ImpliedVolatilityHelper Class Reference

helper class for one-asset implied-volatility calculation More...

#include <ql/instruments/impliedvolatility.hpp>

List of all members.

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 calculation

The 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.