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Public Member Functions | List of all members
QuantoTermStructure Class Reference

Quanto term structure. More...

#include <ql/termstructures/yield/quantotermstructure.hpp>

+ Inheritance diagram for QuantoTermStructure:
+ Collaboration diagram for QuantoTermStructure:

Public Member Functions

 QuantoTermStructure (const Handle< YieldTermStructure > &underlyingDividendTS, Handle< YieldTermStructure > riskFreeTS, Handle< YieldTermStructure > foreignRiskFreeTS, Handle< BlackVolTermStructure > underlyingBlackVolTS, Real strike, Handle< BlackVolTermStructure > exchRateBlackVolTS, Real exchRateATMlevel, Real underlyingExchRateCorrelation)
 
- Public Member Functions inherited from ZeroYieldStructure
 ZeroYieldStructure (const DayCounter &dc=DayCounter())
 
 ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
 
 ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
 
- Public Member Functions inherited from YieldTermStructure
 YieldTermStructure (const DayCounter &dc=DayCounter())
 
 YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
 
 YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
 
DiscountFactor discount (const Date &d, bool extrapolate=false) const
 
DiscountFactor discount (Time t, bool extrapolate=false) const
 
InterestRate zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
InterestRate forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
 
const std::vector< Date > & jumpDates () const
 
const std::vector< Time > & jumpTimes () const
 
void update () override
 
- Public Member Functions inherited from TermStructure
 TermStructure (DayCounter dc=DayCounter())
 default constructor More...
 
 TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
 initialize with a fixed reference date More...
 
 TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~TermStructure () override=default
 
Time timeFromReference (const Date &date) const
 date/time conversion More...
 
virtual Time maxTime () const
 the latest time for which the curve can return values More...
 
- 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 ()
 
- Public Member Functions inherited from Extrapolator
 Extrapolator ()=default
 
virtual ~Extrapolator ()=default
 
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls More...
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls More...
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled More...
 

YieldTermStructure interface

Handle< YieldTermStructureunderlyingDividendTS_
 
Handle< YieldTermStructureriskFreeTS_
 
Handle< YieldTermStructureforeignRiskFreeTS_
 
Handle< BlackVolTermStructureunderlyingBlackVolTS_
 
Handle< BlackVolTermStructureexchRateBlackVolTS_
 
Real underlyingExchRateCorrelation_
 
Real strike_
 
Real exchRateATMlevel_
 
DayCounter dayCounter () const override
 the day counter used for date/time conversion More...
 
Calendar calendar () const override
 the calendar used for reference and/or option date calculation More...
 
Natural settlementDays () const override
 the settlementDays used for reference date calculation More...
 
const DatereferenceDate () const override
 the date at which discount = 1.0 and/or variance = 0.0 More...
 
Date maxDate () const override
 the latest date for which the curve can return values More...
 
Rate zeroYieldImpl (Time) const override
 returns the zero yield as seen from the evaluation date More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from ZeroYieldStructure
DiscountFactor discountImpl (Time) const override
 
- Protected Member Functions inherited from YieldTermStructure
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check More...
 
void checkRange (Time t, bool extrapolate) const
 time-range check More...
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

Quanto term structure.

Quanto term structure for modelling quanto effect in option pricing.

Note
This term structure will remain linked to the original structures, i.e., any changes in the latters will be reflected in this structure as well.

Definition at line 42 of file quantotermstructure.hpp.

Constructor & Destructor Documentation

◆ QuantoTermStructure()

QuantoTermStructure ( const Handle< YieldTermStructure > &  underlyingDividendTS,
Handle< YieldTermStructure riskFreeTS,
Handle< YieldTermStructure foreignRiskFreeTS,
Handle< BlackVolTermStructure underlyingBlackVolTS,
Real  strike,
Handle< BlackVolTermStructure exchRateBlackVolTS,
Real  exchRateATMlevel,
Real  underlyingExchRateCorrelation 
)

Definition at line 75 of file quantotermstructure.hpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 98 of file quantotermstructure.hpp.

◆ calendar()

Calendar calendar ( ) const
overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 102 of file quantotermstructure.hpp.

◆ settlementDays()

Natural settlementDays ( ) const
overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 106 of file quantotermstructure.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const
overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 110 of file quantotermstructure.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 114 of file quantotermstructure.hpp.

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◆ zeroYieldImpl()

Rate zeroYieldImpl ( Time  t) const
overrideprotectedvirtual

returns the zero yield as seen from the evaluation date

Implements ZeroYieldStructure.

Definition at line 123 of file quantotermstructure.hpp.

Member Data Documentation

◆ underlyingDividendTS_

Handle<YieldTermStructure> underlyingDividendTS_
private

Definition at line 65 of file quantotermstructure.hpp.

◆ riskFreeTS_

Handle<YieldTermStructure> riskFreeTS_
private

Definition at line 65 of file quantotermstructure.hpp.

◆ foreignRiskFreeTS_

Handle<YieldTermStructure> foreignRiskFreeTS_
private

Definition at line 66 of file quantotermstructure.hpp.

◆ underlyingBlackVolTS_

Handle<BlackVolTermStructure> underlyingBlackVolTS_
private

Definition at line 67 of file quantotermstructure.hpp.

◆ exchRateBlackVolTS_

Handle<BlackVolTermStructure> exchRateBlackVolTS_
private

Definition at line 68 of file quantotermstructure.hpp.

◆ underlyingExchRateCorrelation_

Real underlyingExchRateCorrelation_
private

Definition at line 69 of file quantotermstructure.hpp.

◆ strike_

Real strike_
private

Definition at line 69 of file quantotermstructure.hpp.

◆ exchRateATMlevel_

Real exchRateATMlevel_
private

Definition at line 69 of file quantotermstructure.hpp.