QuantLib_DeltaVolQuote man page

DeltaVolQuote — Class for the quotation of delta vs vol.  


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

Inherits Quote, and Observer.

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.


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Referenced By

The man pages atmType(3), deltaType(3), DeltaVolQuote(3) and maturity(3) are aliases of QuantLib_DeltaVolQuote(3).

Sun Jul 23 2017 Version 1.10 QuantLib