DeltaString Class Reference

Utility class for handling delta strings ATM, 10P, 25C, ... used e.g. for FX Surfaces. More...

#include <ored/utilities/strike.hpp>

Collaboration diagram for DeltaString:

Public Member Functions
	DeltaString (const std::string &s)
bool	isAtm () const
bool	isPut () const
bool	isCall () const
Real	delta () const

Private Attributes
bool	isAtm_
bool	isPut_
bool	isCall_
Real	delta_

Detailed Description

Utility class for handling delta strings ATM, 10P, 25C, ... used e.g. for FX Surfaces.

Definition at line 81 of file strike.hpp.

Constructor & Destructor Documentation

DeltaString()

DeltaString

(

const std::string &

s

)

Definition at line 188 of file strike.cpp.

                                           {
    QL_REQUIRE(!s.empty() && (s.back() == 'P' || s.back() == 'C' || s == "ATM"),
               "invalid delta quote, expected ATM, 10P, 25C, ...");
    isAtm_ = s == "ATM";
    isPut_ = !s.empty() && s.back() == 'P';
    isCall_ = !s.empty() && s.back() == 'C';
    if (isPut_ || isCall_) {
        try {
            delta_ = ore::data::parseReal(s.substr(0, s.size() - 1)) / 100.0 * (isPut_ ? -1.0 : 1.0);
        } catch (const std::exception& e) {
            QL_FAIL("DeltaString: can not convert call / put delta '" << s << "' to numeric value: " << e.what());
        }
    }
}

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Member Function Documentation

isAtm()

bool isAtm

(

)

const

Definition at line 84 of file strike.hpp.

{ return isAtm_; }

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isPut()

bool isPut

(

)

const

Definition at line 85 of file strike.hpp.

{ return isPut_; }

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isCall()

bool isCall

(

)

const

Definition at line 86 of file strike.hpp.

{ return isCall_; }

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delta()

Real delta

(

)

const

Definition at line 87 of file strike.hpp.

{ return delta_; }

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Member Data Documentation

isAtm_

bool isAtm_

private

Definition at line 90 of file strike.hpp.

isPut_

bool isPut_

private

Definition at line 90 of file strike.hpp.

isCall_

bool isCall_

private

Definition at line 90 of file strike.hpp.

delta_

Real delta_

private

Definition at line 91 of file strike.hpp.