#include <fdmquantohelper.hpp>
Inheritance diagram for FdmQuantoHelper:
Collaboration diagram for FdmQuantoHelper:
Public Member Functions | |
| FdmQuantoHelper (ext::shared_ptr< YieldTermStructure > rTS, ext::shared_ptr< YieldTermStructure > fTS, ext::shared_ptr< BlackVolTermStructure > fxVolTS, Real equityFxCorrelation, Real exchRateATMlevel) | |
| Rate | quantoAdjustment (Volatility equityVol, Time t1, Time t2) const |
| Array | quantoAdjustment (const Array &equityVol, Time t1, Time t2) const |
| 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 Attributes | |
| const ext::shared_ptr< YieldTermStructure > | rTS_ |
| const ext::shared_ptr< YieldTermStructure > | fTS_ |
| const ext::shared_ptr< BlackVolTermStructure > | fxVolTS_ |
| const Real | equityFxCorrelation_ |
| const Real | exchRateATMlevel_ |
Detailed Description
Definition at line 36 of file fdmquantohelper.hpp.
Constructor & Destructor Documentation
◆ FdmQuantoHelper()
| FdmQuantoHelper | ( | ext::shared_ptr< YieldTermStructure > | rTS, |
| ext::shared_ptr< YieldTermStructure > | fTS, | ||
| ext::shared_ptr< BlackVolTermStructure > | fxVolTS, | ||
| Real | equityFxCorrelation, | ||
| Real | exchRateATMlevel | ||
| ) |
Definition at line 32 of file fdmquantohelper.cpp.
Member Function Documentation
◆ quantoAdjustment() [1/2]
| Rate quantoAdjustment | ( | Volatility | equityVol, |
| Time | t1, | ||
| Time | t2 | ||
| ) | const |
Definition at line 40 of file fdmquantohelper.cpp.
◆ quantoAdjustment() [2/2]
Member Data Documentation
◆ rTS_
| const ext::shared_ptr<YieldTermStructure> rTS_ |
Definition at line 47 of file fdmquantohelper.hpp.
◆ fTS_
| const ext::shared_ptr<YieldTermStructure> fTS_ |
Definition at line 47 of file fdmquantohelper.hpp.
◆ fxVolTS_
| const ext::shared_ptr<BlackVolTermStructure> fxVolTS_ |
Definition at line 48 of file fdmquantohelper.hpp.
◆ equityFxCorrelation_
| const Real equityFxCorrelation_ |
Definition at line 49 of file fdmquantohelper.hpp.
◆ exchRateATMlevel_
| const Real exchRateATMlevel_ |
Definition at line 50 of file fdmquantohelper.hpp.