helper class for one-asset implied-volatility calculation More...
#include <ql/instruments/impliedvolatility.hpp>
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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 > &) |
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.)
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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.