/*! \warning currently, this method returns the Black-Scholes
implied volatility using analytic formulas for
European options and a finite-difference method
for American and Bermudan options. It will give
unconsistent results if the pricing was performed
with any other methods (such as jump-diffusion
models.)
\warning options with a gamma that changes sign (e.g.,
binary options) have values that are <b>not</b>
monotonic in the volatility. In these cases, the
calculation can fail and the result (if any) is
almost meaningless. Another possible source of
failure is to have a target value that is not
attainable with any volatility, e.g., a target
value lower than the intrinsic value in the case
of American options.
*/
//public double impliedVolatility(double price, GeneralizedBlackScholesProcess process,
// double accuracy = 1.0e-4, int maxEvaluations = 100, double minVol = 1.0e-7, double maxVol = 4.0) {
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;
switch (exercise_.type()) {
case Exercise.Type.European:
engine = new AnalyticEuropeanEngine(newProcess);
break;
case Exercise.Type.American:
engine = new FDAmericanEngine(newProcess);
break;
case Exercise.Type.Bermudan:
engine = new FDBermudanEngine(newProcess);
break;
default:
throw new ArgumentException("unknown exercise type");
}
return ImpliedVolatilityHelper.calculate(this, engine, volQuote, targetValue, accuracy,
maxEvaluations, minVol, maxVol);
}
/*! \warning currently, this method returns the Black-Scholes
* implied volatility using analytic formulas for
* European options and a finite-difference method
* for American and Bermudan options. It will give
* unconsistent results if the pricing was performed
* with any other methods (such as jump-diffusion
* models.)
*
* \warning options with a gamma that changes sign (e.g.,
* binary options) have values that are <b>not</b>
* monotonic in the volatility. In these cases, the
* calculation can fail and the result (if any) is
* almost meaningless. Another possible source of
* failure is to have a target value that is not
* attainable with any volatility, e.g., a target
* value lower than the intrinsic value in the case
* of American options.
*/
public double impliedVolatility(double targetValue,
GeneralizedBlackScholesProcess process,
double accuracy = 1.0e-4,
int maxEvaluations = 100,
double minVol = 1.0e-7,
double maxVol = 4.0)
{
Utils.QL_REQUIRE(!isExpired(), () => "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 AnalyticEuropeanEngine(newProcess);
break;
case Exercise.Type.American:
engine = new FDAmericanEngine(newProcess);
break;
case Exercise.Type.Bermudan:
engine = new FDBermudanEngine(newProcess);
break;
default:
throw new ArgumentException("unknown exercise type");
}
return(ImpliedVolatilityHelper.calculate(this, engine, volQuote, targetValue, accuracy,
maxEvaluations, minVol, maxVol));
}