FX Black Scholes parametrizations. More...

#include <qle/models/fxbsparametrization.hpp>

Inheritance diagram for FxBsParametrization:

Collaboration diagram for FxBsParametrization:

Public Member Functions
	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

Private Attributes
const Handle< Quote >	fxSpotToday_

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

FX Black Scholes parametrizations.

Base class for FX Black Scholes parametrizations

Definition at line 38 of file fxbsparametrization.hpp.

Constructor & Destructor Documentation

◆ FxBsParametrization()

FxBsParametrization	(	const Currency &	foreignCurrency,
		const Handle< Quote > &	fxSpotToday
	)

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

Definition at line 23 of file fxbsparametrization.cpp.

24 : Parametrization(foreignCurrency), fxSpotToday_(fxSpotToday) {}

QuantExt::FxBsParametrization::fxSpotToday_

const Handle< Quote > fxSpotToday_

Definition: fxbsparametrization.hpp:53

QuantExt::FxBsParametrization::fxSpotToday

const Handle< Quote > fxSpotToday() const

Definition: fxbsparametrization.hpp:64

QuantExt::Parametrization::Parametrization

Parametrization(const Currency &currency, const std::string &name="")

Definition: parametrization.cpp:23

Member Function Documentation

◆ variance()

virtual Real variance ( const Time t ) const

pure virtual

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

Implemented in FxBsConstantParametrization, and FxBsPiecewiseConstantParametrization.

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◆ sigma()

Real sigma ( const Time t ) const

virtual

is supposed to be positive

Reimplemented in FxBsConstantParametrization, and FxBsPiecewiseConstantParametrization.

Definition at line 58 of file fxbsparametrization.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 62 of file fxbsparametrization.hpp.

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

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◆ fxSpotToday()

const Handle< Quote > fxSpotToday ( ) const

Definition at line 64 of file fxbsparametrization.hpp.

64{ return fxSpotToday_; }

◆ numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.

Definition at line 50 of file fxbsparametrization.hpp.

50{ return 1; }

Member Data Documentation

◆ fxSpotToday_

const Handle<Quote> fxSpotToday_

private

Definition at line 53 of file fxbsparametrization.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members