impliedstddevquote.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
 Copyright (C) 2006 François du Vignaud
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file impliedstddevquote.hpp
    \brief quote for the implied standard deviation of an underlying
*/
 
#ifndef quantlib_implied_std_dev_quote_hpp
#define quantlib_implied_std_dev_quote_hpp
 
#include <ql/quote.hpp>
#include <ql/handle.hpp>
#include <ql/option.hpp>
 
namespace QuantLib {
 
    //! %quote for the implied standard deviation of an underlying
    class ImpliedStdDevQuote : public Quote,
                               public LazyObject {
      public:
        ImpliedStdDevQuote(Option::Type optionType,
                           Handle<Quote> forward,
                           Handle<Quote> price,
                           Real strike,
                           Real guess,
                           Real accuracy = 1.0e-6,
                           Natural maxIter = 100);
        //! \name Quote interface
        //@{
        Real value() const override;
        bool isValid() const override;
        //@}
      protected:
        void performCalculations() const override;
        mutable Real impliedStdev_;
        Option::Type optionType_;
        Real strike_;
        Real accuracy_;
        Natural maxIter_;
        Handle<Quote> forward_;
        Handle<Quote> price_;
    };
 
}
 
#endif