答复: QuantLib Solver

Posted by cheng li on May 12, 2015; 8:17am
URL: http://quantlib.414.s1.nabble.com/QuantLib-Solver-tp16561p16562.html

Hi Nigel,

 

Of cause it could. If you look at the implementation of the solver, the solve method’s first parameter is marked as template. You only need to make sure the VolatilityFunc accept a double and return a double.

 

Regards,

Cheng

 

发件人: Nigel Sperinck [mailto:[hidden email]]
发送时间: 2015年5月12日 6:20
收件人: [hidden email]
主题: [Quantlib-dev] QuantLib Solver

 

QuantLib Developers,

 

Reference

http://quantlib.org/slides/dima-ql-intro-2.pdf, page 23

 

In Dimitri Reiswich's QuantLib Solver example, he sets up a boost function and binds this to his function impliedVolProblem() which returns the calculation of the Black Scholes Option Price - price.

 

Are the following two steps required, or is there a way to refactor and simplify the code and use a function pointer directly in the QuantLib Solver.solve method without having to use the boost::function and boost::bind?

 

// Step 1 - Setup a boost function

boost::function < Real(Volatility) > VolatilityFunc ;

 

// Step 2 - Bind the boost function to all market parameters, keep volatility as variant

VolatilityFunc = boost::bind(&impliedVolatilityProblem, spot, strikeprice, rd, rf, _1, tau, phi, price);

 

Real res1 = bisectionSolver.solve(VolatilityFunc, accuracy, guess, min, max);

 

Very best regards

Nigel Sperinck

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