BlackIborQuantoCouponPricer Class Reference

#include <ql/experimental/coupons/quantocouponpricer.hpp>

Inheritance diagram for BlackIborQuantoCouponPricer:

Collaboration diagram for BlackIborQuantoCouponPricer:

Public Member Functions
	BlackIborQuantoCouponPricer (Handle< BlackVolTermStructure > fxRateBlackVolatility, Handle< Quote > underlyingFxCorrelation, const Handle< OptionletVolatilityStructure > &capletVolatility)
Public Member Functions inherited from BlackIborCouponPricer
	BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >(), const TimingAdjustment timingAdjustment=Black76, Handle< Quote > correlation=Handle< Quote >(ext::shared_ptr< Quote >(new SimpleQuote(1.0))), const ext::optional< bool > useIndexedCoupon=ext::nullopt)
void	initialize (const FloatingRateCoupon &coupon) override
Real	swapletPrice () const override
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override
Public Member Functions inherited from IborCouponPricer
	IborCouponPricer (Handle< OptionletVolatilityStructure > v=Handle< OptionletVolatilityStructure >(), ext::optional< bool > useIndexedCoupon=ext::nullopt)
bool	useIndexedCoupon () const
Handle< OptionletVolatilityStructure >	capletVolatility () const
void	setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())
void	initialize (const FloatingRateCoupon &coupon) override
void	initializeCachedData (const IborCoupon &coupon) const
Public Member Functions inherited from FloatingRateCouponPricer
	~FloatingRateCouponPricer () override=default
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Protected Member Functions
Rate	adjustedFixing (Rate fixing=Null< Rate >()) const override
Protected Member Functions inherited from BlackIborCouponPricer
Real	optionletPrice (Option::Type optionType, Real effStrike) const
Real	optionletRate (Option::Type optionType, Real effStrike) const
virtual Rate	adjustedFixing (Rate fixing=Null< Rate >()) const

Private Attributes
Handle< BlackVolTermStructure >	fxRateBlackVolatility_
Handle< Quote >	underlyingFxCorrelation_

Additional Inherited Members
Public Types inherited from BlackIborCouponPricer
enum	TimingAdjustment { Black76 , BivariateLognormal }
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from BlackIborCouponPricer
Real	discount_
Protected Attributes inherited from IborCouponPricer
const IborCoupon *	coupon_
ext::shared_ptr< IborIndex >	index_
Date	fixingDate_
Real	gearing_
Spread	spread_
Time	accrualPeriod_
Date	fixingValueDate_
Date	fixingEndDate_
Date	fixingMaturityDate_
Time	spanningTime_
Time	spanningTimeIndexMaturity_
Handle< OptionletVolatilityStructure >	capletVol_
bool	useIndexedCoupon_

Detailed Description

Definition at line 34 of file quantocouponpricer.hpp.

Constructor & Destructor Documentation

BlackIborQuantoCouponPricer()

BlackIborQuantoCouponPricer	(	Handle< BlackVolTermStructure >	fxRateBlackVolatility,
		Handle< Quote >	underlyingFxCorrelation,
		const Handle< OptionletVolatilityStructure > &	capletVolatility
	)

Definition at line 36 of file quantocouponpricer.hpp.

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Member Function Documentation

adjustedFixing()

Rate adjustedFixing ( Rate  fixing = Null<Rate>() ) const

overrideprotectedvirtual

Reimplemented from BlackIborCouponPricer.

Definition at line 31 of file quantocouponpricer.cpp.

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Member Data Documentation

fxRateBlackVolatility_

Handle<BlackVolTermStructure> fxRateBlackVolatility_

private

Definition at line 50 of file quantocouponpricer.hpp.

underlyingFxCorrelation_

Handle<Quote> underlyingFxCorrelation_

private

Definition at line 51 of file quantocouponpricer.hpp.