FxSmileSection Class Reference

#include <qle/termstructures/fxsmilesection.hpp>

Inheritance diagram for FxSmileSection:

Collaboration diagram for FxSmileSection:

Public Member Functions
	FxSmileSection ()
	FxSmileSection (Real spot, Real rd, Real rf, Time t)
virtual	~FxSmileSection ()
virtual Volatility	volatility (Real strike) const =0
DiscountFactor	domesticDiscount () const
DiscountFactor	foreignDiscount () const

Protected Attributes
Real	spot_
Real	rd_
Real	rf_
Time	t_

Detailed Description

FX SmileSection

Definition at line 34 of file fxsmilesection.hpp.

Constructor & Destructor Documentation

FxSmileSection() [1/2]

FxSmileSection

(

)

Definition at line 36 of file fxsmilesection.hpp.

: spot_(0.0), rd_(0.0), rf_(0.0), t_(0.0) {}

FxSmileSection() [2/2]

FxSmileSection	(	Real	spot,
		Real	rd,
		Real	rf,
		Time	t
	)

Definition at line 37 of file fxsmilesection.hpp.

: spot_(spot), rd_(rd), rf_(rf), t_(t) {}

~FxSmileSection()

virtual ~FxSmileSection ( )

virtual

Definition at line 38 of file fxsmilesection.hpp.

{};

Member Function Documentation

volatility()

virtual Volatility volatility ( Real  strike ) const

pure virtual

Implemented in InterpolatedSmileSection, ConstantSmileSection, and VannaVolgaSmileSection.

domesticDiscount()

DiscountFactor domesticDiscount

(

)

const

Definition at line 42 of file fxsmilesection.hpp.

{ return std::exp(-rd_ * t_); }

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foreignDiscount()

DiscountFactor foreignDiscount

(

)

const

Definition at line 43 of file fxsmilesection.hpp.

{ return std::exp(-rf_ * t_); }

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Member Data Documentation

spot_

Real spot_

protected

Definition at line 46 of file fxsmilesection.hpp.

rd_

Real rd_

protected

Definition at line 47 of file fxsmilesection.hpp.

rf_

Real rf_

protected

Definition at line 48 of file fxsmilesection.hpp.

t_

Time t_

protected

Definition at line 49 of file fxsmilesection.hpp.