DeltaVolQuote Class Reference
Class for the quotation of delta vs vol. More...
#include <ql/experimental/fx/deltavolquote.hpp>
Inheritance diagram for DeltaVolQuote:

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.