QuantoTermStructure Class Reference

Quanto term structure. More...

#include <ql/termstructures/yield/quantotermstructure.hpp>

Inheritance diagram for QuantoTermStructure:

Public Member Functions
	QuantoTermStructure (const Handle< YieldTermStructure > &underlyingDividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &underlyingBlackVolTS, Real strike, const 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=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
	ZeroYieldStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
QL_DEPRECATED	ZeroYieldStructure (const DayCounter &dc, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
Public Member Functions inherited from YieldTermStructure
	YieldTermStructure (const DayCounter &dc=DayCounter())
	YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
	YieldTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
QL_DEPRECATED	YieldTermStructure (const DayCounter &dc, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
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 ()
Public Member Functions inherited from TermStructure
	TermStructure (const DayCounter &dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual	~TermStructure ()
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

YieldTermStructure interface
DayCounter	dayCounter () const
	the day counter used for date/time conversion
Calendar	calendar () const
	the calendar used for reference and/or option date calculation
Natural	settlementDays () const
	the settlementDays used for reference date calculation
const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
Date	maxDate () const
	the latest date for which the curve can return values
Rate	zeroYieldImpl (Time) const
	returns the zero yield as seen from the evaluation date

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from ZeroYieldStructure
DiscountFactor	discountImpl (Time) const
Protected Member Functions inherited from YieldTermStructure
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
Protected Attributes inherited from TermStructure
bool	moving_
bool	updated_
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.