ImpliedVolatilityHelper Class Reference
helper class for one-asset implied-volatility calculation More...
#include <ql/instruments/impliedvolatility.hpp>
Static Public Member Functions | |
static Volatility | calculate (const Instrument &instrument, const PricingEngine &engine, SimpleQuote &volQuote, Real targetValue, Real accuracy, Natural maxEvaluations, Volatility minVol, Volatility maxVol) |
static boost::shared_ptr < GeneralizedBlackScholesProcess > | clone (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< SimpleQuote > &) |
Detailed Description
helper class for one-asset implied-volatility calculationThe passed engine must be linked to the passed quote (see, e.g., VanillaOption to see how this can be achieved.)
- Note:
- this function is meant for developers of option classes so that they can implement an impliedVolatility() method.
Member Function Documentation
static boost::shared_ptr<GeneralizedBlackScholesProcess> clone | ( | const boost::shared_ptr< GeneralizedBlackScholesProcess > & | , | |
const boost::shared_ptr< SimpleQuote > & | ||||
) | [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.