org.jquantlib.instruments

Class ImpliedVolatilityHelper

java.lang.Object

org.jquantlib.instruments.ImpliedVolatilityHelper

public class ImpliedVolatilityHelper
extends java.lang.Object

Helper class for one-asset implied-volatility calculation

The passed engine must be linked to the passed quote

See Also:

VanillaOption

Constructor Summary

Constructors

Constructor and Description
ImpliedVolatilityHelper()

Method Summary

Modifier and Type	Method and Description
static double	calculate(Instrument instrument, PricingEngine engine, SimpleQuote volQuote, double targetValue, double accuracy, int maxEvaluations, double minVol, double maxVol)
static GeneralizedBlackScholesProcess	clone(GeneralizedBlackScholesProcess process, SimpleQuote volQuote) 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.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ImpliedVolatilityHelper

public ImpliedVolatilityHelper()

Method Detail

calculate

public static double calculate(Instrument instrument,
                               PricingEngine engine,
                               SimpleQuote volQuote,
                               double targetValue,
                               double accuracy,
                               int maxEvaluations,
                               double minVol,
                               double maxVol)

clone

public static GeneralizedBlackScholesProcess clone(GeneralizedBlackScholesProcess process,
                                                   SimpleQuote volQuote)

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.