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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2008 Ferdinando Ametrano
Copyright (C) 2006 Franois 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/quotes/eurodollarfuturesquote.hpp>
#include <ql/pricingengines/blackformula.hpp>
namespace QuantLib {
EurodollarFuturesImpliedStdDevQuote::EurodollarFuturesImpliedStdDevQuote(
const Handle<Quote>& forward,
const Handle<Quote>& callPrice,
const Handle<Quote>& putPrice,
Real strike,
Real guess,
Real accuracy,
Natural maxIter)
: impliedStdev_(guess), strike_(100.0-strike),
accuracy_(accuracy), maxIter_(maxIter), forward_(forward),
callPrice_(callPrice), putPrice_(putPrice) {
registerWith(forward_);
registerWith(callPrice_);
registerWith(putPrice_);
}
Real EurodollarFuturesImpliedStdDevQuote::value() const {
calculate();
return impliedStdev_;
}
bool EurodollarFuturesImpliedStdDevQuote::isValid() const {
if (forward_.empty() || !forward_->isValid())
return false;
Real forwardValue = 100.0-forward_->value();
if (strike_>forwardValue)
return !putPrice_.empty() && putPrice_->isValid();
else
return !callPrice_.empty() && callPrice_->isValid();
}
void EurodollarFuturesImpliedStdDevQuote::performCalculations() const {
static const Real discount = 1.0;
static const Real displacement = 0.0;
Real forwardValue = 100.0-forward_->value();
if (strike_>forwardValue) {
impliedStdev_ =
blackFormulaImpliedStdDev(Option::Call, strike_,
forwardValue, putPrice_->value(),
discount, displacement,
impliedStdev_, accuracy_, maxIter_);
} else {
impliedStdev_ =
blackFormulaImpliedStdDev(Option::Put, strike_,
forwardValue, callPrice_->value(),
discount, displacement,
impliedStdev_, accuracy_, maxIter_);
}
}
}
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