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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2007 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.
*/
#include <ql/instruments/vanillaoption.hpp>
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/pricingengines/vanilla/fdamericanengine.hpp>
#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>
#include <ql/exercise.hpp>
#include <boost/scoped_ptr.hpp>
namespace QuantLib {
VanillaOption::VanillaOption(
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise) {}
Volatility VanillaOption::impliedVolatility(
Real targetValue,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
QL_REQUIRE(!isExpired(), "option expired");
boost::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);
boost::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
detail::ImpliedVolatilityHelper::clone(process, volQuote);
// engines are built-in for the time being
boost::scoped_ptr<PricingEngine> engine;
switch (exercise_->type()) {
case Exercise::European:
engine.reset(new AnalyticEuropeanEngine(newProcess));
break;
case Exercise::American:
engine.reset(new FDAmericanEngine<CrankNicolson>(newProcess));
break;
case Exercise::Bermudan:
engine.reset(new FDBermudanEngine<CrankNicolson>(newProcess));
break;
default:
QL_FAIL("unknown exercise type");
}
return detail::ImpliedVolatilityHelper::calculate(*this,
*engine,
*volQuote,
targetValue,
accuracy,
maxEvaluations,
minVol, maxVol);
}
}
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