BlackIborQuantoCouponPricer Class Reference

#include <qle/cashflows/quantocouponpricer.hpp>

Inheritance diagram for BlackIborQuantoCouponPricer:

Collaboration diagram for BlackIborQuantoCouponPricer:

Public Member Functions
	BlackIborQuantoCouponPricer (const Handle< QuantLib::BlackVolTermStructure > &fxRateBlackVolatility, const Handle< QuantLib::Quote > &underlyingFxCorrelation, const Handle< QuantLib::OptionletVolatilityStructure > &capletVolatility)

Protected Member Functions
Rate	adjustedFixing (Rate fixing=Null< Rate >()) const override

Private Attributes
Handle< QuantLib::BlackVolTermStructure >	fxRateBlackVolatility_
Handle< QuantLib::Quote >	underlyingFxCorrelation_

Detailed Description

Same as QuantLib, but with fixed t1 computation (dc from vol ts instead of index) and extended to SLN and N vol types

Definition at line 55 of file quantocouponpricer.hpp.

Constructor & Destructor Documentation

BlackIborQuantoCouponPricer()

BlackIborQuantoCouponPricer	(	const Handle< QuantLib::BlackVolTermStructure > &	fxRateBlackVolatility,
		const Handle< QuantLib::Quote > &	underlyingFxCorrelation,
		const Handle< QuantLib::OptionletVolatilityStructure > &	capletVolatility
	)

Definition at line 57 of file quantocouponpricer.hpp.

        : BlackIborCouponPricer(capletVolatility), fxRateBlackVolatility_(fxRateBlackVolatility),
          underlyingFxCorrelation_(underlyingFxCorrelation) {
        registerWith(fxRateBlackVolatility_);
        registerWith(underlyingFxCorrelation_);
    }

Member Function Documentation

adjustedFixing()

Rate adjustedFixing ( Rate  fixing = Null<Rate>() ) const

overrideprotected

Definition at line 50 of file quantocouponpricer.cpp.

                                                                  {
 
    if (fixing == Null<Rate>())
        fixing = coupon_->indexFixing();
 
    // Here we apply the quanto adjustment first, then delegate to
    // the parent class
    Date d1 = coupon_->fixingDate(), referenceDate = capletVolatility()->referenceDate();
 
    if (d1 > referenceDate) {
        Time t1 = capletVolatility()->timeFromReference(d1);
        Volatility fxsigma = fxRateBlackVolatility_->blackVol(d1, fixing, true);
        Volatility sigma = capletVolatility()->volatility(d1, fixing);
        Real rho = underlyingFxCorrelation_->value();
 
        // Apply Quanto Adjustment.
        // Hull 6th Edition, page 642, generalised to
        // shifted lognormal and normal volatilities
        if (capletVolatility()->volatilityType() == ShiftedLognormal) {
            Real dQuantoAdj = std::exp(sigma * fxsigma * rho * t1);
            Real shift = capletVolatility()->displacement();
            fixing = (fixing + shift) * dQuantoAdj - shift;
        } else {
            Real dQuantoAdj = sigma * fxsigma * rho * t1;
            fixing += dQuantoAdj;
        }
    }
 
    return BlackIborCouponPricer::adjustedFixing(fixing);
}

Member Data Documentation

fxRateBlackVolatility_

Handle<QuantLib::BlackVolTermStructure> fxRateBlackVolatility_

private

Definition at line 70 of file quantocouponpricer.hpp.

underlyingFxCorrelation_

Handle<QuantLib::Quote> underlyingFxCorrelation_

private

Definition at line 71 of file quantocouponpricer.hpp.