AtmStrike Class Reference

#include <ored/marketdata/strike.hpp>

Inheritance diagram for AtmStrike:

Collaboration diagram for AtmStrike:

Public Member Functions
	AtmStrike ()
	Default constructor. More...
	AtmStrike (QuantLib::DeltaVolQuote::AtmType atmType, boost::optional< QuantLib::DeltaVolQuote::DeltaType > deltaType=boost::none)
Public Member Functions inherited from BaseStrike
virtual	~BaseStrike ()
virtual void	fromString (const std::string &strStrike)=0
	Populate the Strike object from strStrike. More...
virtual std::string	toString () const =0
	Write the Strike object to string. More...

Inspectors
QuantLib::DeltaVolQuote::AtmType	atmType_
boost::optional< QuantLib::DeltaVolQuote::DeltaType >	deltaType_
class	boost::serialization::access
	Serialization. More...
QuantLib::DeltaVolQuote::AtmType	atmType () const
	Return the ATM type. More...
boost::optional< QuantLib::DeltaVolQuote::DeltaType >	deltaType () const
	Return the delta type. More...
void	fromString (const std::string &strStrike) override
std::string	toString () const override
bool	equal_to (const BaseStrike &other) const override
	Override in derived classes to compare specific Strikes. More...
void	check () const
	Perform validation. More...
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Additional Inherited Members
virtual bool	equal_to (const BaseStrike &other) const =0
	Override in derived classes to compare specific Strikes. More...

Detailed Description

Strike implementation for an at-the-money strike of various types.

Definition at line 149 of file strike.hpp.

Constructor & Destructor Documentation

AtmStrike() [1/2]

AtmStrike

(

)

Default constructor.

Definition at line 98 of file strike.cpp.

: atmType_(DeltaVolQuote::AtmSpot) {}

AtmStrike() [2/2]

AtmStrike	(	QuantLib::DeltaVolQuote::AtmType	atmType,
		boost::optional< QuantLib::DeltaVolQuote::DeltaType >	deltaType = boost::none
	)

Explicit constructor. Note that:

• an atmType of AtmNull throws an error.
• if atmType is AtmDeltaNeutral, a deltaType is needed.
• if atmType is not AtmDeltaNeutral, deltaType should not be provided.
• if atmType is AtmPutCall50, deltaType must be DeltaVolQuote::Fwd.

Member Function Documentation

atmType()

DeltaVolQuote::AtmType atmType

(

)

const

Return the ATM type.

Definition at line 105 of file strike.cpp.

{ return atmType_; }

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deltaType()

boost::optional< DeltaVolQuote::DeltaType > deltaType

(

)

const

Return the delta type.

Definition at line 107 of file strike.cpp.

{ return deltaType_; }

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fromString()

void fromString ( const std::string &  strStrike )

overridevirtual

Populate AtmStrike object from strStrike.

The strStrike is expected to be of the form: ATM / AtmSpot|AtmFwd|AtmDeltaNeutral|AtmVegaMax|AtmGammaMax|AtmPutCall50 followed by an optional / DEL / Spot|Fwd|PaSpot|PaFwd to specify the delta if it is needed. An exception is thrown if strStrike is not of this form and cannot be parsed properly.

Implements BaseStrike.

Definition at line 109 of file strike.cpp.

                                                  {
 
    // Expect strStrike of form:
    // "ATM / AtmSpot|AtmFwd|AtmDeltaNeutral|AtmVegaMax|AtmGammaMax|AtmPutCall50"
    // with an optional following "/ DEL / Spot|Fwd|PaSpot|PaFwd"
    vector<string> tokens;
    boost::split(tokens, strStrike, boost::is_any_of("/"));
    QL_REQUIRE(tokens.size() == 2 || tokens.size() == 4, "AtmStrike::fromString expects 2 or 4 tokens.");
    QL_REQUIRE(tokens[0] == "ATM", "AtmStrike::fromString expects 1st token to equal 'ATM'.");
 
    atmType_ = parseAtmType(tokens[1]);
 
    deltaType_ = boost::none;
    if (tokens.size() == 4) {
        QL_REQUIRE(tokens[2] == "DEL", "AtmStrike::fromString expects 3rd token to equal 'DEL'.");
        deltaType_ = parseDeltaType(tokens[3]);
    }
 
    check();
}

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toString()

string toString ( ) const

overridevirtual

Writes the AtmStrike object to string.

The string representation of the DeltaStrike object is of the form ATM / AtmSpot|AtmFwd|AtmDeltaNeutral|AtmVegaMax|AtmGammaMax|AtmPutCall50 followed by an optional / DEL / Spot|Fwd|PaSpot|PaFwd if the delta type has been populated.

Implements BaseStrike.

Definition at line 130 of file strike.cpp.

                                 {
 
    // Write strike of form:
    // "ATM / AtmSpot|AtmFwd|AtmDeltaNeutral|AtmVegaMax|AtmGammaMax|AtmPutCall50"
    // with an optional following "/ DEL / Spot|Fwd|PaSpot|PaFwd" if delta type is populated.
    ostringstream oss;
    oss << "ATM/" << atmType_;
 
    if (deltaType_) {
        oss << "/DEL/" << (*deltaType_);
    }
 
    return oss.str();
}

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equal_to()

bool equal_to ( const BaseStrike &  other ) const

overrideprotectedvirtual

Override in derived classes to compare specific Strikes.

Implements BaseStrike.

Definition at line 145 of file strike.cpp.

                                                      {
    if (const AtmStrike* p = dynamic_cast<const AtmStrike*>(&other)) {
        return (atmType_ == p->atmType()) &&
            ((!deltaType_ && !p->deltaType()) || (deltaType_ && p->deltaType() && (*deltaType_ == *p->deltaType())));
    } else {
        return false;
    }
}

check()

void check ( ) const

private

Perform validation.

Definition at line 154 of file strike.cpp.

                            {
    QL_REQUIRE(atmType_ != DeltaVolQuote::AtmNull, "AtmStrike type must not be AtmNull.");
    if (atmType_ == DeltaVolQuote::AtmDeltaNeutral) {
        QL_REQUIRE(deltaType_, "If AtmStrike type is AtmDeltaNeutral, we need a delta type.");
    } else {
        QL_REQUIRE(!deltaType_, "If AtmStrike type is not AtmDeltaNeutral, delta type should not be given.");
    }
    if (atmType_ == DeltaVolQuote::AtmPutCall50) {
        QL_REQUIRE(deltaType_ && *deltaType_ == DeltaVolQuote::Fwd,
                   "If AtmStrike type is AtmPutCall50, delta type must be AtmFwd.");
    }
}

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serialize()

template void serialize ( Archive &  ar, const unsigned int  version  )

private

Definition at line 303 of file strike.cpp.

                                                                                          {
    ar& boost::serialization::base_object<BaseStrike>(*this);
    ar& atmType_;
    ar& deltaType_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 200 of file strike.hpp.

Member Data Documentation

atmType_

QuantLib::DeltaVolQuote::AtmType atmType_

private

Definition at line 193 of file strike.hpp.

deltaType_

boost::optional<QuantLib::DeltaVolQuote::DeltaType> deltaType_

private

Definition at line 194 of file strike.hpp.