ImpliedVolatilityHelper Class Reference

#include <ql/instruments/impliedvolatility.hpp>

List of all members.


Detailed Description

helper class for one-asset implied-volatility calculation

The passed engine must be linked to the passed quote (see, e.g., VanillaOption to see how this can be achieved.)

Static Public Member Functions

static Volatility calculate (const Instrument &instrument, const PricingEngine &engine, SimpleQuote &volQuote, Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol)
static boost::shared_ptr
< GeneralizedBlackScholesProcess
clone (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const boost::shared_ptr< SimpleQuote > &volQuote)


Member Function Documentation

static boost::shared_ptr<GeneralizedBlackScholesProcess> clone ( const boost::shared_ptr< GeneralizedBlackScholesProcess > &  process,
const boost::shared_ptr< SimpleQuote > &  volQuote 
) [static]

The returned process is equal to the passed one, except for the volatility which is flat and whose value is driven by the passed quote.