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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
<https://www.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.
*/
/*! \file deltavolquote.hpp
\brief Class for the quotation of delta vs vol.
*/
#ifndef quantlib_delta_vol_quote_hpp
#define quantlib_delta_vol_quote_hpp
#include <ql/quote.hpp>
#include <ql/handle.hpp>
namespace QuantLib {
//! Class for the quotation of delta vs vol.
/*! It includes the various delta quotation types
in FX markets as well as ATM types.
*/
class DeltaVolQuote : public Quote,
public Observer {
public:
enum DeltaType {
Spot, // Spot Delta, e.g. usual Black Scholes delta
Fwd, // Forward Delta
PaSpot, // Premium Adjusted Spot Delta
PaFwd // Premium Adjusted Forward Delta
};
enum AtmType {
AtmNull, // Default, if not an atm quote
AtmSpot, // K=S_0
AtmFwd, // K=F
AtmDeltaNeutral, // Call Delta = Put Delta
AtmVegaMax, // K such that Vega is Maximum
AtmGammaMax, // K such that Gamma is Maximum
AtmPutCall50 // K such that Call Delta=0.50 (only for Fwd Delta)
};
// Standard constructor delta vs vol.
DeltaVolQuote(Real delta, Handle<Quote> vol, Time maturity, DeltaType deltaType);
// Additional constructor, if special atm quote is used
DeltaVolQuote(Handle<Quote> vol, DeltaType deltaType, Time maturity, AtmType atmType);
void update() override;
Real value() const override;
Real delta() const;
Time maturity() const;
AtmType atmType() const;
DeltaType deltaType() const;
bool isValid() const override;
private:
Real delta_;
Handle<Quote> vol_;
DeltaType deltaType_;
Time maturity_;
AtmType atmType_;
};
}
#endif
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