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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
Copyright (C) 2006 François 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
<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/pricingengines/blackformula.hpp>
#include <ql/quotes/impliedstddevquote.hpp>
#include <utility>
namespace QuantLib {
ImpliedStdDevQuote::ImpliedStdDevQuote(Option::Type optionType,
Handle<Quote> forward,
Handle<Quote> price,
Real strike,
Real guess,
Real accuracy,
Natural maxIter)
: impliedStdev_(guess), optionType_(optionType), strike_(strike), accuracy_(accuracy),
maxIter_(maxIter), forward_(std::move(forward)), price_(std::move(price)) {
registerWith(forward_);
registerWith(price_);
}
Real ImpliedStdDevQuote::value() const {
calculate();
return impliedStdev_;
}
bool ImpliedStdDevQuote::isValid() const {
return !price_.empty() && !forward_.empty() &&
price_->isValid() && forward_->isValid();
}
void ImpliedStdDevQuote::performCalculations() const {
static const Real discount = 1.0;
static const Real displacement = 0.0;
Real blackPrice = price_->value();
try {
impliedStdev_ = blackFormulaImpliedStdDev(optionType_, strike_,
forward_->value(),
blackPrice,
discount, displacement,
impliedStdev_,
accuracy_, maxIter_);
} catch(Error&) {
impliedStdev_ = 0.0;
}
}
}
|
