculation |
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| 36 | /*! The passed engine must be linked to the passed quote (see, |
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| 37 | e.g., VanillaOption to see how this can be achieved.) |
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| 38 | |
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| 39 | \note this function is meant for developers of option |
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| 40 | classes so that they can implement an |
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| 41 | impliedVolatility() method. |
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| 42 | */ |
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| 43 | class ImpliedVolatilityHelper { |
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| 44 | public: |
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| 45 | static Volatility calculate(const Instrument& instrument, |
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| 46 | const PricingEngine& engine, |
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| 47 | SimpleQuote& volQuote, |
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| 48 | Real targetValue, |
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| 49 | Real accuracy, |
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| 50 | Natural maxEvaluations, |
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| 51 | Volatility minVol, |
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| 52 | Volatility maxVol); |
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| 53 | // utilities |
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| 54 | |
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| 55 | /*! The returned process is equal to the passed one, except |
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| 56 | for the volatility which is flat and whose value is driven |
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| 57 | by the passed quote. |
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| 58 | */ |
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| 59 | static ext::shared_ptr<GeneralizedBlackScholesProcess> clone( |
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| 60 | const ext::shared_ptr<GeneralizedBlackScholesProcess>&, |
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| 61 | const ext::shared_ptr<SimpleQuote>&); |
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| 62 | }; |
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| 63 | |
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| 64 | } |
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| 65 | |
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| 66 | } |
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| 67 | |
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| 68 | #endif |
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| 69 | |
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