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
|
/* -*- 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
<https://www.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/exercise.hpp>
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp>
#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
#include <memory>
namespace QuantLib {
VanillaOption::VanillaOption(
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise) {}
Volatility VanillaOption::impliedVolatility(
Real targetValue,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
return impliedVolatility(targetValue, process, DividendSchedule(),
accuracy, maxEvaluations, minVol, maxVol);
}
Volatility VanillaOption::impliedVolatility(
Real targetValue,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
const DividendSchedule& dividends,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
QL_REQUIRE(!isExpired(), "option expired");
ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);
ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
detail::ImpliedVolatilityHelper::clone(process, volQuote);
// engines are built-in for the time being
std::unique_ptr<PricingEngine> engine;
switch (exercise_->type()) {
case Exercise::European:
if (dividends.empty())
engine = std::make_unique<AnalyticEuropeanEngine>(newProcess);
else
engine = std::make_unique<AnalyticDividendEuropeanEngine>(newProcess, dividends);
break;
case Exercise::American:
case Exercise::Bermudan:
if (dividends.empty())
engine = std::make_unique<FdBlackScholesVanillaEngine>(newProcess);
else
engine = std::make_unique<FdBlackScholesVanillaEngine>(newProcess, dividends);
break;
default:
QL_FAIL("unknown exercise type");
}
return detail::ImpliedVolatilityHelper::calculate(*this,
*engine,
*volQuote,
targetValue,
accuracy,
maxEvaluations,
minVol, maxVol);
}
}
|
