Class DeltaVolQuote

Namespace

NanoQL.Quotes

Assembly

NanoQL.dll

A volatility quoted against an FX delta, or at the money: the volatility, its delta and delta convention, its maturity, and its at-the-money convention.

public sealed class DeltaVolQuote

Inheritance

object

DeltaVolQuote

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable; its volatility is a value where QuantLib's is a quote handle, so it has no validity of its own (QuantLib's isValid reports the handle's). An at-the-money quote has no delta, which QuantLib's constructor leaves uninitialized: its Delta is null.

Constructors

DeltaVolQuote(double, DeltaVolQuoteDeltaType, double, DeltaVolQuoteAtmType)

Initializes a new instance of the DeltaVolQuote class: an at-the-money volatility.

public DeltaVolQuote(double vol, DeltaVolQuoteDeltaType deltaType, double maturity, DeltaVolQuoteAtmType atmType)

Parameters

vol double

The volatility.

deltaType DeltaVolQuoteDeltaType

The delta convention.

maturity double

The maturity, a time.

atmType DeltaVolQuoteAtmType

The at-the-money convention.

Exceptions

ArgumentOutOfRangeException

deltaType or atmType isn't a member of its type.

DeltaVolQuote(double, double, double, DeltaVolQuoteDeltaType)

Initializes a new instance of the DeltaVolQuote class: a volatility at a delta.

public DeltaVolQuote(double delta, double vol, double maturity, DeltaVolQuoteDeltaType deltaType)

Parameters

delta double

The delta.

vol double

The volatility.

maturity double

The maturity, a time.

deltaType DeltaVolQuoteDeltaType

The delta convention.

Exceptions

ArgumentOutOfRangeException

deltaType isn't a member of its type.

Properties

AtmType

Gets the at-the-money convention; AtmNull for a delta quote.

public DeltaVolQuoteAtmType AtmType { get; }

Property Value

DeltaVolQuoteAtmType

Delta

Gets the delta; null for an at-the-money quote.

public double? Delta { get; }

Property Value

double?

DeltaType

Gets the delta convention.

public DeltaVolQuoteDeltaType DeltaType { get; }

Property Value

DeltaVolQuoteDeltaType

Maturity

Gets the maturity, a time.

public double Maturity { get; }

Property Value

double

Value

Gets the volatility.

public double Value { get; }

Property Value

double