DeltaStrike Class Reference

#include <ored/marketdata/strike.hpp>

Inheritance diagram for DeltaStrike:

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Public Member Functions
	DeltaStrike ()
	Default constructor. More...
	DeltaStrike (QuantLib::DeltaVolQuote::DeltaType deltaType, QuantLib::Option::Type optionType, QuantLib::Real delta)
	Explicit constructor. More...
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::DeltaType	deltaType_
QuantLib::Option::Type	optionType_
QuantLib::Real	delta_
class	boost::serialization::access
	Serialization. More...
QuantLib::DeltaVolQuote::DeltaType	deltaType () const
	Return the delta type. More...
QuantLib::Option::Type	optionType () const
	Return the option type. More...
QuantLib::Real	delta () const
	Return the delta level. 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...
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 where the strike is described by a delta type, an option type and a delta level.

Definition at line 101 of file strike.hpp.

Constructor & Destructor Documentation

DeltaStrike() [1/2]

DeltaStrike

(

)

Default constructor.

Definition at line 58 of file strike.cpp.

: deltaType_(DeltaVolQuote::Spot), optionType_(Option::Call) {}

DeltaStrike() [2/2]

DeltaStrike	(	QuantLib::DeltaVolQuote::DeltaType	deltaType,
		QuantLib::Option::Type	optionType,
		QuantLib::Real	delta
	)

Explicit constructor.

Member Function Documentation

deltaType()

DeltaVolQuote::DeltaType deltaType

(

)

const

Return the delta type.

Definition at line 63 of file strike.cpp.

{ return deltaType_; }

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optionType()

Option::Type optionType

(

)

const

Return the option type.

Definition at line 65 of file strike.cpp.

{ return optionType_; }

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delta()

Real delta

(

)

const

Return the delta level.

Definition at line 67 of file strike.cpp.

{ return delta_; }

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fromString()

void fromString ( const std::string &  strStrike )

overridevirtual

Populate DeltaStrike object from strStrike.

The strStrike is expected to be of the form DEL / Spot|Fwd|PaSpot|PaFwd / Call|Put / DELTA_VALUE. An exception is thrown if strStrike is not of this form and cannot be parsed properly.

Implements BaseStrike.

Definition at line 69 of file strike.cpp.

                                                    {
 
    // Expect strStrike of form: DEL / Spot|Fwd|PaSpot|PaFwd / Call|Put / DELTA_VALUE
    vector<string> tokens;
    boost::split(tokens, strStrike, boost::is_any_of("/"));
    QL_REQUIRE(tokens.size() == 4, "DeltaStrike::fromString expects 4 tokens.");
    QL_REQUIRE(tokens[0] == "DEL", "DeltaStrike::fromString expects 1st token to equal 'DEL'.");
 
    deltaType_ = parseDeltaType(tokens[1]);
    optionType_ = parseOptionType(tokens[2]);
    delta_ = parseReal(tokens[3]);
}

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toString()

string toString ( ) const

overridevirtual

Writes the DeltaStrike object to string.

The string representation of the DeltaStrike object is of the form DEL / Spot|Fwd|PaSpot|PaFwd / Call|Put / DELTA_VALUE.

Implements BaseStrike.

Definition at line 82 of file strike.cpp.

                                   {
 
    // Write string of form: DEL / Spot|Fwd|PaSpot|PaFwd / Call|Put / DELTA_VALUE
    ostringstream oss;
    oss << "DEL/" << deltaType_ << "/" << optionType_ << "/" << to_string(delta_);
    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 90 of file strike.cpp.

                                                        {
    if (const DeltaStrike* p = dynamic_cast<const DeltaStrike*>(&other)) {
        return deltaType_ == p->deltaType() && optionType_ == p->optionType() && close(delta_, p->delta());
    } else {
        return false;
    }
}

serialize()

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

private

Definition at line 296 of file strike.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 143 of file strike.hpp.

Member Data Documentation

deltaType_

QuantLib::DeltaVolQuote::DeltaType deltaType_

private

Definition at line 139 of file strike.hpp.

optionType_

QuantLib::Option::Type optionType_

private

Definition at line 140 of file strike.hpp.

delta_

QuantLib::Real delta_

private

Definition at line 141 of file strike.hpp.