EqBsParametrization Class Reference

EQ Black Scholes parametrizations. More...

#include <qle/models/eqbsparametrization.hpp>

Inheritance diagram for EqBsParametrization:

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Public Member Functions
	EqBsParametrization (const Currency &eqCcy, const std::string &eqName, const Handle< Quote > &equitySpotToday, const Handle< Quote > &fxSpotToday, const Handle< YieldTermStructure > &equityIrCurveToday, const Handle< YieldTermStructure > &equityDivYieldCurveToday)
virtual Real	variance (const Time t) const =0
virtual Real	sigma (const Time t) const
virtual Real	stdDeviation (const Time t) const
const Handle< Quote >	eqSpotToday () const
const Handle< Quote >	fxSpotToday () const
const Handle< YieldTermStructure >	equityIrCurveToday () const
const Handle< YieldTermStructure >	equityDivYieldCurveToday () const
Size	numberOfParameters () const override
Public Member Functions inherited from Parametrization
	Parametrization (const Currency &currency, const std::string &name="")
virtual	~Parametrization ()
virtual const Currency &	currency () const
virtual const Array &	parameterTimes (const Size) const
virtual Size	numberOfParameters () const
virtual Array	parameterValues (const Size) const
virtual const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const
virtual void	update () const
const std::string &	name () const
virtual Real	direct (const Size, const Real x) const
virtual Real	inverse (const Size, const Real y) const

Private Attributes
const Handle< Quote >	eqSpotToday_
const Handle< Quote >	fxSpotToday_
const Handle< YieldTermStructure >	eqRateCurveToday_
const Handle< YieldTermStructure >	eqDivYieldCurveToday_
std::string	eqName_

Additional Inherited Members
Protected Member Functions inherited from Parametrization
Time	tr (const Time t) const
Time	tl (const Time t) const
Time	tr2 (const Time t) const
Time	tm2 (const Time t) const
Time	tl2 (const Time t) const
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

EQ Black Scholes parametrizations.

Base class for EQ Black Scholes parametrizations

Definition at line 38 of file eqbsparametrization.hpp.

Constructor & Destructor Documentation

EqBsParametrization()

EqBsParametrization	(	const Currency &	eqCcy,
		const std::string &	eqName,
		const Handle< Quote > &	equitySpotToday,
		const Handle< Quote > &	fxSpotToday,
		const Handle< YieldTermStructure > &	equityIrCurveToday,
		const Handle< YieldTermStructure > &	equityDivYieldCurveToday
	)

The currency refers to the equity currency, the equity and fx spots are as of today (i.e. the discounted spot)

Definition at line 23 of file eqbsparametrization.cpp.

    : Parametrization(eqCcy, eqName), eqSpotToday_(equitySpotToday), fxSpotToday_(fxSpotToday),
      eqRateCurveToday_(equityIrCurveToday), eqDivYieldCurveToday_(equityDivCurveToday) {}

Member Function Documentation

variance()

virtual Real variance ( const Time  t ) const

pure virtual

must satisfy variance(0) = 0.0, variance'(t) >= 0

Implemented in EqBsConstantParametrization, and EqBsPiecewiseConstantParametrization.

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sigma()

Real sigma ( const Time  t ) const

virtual

is supposed to be positive

Reimplemented in EqBsConstantParametrization, and EqBsPiecewiseConstantParametrization.

Definition at line 66 of file eqbsparametrization.hpp.

                                                         {
    return std::sqrt((variance(tr(t)) - variance(tl(t))) / h_);
}

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stdDeviation()

Real stdDeviation ( const Time  t ) const

virtual

Definition at line 70 of file eqbsparametrization.hpp.

{ return std::sqrt(variance(t)); }

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eqSpotToday()

const Handle< Quote > eqSpotToday

(

)

const

Definition at line 72 of file eqbsparametrization.hpp.

{ return eqSpotToday_; }

fxSpotToday()

const Handle< Quote > fxSpotToday

(

)

const

Definition at line 74 of file eqbsparametrization.hpp.

{ return fxSpotToday_; }

equityIrCurveToday()

const Handle< YieldTermStructure > equityIrCurveToday

(

)

const

Definition at line 76 of file eqbsparametrization.hpp.

{ return eqRateCurveToday_; }

equityDivYieldCurveToday()

const Handle< YieldTermStructure > equityDivYieldCurveToday

(

)

const

Definition at line 78 of file eqbsparametrization.hpp.

                                                                                            {
    return eqDivYieldCurveToday_;
}

numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.

Definition at line 56 of file eqbsparametrization.hpp.

{ return 1; }

Member Data Documentation

eqSpotToday_

const Handle<Quote> eqSpotToday_

private

Definition at line 59 of file eqbsparametrization.hpp.

fxSpotToday_

const Handle<Quote> fxSpotToday_

private

Definition at line 59 of file eqbsparametrization.hpp.

eqRateCurveToday_

const Handle<YieldTermStructure> eqRateCurveToday_

private

Definition at line 60 of file eqbsparametrization.hpp.

eqDivYieldCurveToday_

const Handle<YieldTermStructure> eqDivYieldCurveToday_

private

Definition at line 60 of file eqbsparametrization.hpp.

eqName_

std::string eqName_

private

Definition at line 61 of file eqbsparametrization.hpp.