/usr/include/ql/instruments/impliedvolatility.hpp is in libquantlib0-dev 1.4-2+b1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2007, 2009 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file impliedvolatility.hpp
\brief Utilities for implied-volatility calculation
*/
#ifndef quantlib_implied_volatility_hpp
#define quantlib_implied_volatility_hpp
#include <ql/instrument.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
namespace detail {
//! 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.)
\note this function is meant for developers of option
classes so that they can implement an
impliedVolatility() method.
*/
class ImpliedVolatilityHelper {
public:
static Volatility calculate(const Instrument& instrument,
const PricingEngine& engine,
SimpleQuote& volQuote,
Real targetValue,
Real accuracy,
Natural maxEvaluations,
Volatility minVol,
Volatility maxVol);
// utilities
/*! 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.
*/
static boost::shared_ptr<GeneralizedBlackScholesProcess> clone(
const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
const boost::shared_ptr<SimpleQuote>&);
};
}
}
#endif
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