QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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impliedstddevquote.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006, 2007, 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
23#include <utility>
24
25namespace QuantLib {
26
28 Handle<Quote> forward,
29 Handle<Quote> price,
30 Real strike,
31 Real guess,
32 Real accuracy,
33 Natural maxIter)
34 : impliedStdev_(guess), optionType_(optionType), strike_(strike), accuracy_(accuracy),
35 maxIter_(maxIter), forward_(std::move(forward)), price_(std::move(price)) {
38 }
39
41 calculate();
42 return impliedStdev_;
43 }
44
46 return !price_.empty() && !forward_.empty() &&
47 price_->isValid() && forward_->isValid();
48 }
49
51 static const Real discount = 1.0;
52 static const Real displacement = 0.0;
53 Real blackPrice = price_->value();
54 try {
56 forward_->value(),
57 blackPrice,
58 discount, displacement,
61 } catch(Error&) {
62 impliedStdev_ = 0.0;
63 }
64 }
65}
Black formula.
Base error class.
Definition: errors.hpp:39
Shared handle to an observable.
Definition: handle.hpp:41
void performCalculations() const override
ImpliedStdDevQuote(Option::Type optionType, Handle< Quote > forward, Handle< Quote > price, Real strike, Real guess, Real accuracy=1.0e-6, Natural maxIter=100)
Real value() const override
returns the current value
bool isValid() const override
returns true if the Quote holds a valid value
virtual void calculate() const
Definition: lazyobject.hpp:253
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
quote for the implied standard deviation of an underlying
Definition: any.hpp:35
Real blackFormulaImpliedStdDev(Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real accuracy, Natural maxIterations)
STL namespace.