DeltaVolQuote Class Reference

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

#include <ql/quotes/deltavolquote.hpp>

Inheritance 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
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
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

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

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.

value()

Real value ( ) const

overridevirtual

returns the current value

Implements Quote.

isValid()

bool isValid ( ) const

overridevirtual

returns true if the Quote holds a valid value

Implements Quote.