QuantoTermStructure Class Reference#include <quantotermstructure.hpp>
Inheritance diagram for QuantoTermStructure:
[legend]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.
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Public Member Functions |
| QuantoTermStructure (const RelinkableHandle< TermStructure > &underlyingDividendTS, const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &foreignRiskFreeTS, const RelinkableHandle< BlackVolTermStructure > &underlyingBlackVolTS, double strike, const RelinkableHandle< BlackVolTermStructure > &exchRateBlackVolTS, double exchRateATMlevel, double underlyingExchRateCorrelation) |
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DayCounter | dayCounter () const |
| returns the day counter
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Date | todaysDate () const |
| returns today's date
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Date | referenceDate () const |
| returns the reference date, i.e., the date at which discount = 1
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Date | maxDate () const |
| returns the latest date for which the curve can return rates
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void | update () |
Protected Member Functions |
Rate | zeroYieldImpl (Time, bool extrapolate=false) const |
| returns the zero yield as seen from the evaluation date
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Member Function Documentation
void update |
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[virtual] |
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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. |
The documentation for this class was generated from the following file:
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