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Public Member Functions | List of all members
EurodollarFuturesImpliedStdDevQuote Class Reference

quote for the Eurodollar-future implied standard deviation More...

#include <ql/quotes/eurodollarfuturesquote.hpp>

+ Inheritance diagram for EurodollarFuturesImpliedStdDevQuote:
+ Collaboration diagram for EurodollarFuturesImpliedStdDevQuote:

Public Member Functions

 EurodollarFuturesImpliedStdDevQuote (Handle< Quote > forward, Handle< Quote > callPrice, Handle< Quote > putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100)
 
- Public Member Functions inherited from Quote
 ~Quote () override=default
 
virtual Real value () const =0
 returns the current value More...
 
virtual bool isValid () const =0
 returns true if the Quote holds a valid value More...
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
void update () override
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Quote interface

Real impliedStdev_
 
Real strike_
 
Real accuracy_
 
Natural maxIter_
 
Handle< Quoteforward_
 
Handle< QuotecallPrice_
 
Handle< QuoteputPrice_
 
Real value () const override
 returns the current value More...
 
bool isValid () const override
 returns true if the Quote holds a valid value More...
 
void performCalculations () const override
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

quote for the Eurodollar-future implied standard deviation

Definition at line 35 of file eurodollarfuturesquote.hpp.

Constructor & Destructor Documentation

◆ EurodollarFuturesImpliedStdDevQuote()

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

Definition at line 27 of file eurodollarfuturesquote.cpp.

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Member Function Documentation

◆ value()

Real value ( ) const
overridevirtual

returns the current value

Implements Quote.

Definition at line 43 of file eurodollarfuturesquote.cpp.

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◆ isValid()

bool isValid ( ) const
overridevirtual

returns true if the Quote holds a valid value

Implements Quote.

Definition at line 48 of file eurodollarfuturesquote.cpp.

◆ performCalculations()

void performCalculations ( ) const
overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 58 of file eurodollarfuturesquote.cpp.

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Member Data Documentation

◆ impliedStdev_

Real impliedStdev_
mutableprotected

Definition at line 52 of file eurodollarfuturesquote.hpp.

◆ strike_

Real strike_
protected

Definition at line 53 of file eurodollarfuturesquote.hpp.

◆ accuracy_

Real accuracy_
protected

Definition at line 54 of file eurodollarfuturesquote.hpp.

◆ maxIter_

Natural maxIter_
protected

Definition at line 55 of file eurodollarfuturesquote.hpp.

◆ forward_

Handle<Quote> forward_
protected

Definition at line 56 of file eurodollarfuturesquote.hpp.

◆ callPrice_

Handle<Quote> callPrice_
protected

Definition at line 57 of file eurodollarfuturesquote.hpp.

◆ putPrice_

Handle<Quote> putPrice_
protected

Definition at line 58 of file eurodollarfuturesquote.hpp.