QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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eurodollarfuturesquote.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006, 2008 Ferdinando Ametrano
5 Copyright (C) 2006 François du Vignaud
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file eurodollarfuturesquote.hpp
22 \brief quote for the Eurodollar-future implied standard deviation
23*/
24
25#ifndef quantlib_eurodollar_futures_quote_hpp
26#define quantlib_eurodollar_futures_quote_hpp
27
28#include <ql/quote.hpp>
29#include <ql/handle.hpp>
31
32namespace QuantLib {
33
34 //! %quote for the Eurodollar-future implied standard deviation
36 public LazyObject {
37 public:
39 Handle<Quote> callPrice,
40 Handle<Quote> putPrice,
41 Real strike,
42 Real guess = .15,
43 Real accuracy = 1.0e-6,
44 Natural maxIter = 100);
45 //! \name Quote interface
46 //@{
47 Real value() const override;
48 bool isValid() const override;
49 //@}
50 protected:
51 void performCalculations() const override;
59 };
60
61}
62
63#endif
quote for the Eurodollar-future implied standard deviation
Real value() const override
returns the current value
bool isValid() const override
returns true if the Quote holds a valid value
Shared handle to an observable.
Definition: handle.hpp:41
Framework for calculation on demand and result caching.
Definition: lazyobject.hpp:35
purely virtual base class for market observables
Definition: quote.hpp:37
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
Definition: any.hpp:35
purely virtual base class for market observables