QuantLib
: a free/open-source library for quantitative finance
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ql
quotes
impliedstddevquote.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
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Copyright (C) 2006 François du Vignaud
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_implied_std_dev_quote_hpp
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#define quantlib_implied_std_dev_quote_hpp
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#include <ql/quote.hpp>
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#include <ql/handle.hpp>
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#include <ql/option.hpp>
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namespace
QuantLib
{
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class
ImpliedStdDevQuote
:
public
Quote
,
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public
LazyObject
{
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public
:
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ImpliedStdDevQuote
(
Option::Type
optionType,
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Handle<Quote>
forward,
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Handle<Quote>
price,
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Real
strike,
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Real
guess,
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Real
accuracy = 1.0e-6,
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Natural
maxIter = 100);
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Real
value
()
const override
;
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bool
isValid
()
const override
;
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protected
:
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void
performCalculations
()
const override
;
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mutable
Real
impliedStdev_
;
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Option::Type
optionType_
;
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Real
strike_
;
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Real
accuracy_
;
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Natural
maxIter_
;
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Handle<Quote>
forward_
;
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Handle<Quote>
price_
;
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};
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}
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#endif
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::ImpliedStdDevQuote
quote for the implied standard deviation of an underlying
Definition:
impliedstddevquote.hpp:36
QuantLib::ImpliedStdDevQuote::performCalculations
void performCalculations() const override
Definition:
impliedstddevquote.cpp:50
QuantLib::ImpliedStdDevQuote::price_
Handle< Quote > price_
Definition:
impliedstddevquote.hpp:58
QuantLib::ImpliedStdDevQuote::forward_
Handle< Quote > forward_
Definition:
impliedstddevquote.hpp:57
QuantLib::ImpliedStdDevQuote::accuracy_
Real accuracy_
Definition:
impliedstddevquote.hpp:55
QuantLib::ImpliedStdDevQuote::value
Real value() const override
returns the current value
Definition:
impliedstddevquote.cpp:40
QuantLib::ImpliedStdDevQuote::maxIter_
Natural maxIter_
Definition:
impliedstddevquote.hpp:56
QuantLib::ImpliedStdDevQuote::optionType_
Option::Type optionType_
Definition:
impliedstddevquote.hpp:53
QuantLib::ImpliedStdDevQuote::impliedStdev_
Real impliedStdev_
Definition:
impliedstddevquote.hpp:52
QuantLib::ImpliedStdDevQuote::strike_
Real strike_
Definition:
impliedstddevquote.hpp:54
QuantLib::ImpliedStdDevQuote::isValid
bool isValid() const override
returns true if the Quote holds a valid value
Definition:
impliedstddevquote.cpp:45
QuantLib::LazyObject
Framework for calculation on demand and result caching.
Definition:
lazyobject.hpp:35
QuantLib::Option::Type
Type
Definition:
option.hpp:39
QuantLib::Quote
purely virtual base class for market observables
Definition:
quote.hpp:37
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Natural
unsigned QL_INTEGER Natural
positive integer
Definition:
types.hpp:43
QuantLib
Definition:
any.hpp:35
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