DeltaVolQuote Class Reference

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

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

Inheritance diagram for DeltaVolQuote:

List of all members.

Public Types

enum  DeltaType { Spot, Fwd, PaSpot, PaFwd }
enum  AtmType {
  AtmNull, AtmSpot, AtmFwd, AtmDeltaNeutral,
  AtmVegaMax, AtmGammaMax, AtmPutCall50
}

Public Member Functions

 DeltaVolQuote (Real delta, const Handle< Quote > &vol, Time maturity, DeltaType deltaType)
 DeltaVolQuote (const Handle< Quote > &vol, DeltaType deltaType, Time maturity, AtmType atmType)
void update ()
Real value () const
 returns the current value
Real delta () const
Time maturity () const
AtmType atmType () const
DeltaType deltaType () const
bool isValid () const
 returns true if the Quote holds a valid value

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.


Member Function Documentation

void update ( ) [virtual]

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.