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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_quanto_term_structure.html">QuantoTermStructure</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> </div>
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<div class="title">QuantoTermStructure Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::QuantoTermStructure" --><!-- doxytag: inherits="QuantLib::ZeroYieldStructure" -->
<p>Quanto term structure.
<a href="class_quant_lib_1_1_quanto_term_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/yield/quantotermstructure.hpp></code></p>
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Inheritance diagram for QuantoTermStructure:</div>
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<div class="center"><img src="class_quant_lib_1_1_quanto_term_structure__inherit__graph.png" border="0" usemap="#_quanto_term_structure_inherit__map" alt="Inheritance graph"/></div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_zero_yield_structure.html" title="Zero-yield term structure." alt="" coords="15,6,143,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_quanto_term_structure-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8a492ca4a04a52b27abb13989ea942ca"></a><!-- doxytag: member="QuantLib::QuantoTermStructure::QuantoTermStructure" ref="a8a492ca4a04a52b27abb13989ea942ca" args="(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)" -->
 </td><td class="memItemRight" valign="bottom"><b>QuantoTermStructure</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &underlyingDividendTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &riskFreeTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &foreignRiskFreeTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &underlyingBlackVolTS, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &exchRateBlackVolTS, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> exchRateATMlevel, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlyingExchRateCorrelation)</td></tr>
<tr><td colspan="2"><div class="groupHeader">YieldTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::QuantoTermStructure::dayCounter" ref="ac147d63df367bbe5282b76b1f98cb9be" args="() const " -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::QuantoTermStructure::calendar" ref="ae9a0f3904cff2fe61596c593dd0b6448" args="() const " -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab6506da60fec85c6f146f1b43116de70"></a><!-- doxytag: member="QuantLib::QuantoTermStructure::settlementDays" ref="ab6506da60fec85c6f146f1b43116de70" args="() const " -->
<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5662908c63119a3b347a7e0ec8544afa"></a><!-- doxytag: member="QuantLib::QuantoTermStructure::referenceDate" ref="a5662908c63119a3b347a7e0ec8544afa" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_term_structure.html#a5662908c63119a3b347a7e0ec8544afa">referenceDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::QuantoTermStructure::maxDate" ref="a74d8fc5480ca811db8332b7b30597fe9" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_term_structure.html#a74d8fc5480ca811db8332b7b30597fe9">maxDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac5fe572646475bf02f83c3bedfca9a61"></a><!-- doxytag: member="QuantLib::QuantoTermStructure::zeroYieldImpl" ref="ac5fe572646475bf02f83c3bedfca9a61" args="(Time) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_term_structure.html#ac5fe572646475bf02f83c3bedfca9a61">zeroYieldImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the zero yield as seen from the evaluation date <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Quanto term structure. </p>
<p>Quanto term structure for modelling quanto effect in option pricing.</p>
<dl class="note"><dt><b>Note:</b></dt><dd>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. </dd></dl>
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