MoneynessStrike Class Reference

#include <ored/marketdata/strike.hpp>

Inheritance diagram for MoneynessStrike:

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Public Types
enum class	Type { Spot , Forward }

Public Member Functions
	MoneynessStrike ()
	Default constructor. More...
	MoneynessStrike (Type type, QuantLib::Real moneyness)
	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
Type	type_
QuantLib::Real	moneyness_
class	boost::serialization::access
	Serialization. More...
Type	type () const
	Return the moneyness type. More...
QuantLib::Real	moneyness () const
	Return the moneyness 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 moneyness type and a moneyness level.

Definition at line 206 of file strike.hpp.

Member Enumeration Documentation

Type

enum class Type

strong

The MoneynessStrike type.

• When the moneyness type is Spot, the moneyness level will be interpreted as the implicit strike divided by the spot value.
• When the moneyness type is Forward, the moneyness level will be interpreted as the implicit strike divided by the forward value.

Enumerator
Spot
Forward

Definition at line 214 of file strike.hpp.

{ Spot, Forward };

Constructor & Destructor Documentation

MoneynessStrike() [1/2]

MoneynessStrike

(

)

Default constructor.

Definition at line 167 of file strike.cpp.

: type_(Type::Spot) {}

MoneynessStrike() [2/2]

MoneynessStrike	(	Type	type,
		QuantLib::Real	moneyness
	)

Explicit constructor.

Member Function Documentation

type()

MoneynessStrike::Type type

(

)

const

Return the moneyness type.

Definition at line 171 of file strike.cpp.

{ return type_; }

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moneyness()

Real moneyness

(

)

const

Return the moneyness level.

Definition at line 173 of file strike.cpp.

{ return moneyness_; }

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fromString()

void fromString ( const std::string &  strStrike )

overridevirtual

Populate MoneynessStrike object from strStrike.

The strStrike is expected to be of the form MNY / Spot|Fwd / MONEYNESS_VALUE.

Implements BaseStrike.

Definition at line 175 of file strike.cpp.

                                                        {
 
    // Expect strStrike of form "MNY / Spot|Fwd / MONEYNESS_VALUE"
    vector<string> tokens;
    boost::split(tokens, strStrike, boost::is_any_of("/"));
    QL_REQUIRE(tokens.size() == 3, "MoneynessStrike::fromString expects 3 tokens.");
    QL_REQUIRE(tokens[0] == "MNY", "MoneynessStrike::fromString expects 1st token to equal 'MNY'.");
 
    type_ = parseMoneynessType(tokens[1]);
    moneyness_ = parseReal(tokens[2]);
}

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toString()

string toString ( ) const

overridevirtual

Writes the MoneynessStrike object to string.

The string representation of the MoneynessStrike object is of the form MNY / Spot|Fwd / MONEYNESS_VALUE.

Implements BaseStrike.

Definition at line 187 of file strike.cpp.

                                       {
 
    // Write strike of form "MNY / Spot|Fwd / MONEYNESS_VALUE"
    ostringstream oss;
    oss << "MNY/" << type_ << "/" << to_string(moneyness_);
    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 195 of file strike.cpp.

                                                            {
    if (const MoneynessStrike* p = dynamic_cast<const MoneynessStrike*>(&other)) {
        return type_ == p->type() && close(moneyness_, p->moneyness());
    } else {
        return false;
    }
}

serialize()

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

private

Definition at line 309 of file strike.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 251 of file strike.hpp.

Member Data Documentation

type_

Type type_

private

Definition at line 247 of file strike.hpp.

moneyness_

QuantLib::Real moneyness_

private

Definition at line 248 of file strike.hpp.