25#ifndef quantlib_quanto_term_structure_hpp
26#define quantlib_quanto_term_structure_hpp
50 Real exchRateATMlevel,
51 Real underlyingExchRateCorrelation);
82 Real exchRateATMlevel,
83 Real underlyingExchRateCorrelation)
85 underlyingDividendTS_(underlyingDividendTS), riskFreeTS_(
std::move(riskFreeTS)),
86 foreignRiskFreeTS_(
std::move(foreignRiskFreeTS)),
87 underlyingBlackVolTS_(
std::move(underlyingBlackVolTS)),
88 exchRateBlackVolTS_(
std::move(exchRateBlackVolTS)),
89 underlyingExchRateCorrelation_(underlyingExchRateCorrelation),
strike_(strike),
90 exchRateATMlevel_(exchRateATMlevel) {
Black volatility term structure base classes.
Shared handle to an observable.
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Handle< YieldTermStructure > foreignRiskFreeTS_
Calendar calendar() const override
the calendar used for reference and/or option date calculation
Handle< BlackVolTermStructure > exchRateBlackVolTS_
Rate zeroYieldImpl(Time) const override
returns the zero yield as seen from the evaluation date
Real underlyingExchRateCorrelation_
Handle< BlackVolTermStructure > underlyingBlackVolTS_
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
QuantoTermStructure(const Handle< YieldTermStructure > &underlyingDividendTS, Handle< YieldTermStructure > riskFreeTS, Handle< YieldTermStructure > foreignRiskFreeTS, Handle< BlackVolTermStructure > underlyingBlackVolTS, Real strike, Handle< BlackVolTermStructure > exchRateBlackVolTS, Real exchRateATMlevel, Real underlyingExchRateCorrelation)
Natural settlementDays() const override
the settlementDays used for reference date calculation
DayCounter dayCounter() const override
the day counter used for date/time conversion
Handle< YieldTermStructure > riskFreeTS_
Date maxDate() const override
the latest date for which the curve can return values
Handle< YieldTermStructure > underlyingDividendTS_
Zero-yield term structure.
@ NoFrequency
null frequency
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Zero-yield based term structure.