DeltaVolQuote Class Reference

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

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

Inheritance diagram for DeltaVolQuote:

Collaboration diagram for DeltaVolQuote:

Public Types
enum	DeltaType { Spot , Fwd , PaSpot , PaFwd }
enum	AtmType {   AtmNull , AtmSpot , AtmFwd , AtmDeltaNeutral ,   AtmVegaMax , AtmGammaMax , AtmPutCall50 }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	DeltaVolQuote (Real delta, Handle< Quote > vol, Time maturity, DeltaType deltaType)
	DeltaVolQuote (Handle< Quote > vol, DeltaType deltaType, Time maturity, AtmType atmType)
void	update () override
Real	value () const override
	returns the current value More...
Real	delta () const
Time	maturity () const
AtmType	atmType () const
DeltaType	deltaType () const
bool	isValid () const override
	returns true if the Quote holds a valid value More...
Public Member Functions inherited from Quote
	~Quote () override=default
virtual Real	value () const =0
	returns the current value More...
virtual bool	isValid () const =0
	returns true if the Quote holds a valid value More...
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Private Attributes
Real	delta_
Handle< Quote >	vol_
DeltaType	deltaType_
Time	maturity_
AtmType	atmType_

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.

Definition at line 36 of file deltavolquote.hpp.

Member Enumeration Documentation

DeltaType

enum DeltaType

Enumerator
Spot
Fwd
PaSpot
PaFwd

Definition at line 39 of file deltavolquote.hpp.

AtmType

enum AtmType

Enumerator
AtmNull
AtmSpot
AtmFwd
AtmDeltaNeutral
AtmVegaMax
AtmGammaMax
AtmPutCall50

Definition at line 46 of file deltavolquote.hpp.

Constructor & Destructor Documentation

DeltaVolQuote() [1/2]

DeltaVolQuote	(	Real	delta,
		Handle< Quote >	vol,
		Time	maturity,
		DeltaType	deltaType
	)

Definition at line 25 of file deltavolquote.cpp.

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DeltaVolQuote() [2/2]

DeltaVolQuote	(	Handle< Quote >	vol,
		DeltaType	deltaType,
		Time	maturity,
		AtmType	atmType
	)

Definition at line 32 of file deltavolquote.cpp.

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Member Function Documentation

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 57 of file deltavolquote.cpp.

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value()

Real value ( ) const

overridevirtual

returns the current value

Implements Quote.

Definition at line 41 of file deltavolquote.cpp.

delta()

Real delta

(

)

const

Definition at line 45 of file deltavolquote.cpp.

maturity()

Time maturity

(

)

const

Definition at line 49 of file deltavolquote.cpp.

atmType()

DeltaVolQuote::AtmType atmType

(

)

const

Definition at line 61 of file deltavolquote.cpp.

deltaType()

DeltaVolQuote::DeltaType deltaType

(

)

const

Definition at line 65 of file deltavolquote.cpp.

isValid()

bool isValid ( ) const

overridevirtual

returns true if the Quote holds a valid value

Implements Quote.

Definition at line 53 of file deltavolquote.cpp.

Member Data Documentation

delta_

Real delta_

private

Definition at line 74 of file deltavolquote.hpp.

vol_

Handle<Quote> vol_

private

Definition at line 75 of file deltavolquote.hpp.

deltaType_

DeltaType deltaType_

private

Definition at line 76 of file deltavolquote.hpp.

maturity_

Time maturity_

private

Definition at line 77 of file deltavolquote.hpp.

atmType_

AtmType atmType_

private

Definition at line 78 of file deltavolquote.hpp.