EquityQuantoCashFlowPricer Class Reference

#include <ql/cashflows/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 &)
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_

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.