DeltaVolQuote Class Reference

Class for the quotation of delta vs vol. More...

#include <ql/experimental/fx/deltavolquote.hpp>

Inheritance diagram for DeltaVolQuote:

Public Types

enum  DeltaType { Spot, Fwd, PaSpot, PaFwd }
 
enum  AtmType {
  AtmNull, AtmSpot, AtmFwd, AtmDeltaNeutral,
  AtmVegaMax, AtmGammaMax, AtmPutCall50
}
 

Public Member Functions

 DeltaVolQuote (Real delta, const Handle< Quote > &vol, Time maturity, DeltaType deltaType)
 
 DeltaVolQuote (const Handle< Quote > &vol, DeltaType deltaType, Time maturity, AtmType atmType)
 
void update ()
 
Real value () const
 returns the current value
 
Real delta () const
 
Time maturity () const
 
AtmType atmType () const
 
DeltaType deltaType () const
 
bool isValid () const
 returns true if the Quote holds a valid value
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Detailed Description

Class for the quotation of delta vs vol.

It includes the various delta quotation types in FX markets as well as ATM types.