QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmquantohelper.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008, 2009 Ralph Schreyer
5 Copyright (C) 2008, 2009 Klaus Spanderen
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file fdmquantohelper.hpp
22 \brief helper class storing market data needed for the quanto adjustment.
23*/
24
25#ifndef quantlib_fdm_quanto_helper_hpp
26#define quantlib_fdm_quanto_helper_hpp
27
28#include <ql/math/array.hpp>
30
31namespace QuantLib {
32
33 class YieldTermStructure;
34 class BlackVolTermStructure;
35
36 class FdmQuantoHelper : public Observable {
37 public:
38 FdmQuantoHelper(ext::shared_ptr<YieldTermStructure> rTS,
39 ext::shared_ptr<YieldTermStructure> fTS,
40 ext::shared_ptr<BlackVolTermStructure> fxVolTS,
41 Real equityFxCorrelation,
42 Real exchRateATMlevel);
43
44 Rate quantoAdjustment(Volatility equityVol, Time t1, Time t2) const;
45 Array quantoAdjustment(const Array& equityVol, Time t1, Time t2) const;
46
47 const ext::shared_ptr<YieldTermStructure> rTS_, fTS_;
48 const ext::shared_ptr<BlackVolTermStructure> fxVolTS_;
51 };
52}
53
54#endif
1-D array used in linear algebra.
1-D array used in linear algebra.
Definition: array.hpp:52
const ext::shared_ptr< YieldTermStructure > fTS_
const ext::shared_ptr< BlackVolTermStructure > fxVolTS_
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.
Definition: observable.hpp:62
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35
observer/observable pattern