/// <summary>Initializes a new instance of the <see cref="BlackEuropeanStraddle"/> class. /// </summary> /// <param name="impliedVolatilityApproach">The algorithm used to calculate implied volatility.</param> public BlackEuropeanStraddle(IImpliedVolatilityApproach impliedVolatilityApproach = null) { if (impliedVolatilityApproach == null) { m_ImpliedVolatilityApproach = sm_StandardImpliedVolatilityApproach; } else { m_ImpliedVolatilityApproach = impliedVolatilityApproach; } }
/// <summary>Initializes a new instance of the <see cref="BachelierEuropeanCall"/> class. /// </summary> /// <param name="impliedVolatilityApproach">The algorithm used to calculate implied volatility.</param> public BachelierEuropeanCall(IImpliedVolatilityApproach impliedVolatilityApproach = null) { if (impliedVolatilityApproach == null) { m_ImpliedVolatilityApproach = sm_StandardImpliedVolatilityApproach; } else { m_ImpliedVolatilityApproach = impliedVolatilityApproach; } }
/// <summary>Initializes a new instance of the <see cref="BlackEuropeanStraddle"/> class. /// </summary> /// <param name="strike">The strike.</param> /// <param name="forward">The forward.</param> /// <param name="timeToExpiry">The time span between valuation date and expiry date.</param> /// <param name="discountFactor">The discount factor at <paramref name="timeToExpiry"/>.</param> /// <param name="impliedVolatilityApproach">The algorithm used to calculate implied volatility.</param> public BlackEuropeanStraddle(double strike, double forward, double timeToExpiry, double discountFactor, IImpliedVolatilityApproach impliedVolatilityApproach = null) : base(strike, forward, timeToExpiry, discountFactor) { if (impliedVolatilityApproach == null) { m_ImpliedVolatilityApproach = sm_StandardImpliedVolatilityApproach; } else { m_ImpliedVolatilityApproach = impliedVolatilityApproach; } }
/// <summary>Initializes the <see cref="BlackEuropeanStraddle" /> class. /// </summary> static BlackEuropeanStraddle() { sm_StandardImpliedVolatilityApproach = ImpliedBlackVolatilityApproach.SOR_TS.Create(); }
/// <summary>Initializes the <see cref="BachelierEuropeanStraddle" /> class. /// </summary> static BachelierEuropeanStraddle() { sm_StandardImpliedVolatilityApproach = ImpliedBachelierVolatilityApproach.SOR.Create(); }