public double atmStrike(DeltaVolQuote.AtmType atmT)
{
double ret = NQuantLibcPINVOKE.BlackDeltaCalculator_atmStrike(swigCPtr, (int)atmT);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
// The following function can be calculated without an explicit strike
public double atmStrike(DeltaVolQuote.AtmType atmT)
{
double res = 0.0;
switch (atmT)
{
case DeltaVolQuote.AtmType.AtmDeltaNeutral:
if (dt_ == DeltaVolQuote.DeltaType.Spot || dt_ == DeltaVolQuote.DeltaType.Fwd)
{
res = fExpPos_;
}
else
{
res = fExpNeg_;
}
break;
case DeltaVolQuote.AtmType.AtmFwd:
res = forward_;
break;
case DeltaVolQuote.AtmType.AtmGammaMax:
case DeltaVolQuote.AtmType.AtmVegaMax:
res = fExpPos_;
break;
case DeltaVolQuote.AtmType.AtmPutCall50:
Utils.QL_REQUIRE(dt_ == DeltaVolQuote.DeltaType.Fwd, () =>
"|PutDelta|=CallDelta=0.50 only possible for forward delta.");
res = fExpPos_;
break;
default:
Utils.QL_FAIL("invalid atm type");
break;
}
return(res);
}
public DeltaVolQuote(QuoteHandle vol, DeltaVolQuote.DeltaType deltaType, double maturity, DeltaVolQuote.AtmType atmType) : this(NQuantLibcPINVOKE.new_DeltaVolQuote__SWIG_1(QuoteHandle.getCPtr(vol), (int)deltaType, maturity, (int)atmType), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
