AtmStrike Class Reference

#include <ored/marketdata/strike.hpp>

Inheritance diagram for AtmStrike:

Public Member Functions
	AtmStrike ()
	Default constructor.
	AtmStrike (QuantLib::DeltaVolQuote::AtmType atmType, boost::optional< QuantLib::DeltaVolQuote::DeltaType > deltaType=boost::none)

Inspectors
class	boost::serialization::access
	Serialization.
QuantLib::DeltaVolQuote::AtmType	atmType () const
	Return the ATM type.
boost::optional< QuantLib::DeltaVolQuote::DeltaType >	deltaType () const
	Return the delta type.
void	fromString (const std::string &strStrike) override
std::string	toString () const override
bool	equal_to (const BaseStrike &other) const override
	Override in derived classes to compare specific Strikes.

Additional Inherited Members

Detailed Description

Strike implementation for an at-the-money strike of various types.

Constructor & Destructor Documentation

AtmStrike()

AtmStrike	(	QuantLib::DeltaVolQuote::AtmType	atmType,
		boost::optional< QuantLib::DeltaVolQuote::DeltaType >	deltaType = boost::none
	)

Explicit constructor. Note that:

• an atmType of AtmNull throws an error.
• if atmType is AtmDeltaNeutral, a deltaType is needed.
• if atmType is not AtmDeltaNeutral, deltaType should not be provided.
• if atmType is AtmPutCall50, deltaType must be DeltaVolQuote::Fwd.

Member Function Documentation

fromString()

void fromString ( const std::string &  strStrike )

overridevirtual

Populate AtmStrike object from strStrike.

The strStrike is expected to be of the form: ATM / AtmSpot|AtmFwd|AtmDeltaNeutral|AtmVegaMax|AtmGammaMax|AtmPutCall50 followed by an optional / DEL / Spot|Fwd|PaSpot|PaFwd to specify the delta if it is needed. An exception is thrown if strStrike is not of this form and cannot be parsed properly.

Implements BaseStrike.

toString()

std::string toString ( ) const

overridevirtual

Writes the AtmStrike object to string.

The string representation of the DeltaStrike object is of the form ATM / AtmSpot|AtmFwd|AtmDeltaNeutral|AtmVegaMax|AtmGammaMax|AtmPutCall50 followed by an optional / DEL / Spot|Fwd|PaSpot|PaFwd if the delta type has been populated.

Implements BaseStrike.