33 ext::shared_ptr<YieldTermStructure> fTS,
34 ext::shared_ptr<BlackVolTermStructure> fxVolTS,
35 Real equityFxCorrelation,
36 Real exchRateATMlevel)
37 :
rTS_(
std::move(rTS)), fTS_(
std::move(fTS)), fxVolTS_(
std::move(fxVolTS)),
38 equityFxCorrelation_(equityFxCorrelation), exchRateATMlevel_(exchRateATMlevel) {}
59 for (
Size i=0; i < retVal.
size(); ++i) {
Black volatility term structure base classes.
1-D array used in linear algebra.
Size size() const
dimension of the array
const ext::shared_ptr< YieldTermStructure > fTS_
const ext::shared_ptr< BlackVolTermStructure > fxVolTS_
const Real exchRateATMlevel_
const Real equityFxCorrelation_
const ext::shared_ptr< YieldTermStructure > rTS_
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
const ext::shared_ptr< YieldTermStructure > rTS_
helper class storing market data needed for the quanto adjustment.
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
std::size_t Size
size of a container
Interest-rate term structure.