FormulaBasedCouponPricer Class Reference

base pricer for formula based coupons More...

#include <qle/cashflows/formulabasedcoupon.hpp>

Inheritance diagram for FormulaBasedCouponPricer:

Collaboration diagram for FormulaBasedCouponPricer:

Public Member Functions
	FormulaBasedCouponPricer (const std::string &paymentCurrencyCode, const std::map< std::string, Handle< BlackVolTermStructure > > &fxVolatilities, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > &correlation)

Protected Attributes
const std::string	paymentCurrencyCode_
const std::map< std::string, Handle< BlackVolTermStructure > >	fxVolatilities_
std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlation_

Detailed Description

base pricer for formula based coupons

Definition at line 90 of file formulabasedcoupon.hpp.

Constructor & Destructor Documentation

FormulaBasedCouponPricer()

FormulaBasedCouponPricer	(	const std::string &	paymentCurrencyCode,
		const std::map< std::string, Handle< BlackVolTermStructure > > &	fxVolatilities,
		const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > &	correlation
	)

Definition at line 95 of file formulabasedcoupon.hpp.

        : paymentCurrencyCode_(paymentCurrencyCode), fxVolatilities_(fxVolatilities), correlation_(correlation) {
        for (auto const& v : fxVolatilities)
            registerWith(v.second);
        for (auto const& c : correlation)
            registerWith(c.second);
    }

Member Data Documentation

paymentCurrencyCode_

const std::string paymentCurrencyCode_

protected

Definition at line 107 of file formulabasedcoupon.hpp.

fxVolatilities_

const std::map<std::string, Handle<BlackVolTermStructure> > fxVolatilities_

protected

Definition at line 108 of file formulabasedcoupon.hpp.

correlation_

std::map<std::pair<std::string, std::string>, Handle<QuantExt::CorrelationTermStructure> > correlation_

protected

Definition at line 109 of file formulabasedcoupon.hpp.