- 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.