FxEqOptionHelper Class Reference

FxEq Option Helper. More...

#include <qle/models/fxeqoptionhelper.hpp>

Inheritance diagram for FxEqOptionHelper:

Collaboration diagram for FxEqOptionHelper:

Public Member Functions
	FxEqOptionHelper (const Period &maturity, const Calendar &calendar, const Real strike, const Handle< Quote > spot, const Handle< Quote > volatility, const Handle< YieldTermStructure > &domesticYield, const Handle< YieldTermStructure > &foreignYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
	FxEqOptionHelper (const Date &exerciseDate, const Real strike, const Handle< Quote > spot, const Handle< Quote > volatility, const Handle< YieldTermStructure > &domesticYield, const Handle< YieldTermStructure > &foreignYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
void	addTimesTo (std::list< Time > &) const override
void	performCalculations () const override
Real	modelValue () const override
Real	blackPrice (Real volatility) const override
QuantLib::ext::shared_ptr< VanillaOption >	option () const
Real	strike () const

Private Attributes
Handle< YieldTermStructure >	termStructure_
const bool	hasMaturity_
Period	maturity_
Date	exerciseDate_
Calendar	calendar_
const Real	strike_
const Handle< Quote >	spot_
const Handle< YieldTermStructure >	foreignYield_
Real	tau_
Real	atm_
Option::Type	type_
QuantLib::ext::shared_ptr< VanillaOption >	option_
Real	effStrike_

Detailed Description

FxEq Option Helper.

Definition at line 36 of file fxeqoptionhelper.hpp.

Constructor & Destructor Documentation

FxEqOptionHelper() [1/2]

FxEqOptionHelper	(	const Period &	maturity,
		const Calendar &	calendar,
		const Real	strike,
		const Handle< Quote >	spot,
		const Handle< Quote >	volatility,
		const Handle< YieldTermStructure > &	domesticYield,
		const Handle< YieldTermStructure > &	foreignYield,
		BlackCalibrationHelper::CalibrationErrorType	errorType = BlackCalibrationHelper::RelativePriceError
	)

the spot is interpreted as of today (or discounted spot) if strike is null, an (fwd-) atm option is constructed, a slight approximation is introduced because there is no settlement lag, however this applies consistently to the black and the model pricing

Definition at line 28 of file fxeqoptionhelper.cpp.

    : BlackCalibrationHelper(volatility, errorType), termStructure_(domesticYield), hasMaturity_(true),
      maturity_(maturity), calendar_(calendar), strike_(strike), spot_(spot), foreignYield_(foreignYield) {
    registerWith(spot_);
    registerWith(foreignYield_);
}

FxEqOptionHelper() [2/2]

FxEqOptionHelper	(	const Date &	exerciseDate,
		const Real	strike,
		const Handle< Quote >	spot,
		const Handle< Quote >	volatility,
		const Handle< YieldTermStructure > &	domesticYield,
		const Handle< YieldTermStructure > &	foreignYield,
		BlackCalibrationHelper::CalibrationErrorType	errorType = BlackCalibrationHelper::RelativePriceError
	)

Definition at line 39 of file fxeqoptionhelper.cpp.

    : BlackCalibrationHelper(volatility, errorType), termStructure_(domesticYield), hasMaturity_(false),
      exerciseDate_(exerciseDate), strike_(strike), spot_(spot), foreignYield_(foreignYield) {
    registerWith(spot_);
    registerWith(foreignYield_);
}

Member Function Documentation

addTimesTo()

void addTimesTo ( std::list< Time > &  ) const

override

Definition at line 52 of file fxeqoptionhelper.hpp.

{}

performCalculations()

void performCalculations ( ) const

override

Definition at line 49 of file fxeqoptionhelper.cpp.

                                                 {
    if (hasMaturity_)
        exerciseDate_ = calendar_.advance(termStructure_->referenceDate(), maturity_);
    tau_ = termStructure_->timeFromReference(exerciseDate_);
    atm_ = spot_->value() * foreignYield_->discount(tau_) / termStructure_->discount(tau_);
    effStrike_ = strike_;
    if (effStrike_ == Null<Real>())
        effStrike_ = atm_;
    type_ = effStrike_ >= atm_ ? Option::Call : Option::Put;
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(type_, effStrike_));
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(exerciseDate_);
    option_ = QuantLib::ext::shared_ptr<VanillaOption>(new VanillaOption(payoff, exercise));
    BlackCalibrationHelper::performCalculations();
}

modelValue()

Real modelValue ( ) const

override

Definition at line 64 of file fxeqoptionhelper.cpp.

                                        {
    calculate();
    option_->setPricingEngine(engine_);
    return option_->NPV();
}

blackPrice()

Real blackPrice ( Real  volatility ) const

override

Definition at line 70 of file fxeqoptionhelper.cpp.

                                                       {
    calculate();
    const Real stdDev = volatility * std::sqrt(tau_);
    return blackFormula(type_, effStrike_, atm_, stdDev, termStructure_->discount(tau_));
}

option()

QuantLib::ext::shared_ptr< VanillaOption > option

(

)

const

Definition at line 56 of file fxeqoptionhelper.hpp.

{ return option_; }

strike()

Real strike

(

)

const

Definition at line 57 of file fxeqoptionhelper.hpp.

                        {
        calculate();
        return effStrike_;
    }

Member Data Documentation

termStructure_

Handle<YieldTermStructure> termStructure_

private

Definition at line 63 of file fxeqoptionhelper.hpp.

hasMaturity_

const bool hasMaturity_

private

Definition at line 64 of file fxeqoptionhelper.hpp.

maturity_

Period maturity_

private

Definition at line 65 of file fxeqoptionhelper.hpp.

exerciseDate_

Date exerciseDate_

mutableprivate

Definition at line 66 of file fxeqoptionhelper.hpp.

calendar_

Calendar calendar_

private

Definition at line 67 of file fxeqoptionhelper.hpp.

strike_

const Real strike_

private

Definition at line 68 of file fxeqoptionhelper.hpp.

spot_

const Handle<Quote> spot_

private

Definition at line 69 of file fxeqoptionhelper.hpp.

foreignYield_

const Handle<YieldTermStructure> foreignYield_

private

Definition at line 70 of file fxeqoptionhelper.hpp.

tau_

Real tau_

mutableprivate

Definition at line 71 of file fxeqoptionhelper.hpp.

atm_

Real atm_

mutableprivate

Definition at line 72 of file fxeqoptionhelper.hpp.

type_

Option::Type type_

mutableprivate

Definition at line 73 of file fxeqoptionhelper.hpp.

option_

QuantLib::ext::shared_ptr<VanillaOption> option_

mutableprivate

Definition at line 74 of file fxeqoptionhelper.hpp.

effStrike_

Real effStrike_

mutableprivate

Definition at line 75 of file fxeqoptionhelper.hpp.