Cross currency price term structure. More...

#include <qle/termstructures/crosscurrencypricetermstructure.hpp>

Inheritance diagram for CrossCurrencyPriceTermStructure:

Collaboration diagram for CrossCurrencyPriceTermStructure:

Public Member Functions
Constructors
	CrossCurrencyPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Handle< PriceTermStructure > &basePriceTs, const QuantLib::Handle< QuantLib::Quote > &fxSpot, const QuantLib::Handle< QuantLib::YieldTermStructure > &baseCurrencyYts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const QuantLib::Currency &currency)

	CrossCurrencyPriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Handle< PriceTermStructure > &basePriceTs, const QuantLib::Handle< QuantLib::Quote > &fxSpot, const QuantLib::Handle< QuantLib::YieldTermStructure > &baseCurrencyYts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const QuantLib::Currency &currency)

TermStructure interface
QuantLib::Date	maxDate () const override

QuantLib::Time	maxTime () const override

PriceTermStructure interface
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values. More...

std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure. More...

const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed. More...

Public Member Functions inherited from PriceTermStructure
	PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter())

QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const

QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const

void	update () override

Inspectors
QuantLib::Handle< PriceTermStructure >	basePriceTs_

QuantLib::Handle< QuantLib::Quote >	fxSpot_

QuantLib::Handle< QuantLib::YieldTermStructure >	baseCurrencyYts_

QuantLib::Handle< QuantLib::YieldTermStructure >	yts_

QuantLib::Currency	currency_

const QuantLib::Handle< PriceTermStructure > &	basePriceTs () const
	The price term structure in base currency. More...

const QuantLib::Handle< QuantLib::Quote > &	fxSpot () const
	The FX spot rate, number of units of this price term structure's currency per unit of the base currency. More...

const QuantLib::Handle< QuantLib::YieldTermStructure > &	baseCurrencyYts () const
	The yield term structure for the base currency. More...

const QuantLib::Handle< QuantLib::YieldTermStructure > &	yts () const
	The yield term structure for this price term structure's currency. More...

QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation. More...

void	registration ()
	Register with underlying market data. More...

Additional Inherited Members
Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...

Detailed Description

Cross currency price term structure.

This class creates a price term structure in a given currency using an already constructed price term structure in a different currency.

Definition at line 37 of file crosscurrencypricetermstructure.hpp.

Constructor & Destructor Documentation

◆ CrossCurrencyPriceTermStructure() [1/2]

CrossCurrencyPriceTermStructure	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Handle< PriceTermStructure > &	basePriceTs,
		const QuantLib::Handle< QuantLib::Quote > &	fxSpot,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	baseCurrencyYts,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	yts,
		const QuantLib::Currency &	currency
	)

Fixed reference date based price term structure.

Parameters

referenceDate	This price term structure's reference date.
basePriceTs	The price term structure in base currency units.
fxSpot	The number of units of this price term structure's currency per unit of the base price term structure's currency.
baseCurrencyYts	The yield term structure for the base currency.
yts	The yield term structure for this price term structure's currency.
currency	The price term structure's currency.

Definition at line 34 of file crosscurrencypricetermstructure.cpp.

    : PriceTermStructure(referenceDate, basePriceTs->calendar(), basePriceTs->dayCounter()), basePriceTs_(basePriceTs),
      fxSpot_(fxSpot), baseCurrencyYts_(baseCurrencyYts), yts_(yts), currency_(currency) {
    registration();
}

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◆ CrossCurrencyPriceTermStructure() [2/2]

CrossCurrencyPriceTermStructure	(	QuantLib::Natural	settlementDays,
		const QuantLib::Handle< PriceTermStructure > &	basePriceTs,
		const QuantLib::Handle< QuantLib::Quote > &	fxSpot,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	baseCurrencyYts,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	yts,
		const QuantLib::Currency &	currency
	)

Floating reference date based price term structure.

Parameters

settlementDays	This price term structure's settlement days.
basePriceTs	The price term structure in base currency units.
fxSpot	The number of units of this price term structure's currency per unit of the base price term structure's currency.
baseCurrencyYts	The yield term structure for the base currency.
yts	The yield term structure for this price term structure's currency.
currency	The price term structure's currency.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 54 of file crosscurrencypricetermstructure.cpp.

                                                    {
    return min(basePriceTs_->maxDate(), min(baseCurrencyYts_->maxDate(), yts_->maxDate()));
}

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◆ maxTime()

Time maxTime ( ) const

override

Definition at line 58 of file crosscurrencypricetermstructure.cpp.

                                                    {
    return min(basePriceTs_->maxTime(), min(baseCurrencyYts_->maxTime(), yts_->maxTime()));
}

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◆ minTime()

Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

Definition at line 62 of file crosscurrencypricetermstructure.cpp.

62{ return basePriceTs_->minTime(); }

◆ pillarDates()

vector< Date > pillarDates ( ) const

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

Definition at line 64 of file crosscurrencypricetermstructure.cpp.

64{ return basePriceTs_->pillarDates(); }

◆ currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

Definition at line 84 of file crosscurrencypricetermstructure.hpp.

84{ return currency_; }

◆ basePriceTs()

const QuantLib::Handle< PriceTermStructure > & basePriceTs ( ) const

The price term structure in base currency.

Definition at line 90 of file crosscurrencypricetermstructure.hpp.

90{ return basePriceTs_; }

◆ fxSpot()

const QuantLib::Handle< QuantLib::Quote > & fxSpot ( ) const

The FX spot rate, number of units of this price term structure's currency per unit of the base currency.

Definition at line 93 of file crosscurrencypricetermstructure.hpp.

93{ return fxSpot_; }

◆ baseCurrencyYts()

const QuantLib::Handle< QuantLib::YieldTermStructure > & baseCurrencyYts ( ) const

The yield term structure for the base currency.

Definition at line 96 of file crosscurrencypricetermstructure.hpp.

96{ return baseCurrencyYts_; }

◆ yts()

const QuantLib::Handle< QuantLib::YieldTermStructure > & yts ( ) const

The yield term structure for this price term structure's currency.

Definition at line 99 of file crosscurrencypricetermstructure.hpp.

99{ return yts_; }

◆ priceImpl()

QuantLib::Real priceImpl ( QuantLib::Time t ) const

overrideprotectedvirtual

Price calculation.

Implements PriceTermStructure.

Definition at line 66 of file crosscurrencypricetermstructure.cpp.

                                                                            {
    // Price in base currency times the FX forward, number of units of currency per unit of base currency.
    return basePriceTs_->price(t, true) * fxSpot_->value() * baseCurrencyYts_->discount(t, true) /
           yts_->discount(t, true);
}

◆ registration()

void registration ( )

private

Register with underlying market data.

Definition at line 72 of file crosscurrencypricetermstructure.cpp.

                                                   {
    registerWith(basePriceTs_);
    registerWith(fxSpot_);
    registerWith(baseCurrencyYts_);
    registerWith(yts_);
}

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Member Data Documentation

◆ basePriceTs_

QuantLib::Handle<PriceTermStructure> basePriceTs_

private

Definition at line 110 of file crosscurrencypricetermstructure.hpp.

◆ fxSpot_

QuantLib::Handle<QuantLib::Quote> fxSpot_

private

Definition at line 111 of file crosscurrencypricetermstructure.hpp.

◆ baseCurrencyYts_

QuantLib::Handle<QuantLib::YieldTermStructure> baseCurrencyYts_

private

Definition at line 112 of file crosscurrencypricetermstructure.hpp.

◆ yts_

QuantLib::Handle<QuantLib::YieldTermStructure> yts_

private

Definition at line 113 of file crosscurrencypricetermstructure.hpp.

◆ currency_

QuantLib::Currency currency_

private

Definition at line 114 of file crosscurrencypricetermstructure.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CrossCurrencyPriceTermStructure() [1/2]

◆ CrossCurrencyPriceTermStructure() [2/2]

Member Function Documentation

◆ maxDate()

◆ maxTime()

◆ minTime()

◆ pillarDates()

◆ currency()

◆ basePriceTs()

◆ fxSpot()

◆ baseCurrencyYts()

◆ yts()

◆ priceImpl()

◆ registration()

Member Data Documentation

◆ basePriceTs_

◆ fxSpot_

◆ baseCurrencyYts_

◆ yts_

◆ currency_