/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano

 Copyright (C) 2006 François du Vignaud

 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

 <https://www.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.

*/

#include <ql/pricingengines/blackformula.hpp>

#include <ql/quotes/impliedstddevquote.hpp>

#include <utility>

namespace QuantLib {

    ImpliedStdDevQuote::ImpliedStdDevQuote(Option::Type optionType,

                                           Handle<Quote> forward,

                                           Handle<Quote> price,

                                           Real strike,

                                           Real guess,

                                           Real accuracy,

                                           Natural maxIter)

    : impliedStdev_(guess), optionType_(optionType), strike_(strike), accuracy_(accuracy),

      maxIter_(maxIter), forward_(std::move(forward)), price_(std::move(price)) {

        registerWith(forward_);

        registerWith(price_);

    }

Unexecuted instantiation: QuantLib::ImpliedStdDevQuote::ImpliedStdDevQuote(QuantLib::Option::Type, QuantLib::Handle<QuantLib::Quote>, QuantLib::Handle<QuantLib::Quote>, double, double, double, unsigned int)

Unexecuted instantiation: QuantLib::ImpliedStdDevQuote::ImpliedStdDevQuote(QuantLib::Option::Type, QuantLib::Handle<QuantLib::Quote>, QuantLib::Handle<QuantLib::Quote>, double, double, double, unsigned int)

    Real ImpliedStdDevQuote::value() const {

        calculate();

        return impliedStdev_;

    }

    bool ImpliedStdDevQuote::isValid() const {

        return !price_.empty()    && !forward_.empty() &&

                price_->isValid() &&  forward_->isValid();

    }

    void ImpliedStdDevQuote::performCalculations() const {

        static const Real discount = 1.0;

        static const Real displacement = 0.0;

        Real blackPrice = price_->value();

        try {

            impliedStdev_ = blackFormulaImpliedStdDev(optionType_, strike_,

                                                      forward_->value(),

                                                      blackPrice,

                                                      discount, displacement,

                                                      impliedStdev_,

                                                      accuracy_, maxIter_);

        } catch(Error&) {

            impliedStdev_ = 0.0;

        }

    }

}