EurodollarFuturesImpliedStdDevQuote (3) - Linux Manuals

EurodollarFuturesImpliedStdDevQuote: quote for the Eurodollar-future implied standard deviation

NAME

QuantLib::EurodollarFuturesImpliedStdDevQuote - quote for the Eurodollar-future implied standard deviation

SYNOPSIS

#include <ql/quotes/eurodollarfuturesquote.hpp>

Inherits QuantLib::Quote, and QuantLib::LazyObject.

Public Member Functions

EurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100)

Quote interface

Real value () const
returns the current value
bool isValid () const
returns true if the Quote holds a valid value

Protected Member Functions

void performCalculations () const

Protected Attributes

Real impliedStdev_

Real strike_

Real accuracy_

Natural maxIter_

Handle< Quote > forward_

Handle< Quote > callPrice_

Handle< Quote > putPrice_

Detailed Description

quote for the Eurodollar-future implied standard deviation

Member Function Documentation

void performCalculations () const [protected, virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

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