QuantoTermStructure Class Reference

Quanto term structure. More...

#include <quantotermstructure.hpp>

Inheritance diagram for QuantoTermStructure:

Collaboration diagram for QuantoTermStructure:

Public Member Functions
	QuantoTermStructure (const Handle< YieldTermStructure > &underlyingDividendTS, Handle< YieldTermStructure > riskFreeTS, Handle< YieldTermStructure > foreignRiskFreeTS, Handle< BlackVolTermStructure > underlyingBlackVolTS, Real strike, Handle< BlackVolTermStructure > exchRateBlackVolTS, Real exchRateATMlevel, Real underlyingExchRateCorrelation)
Public Member Functions inherited from ZeroYieldStructure
	ZeroYieldStructure (const DayCounter &dc=DayCounter())
	ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
	ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
Public Member Functions inherited from YieldTermStructure
	YieldTermStructure (const DayCounter &dc=DayCounter())
	YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
	YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
DiscountFactor	discount (const Date &d, bool extrapolate=false) const
DiscountFactor	discount (Time t, bool extrapolate=false) const
InterestRate	zeroRate (const Date &d, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	zeroRate (Time t, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	forwardRate (const Date &d1, const Date &d2, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
InterestRate	forwardRate (Time t1, Time t2, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
const std::vector< Date > &	jumpDates () const
const std::vector< Time > &	jumpTimes () const
void	update () override
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
	~TermStructure () override=default
Time	timeFromReference (const Date &date) const
	date/time conversion More...
virtual Time	maxTime () const
	the latest time for which the curve can return values More...
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
	Extrapolator ()=default
virtual	~Extrapolator ()=default
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

YieldTermStructure interface
Handle< YieldTermStructure >	underlyingDividendTS_
Handle< YieldTermStructure >	riskFreeTS_
Handle< YieldTermStructure >	foreignRiskFreeTS_
Handle< BlackVolTermStructure >	underlyingBlackVolTS_
Handle< BlackVolTermStructure >	exchRateBlackVolTS_
Real	underlyingExchRateCorrelation_
Real	strike_
Real	exchRateATMlevel_
DayCounter	dayCounter () const override
	the day counter used for date/time conversion More...
Calendar	calendar () const override
	the calendar used for reference and/or option date calculation More...
Natural	settlementDays () const override
	the settlementDays used for reference date calculation More...
const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0 More...
Date	maxDate () const override
	the latest date for which the curve can return values More...
Rate	zeroYieldImpl (Time) const override
	returns the zero yield as seen from the evaluation date More...

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from ZeroYieldStructure
DiscountFactor	discountImpl (Time) const override
Protected Member Functions inherited from YieldTermStructure
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...
void	checkRange (Time t, bool extrapolate) const
	time-range check More...
Protected Attributes inherited from TermStructure
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Quanto term structure.

Quanto term structure for modelling quanto effect in option pricing.

Note

This term structure will remain linked to the original structures, i.e., any changes in the latters will be reflected in this structure as well.

Definition at line 42 of file quantotermstructure.hpp.

Constructor & Destructor Documentation

QuantoTermStructure()

QuantoTermStructure	(	const Handle< YieldTermStructure > &	underlyingDividendTS,
		Handle< YieldTermStructure >	riskFreeTS,
		Handle< YieldTermStructure >	foreignRiskFreeTS,
		Handle< BlackVolTermStructure >	underlyingBlackVolTS,
		Real	strike,
		Handle< BlackVolTermStructure >	exchRateBlackVolTS,
		Real	exchRateATMlevel,
		Real	underlyingExchRateCorrelation
	)

Definition at line 75 of file quantotermstructure.hpp.

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Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 98 of file quantotermstructure.hpp.

calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 102 of file quantotermstructure.hpp.

settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 106 of file quantotermstructure.hpp.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 110 of file quantotermstructure.hpp.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 114 of file quantotermstructure.hpp.

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zeroYieldImpl()

Rate zeroYieldImpl ( Time  t ) const

overrideprotectedvirtual

returns the zero yield as seen from the evaluation date

Implements ZeroYieldStructure.

Definition at line 123 of file quantotermstructure.hpp.

Member Data Documentation

underlyingDividendTS_

Handle<YieldTermStructure> underlyingDividendTS_

private

Definition at line 65 of file quantotermstructure.hpp.

riskFreeTS_

Handle<YieldTermStructure> riskFreeTS_

private

Definition at line 65 of file quantotermstructure.hpp.

foreignRiskFreeTS_

Handle<YieldTermStructure> foreignRiskFreeTS_

private

Definition at line 66 of file quantotermstructure.hpp.

underlyingBlackVolTS_

Handle<BlackVolTermStructure> underlyingBlackVolTS_

private

Definition at line 67 of file quantotermstructure.hpp.

exchRateBlackVolTS_

Handle<BlackVolTermStructure> exchRateBlackVolTS_

private

Definition at line 68 of file quantotermstructure.hpp.

underlyingExchRateCorrelation_

Real underlyingExchRateCorrelation_

private

Definition at line 69 of file quantotermstructure.hpp.

strike_

Real strike_

private

Definition at line 69 of file quantotermstructure.hpp.

exchRateATMlevel_

Real exchRateATMlevel_

private

Definition at line 69 of file quantotermstructure.hpp.