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

#include <equitycashflow.hpp>

+ Inheritance diagram for EquityQuantoCashFlowPricer:
+ Collaboration diagram for EquityQuantoCashFlowPricer:

Public Member Functions

 EquityQuantoCashFlowPricer (Handle< YieldTermStructure > quantoCurrencyTermStructure, Handle< BlackVolTermStructure > equityVolatility, Handle< BlackVolTermStructure > fxVolatility, Handle< Quote > correlation)
 
- Public Member Functions inherited from EquityCashFlowPricer
 EquityCashFlowPricer ()=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 ()
 

Interface

Handle< YieldTermStructurequantoCurrencyTermStructure_
 
Handle< YieldTermStructurequantoTermStructure
 
Handle< BlackVolTermStructureequityVolatility_
 
Handle< BlackVolTermStructurefxVolatility_
 
Handle< Quotecorrelation_
 
Real price () const override
 
void initialize (const EquityCashFlow &) override
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from EquityCashFlowPricer
ext::shared_ptr< EquityIndexindex_
 
Date baseDate_
 
Date fixingDate_
 
bool growthOnlyPayoff_
 

Detailed Description

Definition at line 89 of file equitycashflow.hpp.

Constructor & Destructor Documentation

◆ EquityQuantoCashFlowPricer()

EquityQuantoCashFlowPricer ( Handle< YieldTermStructure quantoCurrencyTermStructure,
Handle< BlackVolTermStructure equityVolatility,
Handle< BlackVolTermStructure fxVolatility,
Handle< Quote correlation 
)

Definition at line 77 of file equitycashflow.cpp.

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Member Function Documentation

◆ price()

Real price ( ) const
overridevirtual

Implements EquityCashFlowPricer.

Definition at line 116 of file equitycashflow.cpp.

◆ initialize()

void initialize ( const EquityCashFlow cashFlow)
overridevirtual

Implements EquityCashFlowPricer.

Definition at line 91 of file equitycashflow.cpp.

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Member Data Documentation

◆ quantoCurrencyTermStructure_

Handle<YieldTermStructure> quantoCurrencyTermStructure_
private

Definition at line 101 of file equitycashflow.hpp.

◆ quantoTermStructure

Handle<YieldTermStructure> quantoTermStructure
private

Definition at line 101 of file equitycashflow.hpp.

◆ equityVolatility_

Handle<BlackVolTermStructure> equityVolatility_
private

Definition at line 102 of file equitycashflow.hpp.

◆ fxVolatility_

Handle<BlackVolTermStructure> fxVolatility_
private

Definition at line 102 of file equitycashflow.hpp.

◆ correlation_

Handle<Quote> correlation_
private

Definition at line 103 of file equitycashflow.hpp.