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/*/ -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Dimitri Reiswich
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/experimental/fx/deltavolquote.hpp>
namespace QuantLib {
DeltaVolQuote::DeltaVolQuote(Real delta,
const Handle<Quote>& vol,
Time maturity,
DeltaType deltaType)
: delta_(delta), vol_(vol), deltaType_(deltaType), maturity_(maturity),
atmType_(DeltaVolQuote::AtmNull) {
registerWith(vol_); // observe vol
}
DeltaVolQuote::DeltaVolQuote(const Handle<Quote>& vol,
DeltaType deltaType,
Time maturity,
AtmType atmType)
: vol_(vol), deltaType_(deltaType), maturity_(maturity), atmType_(atmType) {
registerWith(vol_);
}
Real DeltaVolQuote::value() const {
return vol_->value();
}
Real DeltaVolQuote::delta() const {
return delta_;
}
Time DeltaVolQuote::maturity() const {
return maturity_;
}
bool DeltaVolQuote::isValid() const {
return !vol_.empty() && vol_->isValid();
}
void DeltaVolQuote::update() {
notifyObservers(); // let observers know, that something has changed
}
DeltaVolQuote::AtmType DeltaVolQuote::atmType() const {
return atmType_;
}
DeltaVolQuote::DeltaType DeltaVolQuote::deltaType() const {
return deltaType_;
}
}
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