1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>ImpliedVolatilityHelper Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><b>detail</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1detail_1_1_implied_volatility_helper.html">ImpliedVolatilityHelper</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-static-methods">Static Public Member Functions</a> </div>
<div class="headertitle">
<div class="title">ImpliedVolatilityHelper Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::detail::ImpliedVolatilityHelper" -->
<p>helper class for one-asset implied-volatility calculation
<a href="class_quant_lib_1_1detail_1_1_implied_volatility_helper.html#details">More...</a></p>
<p><code>#include <ql/instruments/impliedvolatility.hpp></code></p>
<p><a href="class_quant_lib_1_1detail_1_1_implied_volatility_helper-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-static-methods"></a>
Static Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2327c6efb97633b4594621f3e31c0567"></a><!-- doxytag: member="QuantLib::detail::ImpliedVolatilityHelper::calculate" ref="a2327c6efb97633b4594621f3e31c0567" args="(const Instrument &instrument, const PricingEngine &engine, SimpleQuote &volQuote, Real targetValue, Real accuracy, Natural maxEvaluations, Volatility minVol, Volatility maxVol)" -->
static <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>calculate</b> (const <a class="el" href="class_quant_lib_1_1_instrument.html">Instrument</a> &instrument, const <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> &engine, <a class="el" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a> &volQuote, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> targetValue, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy, <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> maxEvaluations, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> minVol, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> maxVol)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">static boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1detail_1_1_implied_volatility_helper.html#a03965c0a2cb10a60abd316127ee76c9c">clone</a> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a> > &)</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>helper class for one-asset implied-volatility calculation </p>
<p>The passed engine must be linked to the passed quote (see, e.g., <a class="el" href="class_quant_lib_1_1_vanilla_option.html" title="Vanilla option (no discrete dividends, no barriers) on a single asset.">VanillaOption</a> to see how this can be achieved.)</p>
<dl class="note"><dt><b>Note:</b></dt><dd>this function is meant for developers of option classes so that they can implement an impliedVolatility() method. </dd></dl>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a03965c0a2cb10a60abd316127ee76c9c"></a><!-- doxytag: member="QuantLib::detail::ImpliedVolatilityHelper::clone" ref="a03965c0a2cb10a60abd316127ee76c9c" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< SimpleQuote > &)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">static boost::shared_ptr<<a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a>> <a class="el" href="class_quant_lib_1_1detail_1_1_implied_volatility_helper.html#a03965c0a2cb10a60abd316127ee76c9c">clone</a> </td>
<td>(</td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > & </td>
<td class="paramname">, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a> > & </td>
<td class="paramname"> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td><code> [static]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>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. </p>
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
