impliedvolatility.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007, 2009 StatPro Italia srl
 
 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.
*/
 
#ifndef quantlib_implied_volatility_hpp
#define quantlib_implied_volatility_hpp
 
#include <ql/instrument.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
 
    namespace detail {
 
 
        class ImpliedVolatilityHelper {
          public:
            static Volatility calculate(const Instrument& instrument,
                                        const PricingEngine& engine,
                                        SimpleQuote& volQuote,
                                        Real targetValue,
                                        Real accuracy,
                                        Natural maxEvaluations,
                                        Volatility minVol,
                                        Volatility maxVol);
            // utilities
 
            static ext::shared_ptr<GeneralizedBlackScholesProcess> clone(
                     const ext::shared_ptr<GeneralizedBlackScholesProcess>&,
                     const ext::shared_ptr<SimpleQuote>&);
        };
 
    }
 
}
 
#endif