impliedstddevquote.cpp

/* -*- 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.
*/
 
#include <ql/pricingengines/blackformula.hpp>
#include <ql/quotes/impliedstddevquote.hpp>
#include <utility>
 
namespace QuantLib {
 
    ImpliedStdDevQuote::ImpliedStdDevQuote(Option::Type optionType,
                                           Handle<Quote> forward,
                                           Handle<Quote> price,
                                           Real strike,
                                           Real guess,
                                           Real accuracy,
                                           Natural maxIter)
    : impliedStdev_(guess), optionType_(optionType), strike_(strike), accuracy_(accuracy),
      maxIter_(maxIter), forward_(std::move(forward)), price_(std::move(price)) {
        registerWith(forward_);
        registerWith(price_);
    }
 
    Real ImpliedStdDevQuote::value() const {
        calculate();
        return impliedStdev_;
    }
 
    bool ImpliedStdDevQuote::isValid() const {
        return !price_.empty()    && !forward_.empty() &&
                price_->isValid() &&  forward_->isValid();
    }
 
    void ImpliedStdDevQuote::performCalculations() const {
        static const Real discount = 1.0;
        static const Real displacement = 0.0;
        Real blackPrice = price_->value();
        try {
            impliedStdev_ = blackFormulaImpliedStdDev(optionType_, strike_,
                                                      forward_->value(),
                                                      blackPrice,
                                                      discount, displacement,
                                                      impliedStdev_,
                                                      accuracy_, maxIter_);
        } catch(Error&) {
            impliedStdev_ = 0.0;
        }
    }
}