QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Quanto term structure. More...
#include <quantotermstructure.hpp>
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 &) | |
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 () |
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< YieldTermStructure > | underlyingDividendTS_ |
Handle< YieldTermStructure > | riskFreeTS_ |
Handle< YieldTermStructure > | foreignRiskFreeTS_ |
Handle< BlackVolTermStructure > | underlyingBlackVolTS_ |
Handle< BlackVolTermStructure > | exchRateBlackVolTS_ |
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 Date & | referenceDate () 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_ |
Quanto term structure.
Quanto term structure for modelling quanto effect in option pricing.
Definition at line 42 of file quantotermstructure.hpp.
QuantoTermStructure | ( | const Handle< YieldTermStructure > & | underlyingDividendTS, |
Handle< YieldTermStructure > | riskFreeTS, | ||
Handle< YieldTermStructure > | foreignRiskFreeTS, | ||
Handle< BlackVolTermStructure > | underlyingBlackVolTS, | ||
Real | strike, | ||
Handle< BlackVolTermStructure > | exchRateBlackVolTS, | ||
Real | exchRateATMlevel, | ||
Real | underlyingExchRateCorrelation | ||
) |
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overridevirtual |
the day counter used for date/time conversion
Reimplemented from TermStructure.
Definition at line 98 of file quantotermstructure.hpp.
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overridevirtual |
the calendar used for reference and/or option date calculation
Reimplemented from TermStructure.
Definition at line 102 of file quantotermstructure.hpp.
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overridevirtual |
the settlementDays used for reference date calculation
Reimplemented from TermStructure.
Definition at line 106 of file quantotermstructure.hpp.
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overridevirtual |
the date at which discount = 1.0 and/or variance = 0.0
Reimplemented from TermStructure.
Definition at line 110 of file quantotermstructure.hpp.
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 114 of file quantotermstructure.hpp.
returns the zero yield as seen from the evaluation date
Implements ZeroYieldStructure.
Definition at line 123 of file quantotermstructure.hpp.
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private |
Definition at line 65 of file quantotermstructure.hpp.
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Definition at line 65 of file quantotermstructure.hpp.
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Definition at line 66 of file quantotermstructure.hpp.
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Definition at line 67 of file quantotermstructure.hpp.
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Definition at line 68 of file quantotermstructure.hpp.
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Definition at line 69 of file quantotermstructure.hpp.
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private |
Definition at line 69 of file quantotermstructure.hpp.
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private |
Definition at line 69 of file quantotermstructure.hpp.