helper class for one-asset implied-volatility calculation More...
#include <impliedvolatility.hpp>
Collaboration diagram for ImpliedVolatilityHelper:
Static Public Member Functions | |
| static Volatility | calculate (const Instrument &instrument, const PricingEngine &engine, SimpleQuote &volQuote, Real targetValue, Real accuracy, Natural maxEvaluations, Volatility minVol, Volatility maxVol) |
| static ext::shared_ptr< GeneralizedBlackScholesProcess > | clone (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, const ext::shared_ptr< SimpleQuote > &) |
Detailed Description
helper class for one-asset implied-volatility calculation
The passed engine must be linked to the passed quote (see, e.g., VanillaOption to see how this can be achieved.)
- Note
- this function is meant for developers of option classes so that they can implement an impliedVolatility() method.
Definition at line 43 of file impliedvolatility.hpp.
Member Function Documentation
◆ calculate()
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Definition at line 61 of file impliedvolatility.cpp.
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◆ clone()
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The returned process is equal to the passed one, except for the volatility which is flat and whose value is driven by the passed quote.
Definition at line 84 of file impliedvolatility.cpp.
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