QuantoTermStructure Class Reference

#include <ql/TermStructures/quantotermstructure.hpp>

Inheritance diagram for QuantoTermStructure:

Inheritance graph
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List of all members.

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.


Public Member Functions

 QuantoTermStructure (const RelinkableHandle< TermStructure > &underlyingDividendTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &foreignRiskFreeTS, const RelinkableHandle< BlackVolTermStructure > &underlyingBlackVolTS, Real strike, const RelinkableHandle< BlackVolTermStructure > &exchRateBlackVolTS, Real exchRateATMlevel, Real underlyingExchRateCorrelation)
TermStructure interface
DayCounter dayCounter () const
 the day counter used for date/time conversion

Date todaysDate () const
 today's date

Date referenceDate () const
 the reference date, i.e., the date at which discount = 1

Date maxDate () const
 the latest date for which the curve can return rates

Observer interface
void update ()

Protected Member Functions

Rate zeroYieldImpl (Time) const
 returns the zero yield as seen from the evaluation date


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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