- QuantLib
- DeltaVolQuote
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 | |
Class for the quotation of delta vs vol.
It includes the various delta quotation types in FX markets as well as ATM types.