QuantLib_ImpliedVolatilityHelper (3) - Linux Manuals

QuantLib_ImpliedVolatilityHelper: helper class for one-asset implied-volatility calculation

Command to display QuantLib_ImpliedVolatilityHelper manual in Linux: $ man 3 QuantLib_ImpliedVolatilityHelper

NAME

QuantLib::ImpliedVolatilityHelper - helper class for one-asset implied-volatility calculation

SYNOPSIS

#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 > &process, const boost::shared_ptr< SimpleQuote > &volQuote)

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.)

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.

Author

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