public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy, int maxEvaluations, double minVol, double maxVol)
{
if (!(!isExpired()))
{
throw new ApplicationException("option expired");
}
SimpleQuote volQuote = new SimpleQuote();
GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);
// engines are built-in for the time being
IPricingEngine engine = null;
switch (exercise_.type())
{
case Exercise.Type.European:
engine = new AnalyticBarrierEngine(newProcess);
break;
case Exercise.Type.American:
case Exercise.Type.Bermudan:
throw new ApplicationException("Engine not available for non-European barrier option");
default:
throw new ApplicationException("unknown exercise type");
}
return(ImpliedVolatilityHelper.calculate(this, engine, volQuote, targetValue, accuracy, maxEvaluations, minVol, maxVol));
}
/*! \warning see VanillaOption for notes on implied-volatility
* calculation.
*/
public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process,
double accuracy = 1.0e-4, int maxEvaluations = 100, double minVol = 1.0e-7, double maxVol = 4.0)
{
if (isExpired())
{
throw new ApplicationException("option expired");
}
SimpleQuote volQuote = new SimpleQuote();
GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);
// engines are built-in for the time being
IPricingEngine engine;
switch (exercise_.type())
{
case Exercise.Type.European:
engine = new AnalyticDividendEuropeanEngine(newProcess);
break;
case Exercise.Type.American:
engine = new FDDividendAmericanEngine(newProcess);
break;
case Exercise.Type.Bermudan:
throw new ApplicationException("engine not available for Bermudan option with dividends");
default:
throw new ArgumentException("unknown exercise type");
}
return(ImpliedVolatilityHelper.calculate(this, engine, volQuote, targetValue, accuracy,
maxEvaluations, minVol, maxVol));
}
//! Black volatility implied by the model
public double impliedVolatility(double targetValue, double accuracy, int maxEvaluations, double minVol, double maxVol) {
ImpliedVolatilityHelper f = new ImpliedVolatilityHelper(this, targetValue);
Brent solver = new Brent();
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f,accuracy,volatility_.link.value(), minVol, maxVol);
}
//! Black volatility implied by the model
public double impliedVolatility(double targetValue, double accuracy, int maxEvaluations, double minVol, double maxVol)
{
ImpliedVolatilityHelper f = new ImpliedVolatilityHelper(this, targetValue);
Brent solver = new Brent();
solver.setMaxEvaluations(maxEvaluations);
return(solver.solve(f, accuracy, volatility_.link.value(), minVol, maxVol));
}