QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
BlackIborQuantoCouponPricer Class Reference

#include <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< OptionletVolatilityStructurecapletVolatility () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< BlackVolTermStructurefxRateBlackVolatility_
 
Handle< QuoteunderlyingFxCorrelation_
 

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 IborCouponcoupon_
 
ext::shared_ptr< IborIndexindex_
 
Date fixingDate_
 
Real gearing_
 
Spread spread_
 
Time accrualPeriod_
 
Date fixingValueDate_
 
Date fixingEndDate_
 
Date fixingMaturityDate_
 
Time spanningTime_
 
Time spanningTimeIndexMaturity_
 
Handle< OptionletVolatilityStructurecapletVol_
 
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.