Class for the quotation of delta vs vol. More...
#include <ql/experimental/fx/deltavolquote.hpp>
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 | |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Class for the quotation of delta vs vol.
It includes the various delta quotation types in FX markets as well as ATM types.