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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
/*! \file calibrationhelper.cpp
\brief Calibration helper class
\fullpath
ql/InterestRateModelling/CalibrationHelpers/%calibrationhelper.hpp
*/
// $Id: calibrationhelper.cpp,v 1.7 2002/02/21 16:11:34 sadrejeb Exp $
#include "ql/InterestRateModelling/calibrationhelper.hpp"
#include "ql/Solvers1D/brent.hpp"
namespace QuantLib {
namespace InterestRateModelling {
class CalibrationHelper::ImpliedVolatilityHelper
: public ObjectiveFunction {
public:
ImpliedVolatilityHelper(const CalibrationHelper& helper,
double value)
: helper_(helper), value_(value) {}
double operator()(double x) const {
return value_ - helper_.blackPrice(x);
}
private:
const CalibrationHelper& helper_;
double value_;
};
double CalibrationHelper::impliedVolatility(double targetValue,
double accuracy, Size maxEvaluations,
double minVol, double maxVol) const {
ImpliedVolatilityHelper f(*this,targetValue);
Solvers1D::Brent solver;
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f,accuracy,volatility_->value(),minVol,maxVol);
}
}
}
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