[Quantlib-dev] QuantLib Solver

[Nigel S. <nig...@gm...>]

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