20#include <ql/experimental/coupons/quantocouponpricer.hpp>
21#include <ql/cashflows/capflooredcoupon.hpp>
22#include <ql/cashflows/digitalcoupon.hpp>
23#include <ql/cashflows/digitalcmscoupon.hpp>
24#include <ql/cashflows/digitaliborcoupon.hpp>
25#include <ql/cashflows/rangeaccrual.hpp>
26#include <ql/pricingengines/blackformula.hpp>
27#include <ql/indexes/interestrateindex.hpp>
41 if (d1 > referenceDate) {
53 Real dQuantoAdj = std::exp(sigma*fxsigma*rho*t1);
55 fixing = (fixing+shift)*dQuantoAdj-shift;
58 Real dQuantoAdj = sigma*fxsigma*rho*t1;
virtual Rate adjustedFixing(Rate fixing=Null< Rate >()) const
Rate adjustedFixing(Rate fixing=Null< Rate >()) const override
Handle< BlackVolTermStructure > fxRateBlackVolatility_
Handle< Quote > underlyingFxCorrelation_
virtual Date fixingDate() const
fixing date
Rate indexFixing() const override
fixing of the underlying index
Handle< OptionletVolatilityStructure > capletVolatility() const
const IborCoupon * coupon_
template class providing a null value for a given type.
Real Time
continuous quantity with 1-year units
Real Volatility
volatility