Enum Class FxVolSurface.DeltaConvention

java.lang.Object

java.lang.Enum<FxVolSurface.DeltaConvention>

com.quantfinlib.fx.FxVolSurface.DeltaConvention

All Implemented Interfaces:

Serializable, Comparable<FxVolSurface.DeltaConvention>, Constable

Enclosing class:

FxVolSurface

public static enum FxVolSurface.DeltaConvention
extends Enum<FxVolSurface.DeltaConvention>

How the quoted deltas are defined (Reiswich and Wystup 2010, table 1).

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
FORWARD	Forward delta N(d1).
FORWARD_PREMIUM_ADJUSTED	Premium-adjusted forward delta (K/F) N(d2).
SPOT	Spot delta e^{−r_f T} N(d1).
SPOT_PREMIUM_ADJUSTED	Premium-adjusted spot delta e^{−r_f T} (K/F) N(d2).

Method Summary

Modifier and Type	Method	Description
boolean	premiumAdjusted()
boolean	spot()
static FxVolSurface.DeltaConvention	valueOf(String name)	Returns the enum constant of this class with the specified name.
static FxVolSurface.DeltaConvention[]	values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods inherited from class Enum

clone, compareTo, describeConstable, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Details

FORWARD

public static final FxVolSurface.DeltaConvention FORWARD

Forward delta N(d1).

FORWARD_PREMIUM_ADJUSTED

public static final FxVolSurface.DeltaConvention FORWARD_PREMIUM_ADJUSTED

Premium-adjusted forward delta (K/F) N(d2).

SPOT

public static final FxVolSurface.DeltaConvention SPOT

Spot delta e^{−r_f T} N(d1).

SPOT_PREMIUM_ADJUSTED

public static final FxVolSurface.DeltaConvention SPOT_PREMIUM_ADJUSTED

Premium-adjusted spot delta e^{−r_f T} (K/F) N(d2).

Method Details

values

public static FxVolSurface.DeltaConvention[] values()

Returns an array containing the constants of this enum class, in the order they are declared.

Returns:

an array containing the constants of this enum class, in the order they are declared

valueOf

public static FxVolSurface.DeltaConvention valueOf(String name)

Returns the enum constant of this class with the specified name. The string must match exactly an identifier used to declare an enum constant in this class. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum class has no constant with the specified name

NullPointerException - if the argument is null

premiumAdjusted

public boolean premiumAdjusted()

spot

public boolean spot()