25#ifndef quantlib_fdm_quanto_helper_hpp
26#define quantlib_fdm_quanto_helper_hpp
33 class YieldTermStructure;
34 class BlackVolTermStructure;
39 ext::shared_ptr<YieldTermStructure> fTS,
40 ext::shared_ptr<BlackVolTermStructure> fxVolTS,
41 Real equityFxCorrelation,
42 Real exchRateATMlevel);
47 const ext::shared_ptr<YieldTermStructure>
rTS_,
fTS_;
48 const ext::shared_ptr<BlackVolTermStructure>
fxVolTS_;
1-D array used in linear algebra.
1-D array used in linear algebra.
const ext::shared_ptr< YieldTermStructure > fTS_
const ext::shared_ptr< BlackVolTermStructure > fxVolTS_
const Real exchRateATMlevel_
const Real equityFxCorrelation_
const ext::shared_ptr< YieldTermStructure > rTS_
Rate quantoAdjustment(Volatility equityVol, Time t1, Time t2) const
Object that notifies its changes to a set of observers.
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
observer/observable pattern