quantotermstructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2008 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_quanto_term_structure_hpp
#define quantlib_quanto_term_structure_hpp
 
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
#include <utility>
 
namespace QuantLib {
 
 
    class QuantoTermStructure : public ZeroYieldStructure {
      public:
        QuantoTermStructure(const Handle<YieldTermStructure>& underlyingDividendTS,
                            Handle<YieldTermStructure> riskFreeTS,
                            Handle<YieldTermStructure> foreignRiskFreeTS,
                            Handle<BlackVolTermStructure> underlyingBlackVolTS,
                            Real strike,
                            Handle<BlackVolTermStructure> exchRateBlackVolTS,
                            Real exchRateATMlevel,
                            Real underlyingExchRateCorrelation);
 
        DayCounter dayCounter() const override;
        Calendar calendar() const override;
        Natural settlementDays() const override;
        const Date& referenceDate() const override;
        Date maxDate() const override;
      protected:
        Rate zeroYieldImpl(Time) const override;
 
      private:
        Handle<YieldTermStructure> underlyingDividendTS_, riskFreeTS_,
                                   foreignRiskFreeTS_;
        Handle<BlackVolTermStructure> underlyingBlackVolTS_,
                                      exchRateBlackVolTS_;
        Real underlyingExchRateCorrelation_, strike_, exchRateATMlevel_;
    };
 
 
    // inline definitions
 
    inline QuantoTermStructure::QuantoTermStructure(
        const Handle<YieldTermStructure>& underlyingDividendTS,
        Handle<YieldTermStructure> riskFreeTS,
        Handle<YieldTermStructure> foreignRiskFreeTS,
        Handle<BlackVolTermStructure> underlyingBlackVolTS,
        Real strike,
        Handle<BlackVolTermStructure> exchRateBlackVolTS,
        Real exchRateATMlevel,
        Real underlyingExchRateCorrelation)
    : ZeroYieldStructure(underlyingDividendTS->dayCounter()),
      underlyingDividendTS_(underlyingDividendTS), riskFreeTS_(std::move(riskFreeTS)),
      foreignRiskFreeTS_(std::move(foreignRiskFreeTS)),
      underlyingBlackVolTS_(std::move(underlyingBlackVolTS)),
      exchRateBlackVolTS_(std::move(exchRateBlackVolTS)),
      underlyingExchRateCorrelation_(underlyingExchRateCorrelation), strike_(strike),
      exchRateATMlevel_(exchRateATMlevel) {
        registerWith(underlyingDividendTS_);
        registerWith(riskFreeTS_);
        registerWith(foreignRiskFreeTS_);
        registerWith(underlyingBlackVolTS_);
        registerWith(exchRateBlackVolTS_);
    }
 
    inline DayCounter QuantoTermStructure::dayCounter() const {
        return underlyingDividendTS_->dayCounter();
    }
 
    inline Calendar QuantoTermStructure::calendar() const {
        return underlyingDividendTS_->calendar();
    }
 
    inline Natural QuantoTermStructure::settlementDays() const {
        return underlyingDividendTS_->settlementDays();
    }
 
    inline const Date& QuantoTermStructure::referenceDate() const {
        return underlyingDividendTS_->referenceDate();
    }
 
    inline Date QuantoTermStructure::maxDate() const {
        Date maxDate = std::min(underlyingDividendTS_->maxDate(),
                                riskFreeTS_->maxDate());
        maxDate = std::min(maxDate, foreignRiskFreeTS_->maxDate());
        maxDate = std::min(maxDate, underlyingBlackVolTS_->maxDate());
        maxDate = std::min(maxDate, exchRateBlackVolTS_->maxDate());
        return maxDate;
    }
 
    inline Rate QuantoTermStructure::zeroYieldImpl(Time t) const {
        // warning: here it is assumed that all TS have the same daycount.
        //          It should be QL_REQUIREd
        return underlyingDividendTS_->zeroRate(t, Continuous, NoFrequency, true).rate()
            +            riskFreeTS_->zeroRate(t, Continuous, NoFrequency, true).rate()
            -     foreignRiskFreeTS_->zeroRate(t, Continuous, NoFrequency, true).rate()
            + underlyingExchRateCorrelation_
            * underlyingBlackVolTS_->blackVol(t, strike_, true)
            *   exchRateBlackVolTS_->blackVol(t, exchRateATMlevel_, true);
    }
 
}
 
 
#endif