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 | |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| 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.
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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.