FxBsConstantParametrization Class Reference

FX Black Scholes parametrization. More...

#include <qle/models/fxbsconstantparametrization.hpp>

Inheritance diagram for FxBsConstantParametrization:

Collaboration diagram for FxBsConstantParametrization:

Public Member Functions
	FxBsConstantParametrization (const Currency &currency, const Handle< Quote > &fxSpotToday, const Real sigma, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &sigmaConstraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())
Real	variance (const Time t) const override
Real	sigma (const Time t) const override
const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const override
Public Member Functions inherited from FxBsParametrization
	FxBsParametrization (const Currency &foreignCurrency, const Handle< Quote > &fxSpotToday)
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 >	fxSpotToday () 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

Protected Member Functions
Real	direct (const Size i, const Real x) const override
Real	inverse (const Size i, const Real y) const override
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

Private Attributes
const QuantLib::ext::shared_ptr< PseudoParameter >	sigma_

Additional Inherited Members
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

FX Black Scholes parametrization.

FX Black Scholes parametrization, with constant volatility

Definition at line 34 of file fxbsconstantparametrization.hpp.

Constructor & Destructor Documentation

FxBsConstantParametrization()

FxBsConstantParametrization	(	const Currency &	currency,
		const Handle< Quote > &	fxSpotToday,
		const Real	sigma,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	sigmaConstraint = QuantLib::ext::make_shared<QuantLib::NoConstraint>()
	)

The currency refers to the foreign currency, the spot is as of today (i.e. the discounted spot)

Definition at line 24 of file fxbsconstantparametrization.cpp.

    : FxBsParametrization(currency, fxSpotToday),
      sigma_(QuantLib::ext::make_shared<PseudoParameter>(1, *sigmaConstraint)) {
    sigma_->setParam(0, inverse(0, sigma));
}

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Member Function Documentation

variance()

Real variance ( const Time  t ) const

overridevirtual

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

Implements FxBsParametrization.

Definition at line 59 of file fxbsconstantparametrization.hpp.

                                                                    {
    return direct(0, sigma_->params()[0]) * direct(0, sigma_->params()[0]) * t;
}

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sigma()

Real sigma ( const Time  t ) const

overridevirtual

is supposed to be positive

Reimplemented from FxBsParametrization.

Definition at line 63 of file fxbsconstantparametrization.hpp.

{ return direct(0, sigma_->params()[0]); }

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parameter()

const QuantLib::ext::shared_ptr< Parameter > parameter ( const Size  Size ) const

overridevirtual

the parameter storing the raw parameter values

Reimplemented from Parametrization.

Definition at line 65 of file fxbsconstantparametrization.hpp.

                                                                                                       {
    QL_REQUIRE(i == 0, "parameter " << i << " does not exist, only have 0");
    return sigma_;
}

direct()

Real direct ( const Size  Size, const Real  x  ) const

overrideprotectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.

Definition at line 55 of file fxbsconstantparametrization.hpp.

{ return x * x; }

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inverse()

Real inverse ( const Size  i, const Real  y  ) const

overrideprotectedvirtual

Reimplemented from Parametrization.

Definition at line 57 of file fxbsconstantparametrization.hpp.

{ return std::sqrt(y); }

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Member Data Documentation

sigma_

const QuantLib::ext::shared_ptr<PseudoParameter> sigma_

private

Definition at line 50 of file fxbsconstantparametrization.hpp.