QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <equitycashflow.hpp>
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 &) | |
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 () |
Interface | |
Handle< YieldTermStructure > | quantoCurrencyTermStructure_ |
Handle< YieldTermStructure > | quantoTermStructure |
Handle< BlackVolTermStructure > | equityVolatility_ |
Handle< BlackVolTermStructure > | fxVolatility_ |
Handle< Quote > | correlation_ |
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< EquityIndex > | index_ |
Date | baseDate_ |
Date | fixingDate_ |
bool | growthOnlyPayoff_ |
Definition at line 89 of file equitycashflow.hpp.
EquityQuantoCashFlowPricer | ( | Handle< YieldTermStructure > | quantoCurrencyTermStructure, |
Handle< BlackVolTermStructure > | equityVolatility, | ||
Handle< BlackVolTermStructure > | fxVolatility, | ||
Handle< Quote > | correlation | ||
) |
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overridevirtual |
Implements EquityCashFlowPricer.
Definition at line 116 of file equitycashflow.cpp.
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overridevirtual |
Implements EquityCashFlowPricer.
Definition at line 91 of file equitycashflow.cpp.
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private |
Definition at line 101 of file equitycashflow.hpp.
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private |
Definition at line 101 of file equitycashflow.hpp.
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private |
Definition at line 102 of file equitycashflow.hpp.
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private |
Definition at line 102 of file equitycashflow.hpp.
Definition at line 103 of file equitycashflow.hpp.