|
public static calculate ( QLNet.Instrument instrument, IPricingEngine engine, |
||
| instrument | QLNet.Instrument | |
| engine | IPricingEngine | |
| volQuote | ||
| targetValue | double | |
| accuracy | double | |
| maxEvaluations | int | |
| minVol | double | |
| maxVol | double | |
| return | double | |
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));
}