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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008, 2009 Ralph Schreyer
Copyright (C) 2008, 2009 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fdmquantohelper.cpp
\brief quanto helper to store market data needed for the quanto adjustment.
*/
#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
namespace QuantLib {
FdmQuantoHelper::FdmQuantoHelper(
const boost::shared_ptr<YieldTermStructure> & rTS,
const boost::shared_ptr<YieldTermStructure> & fTS,
const boost::shared_ptr<BlackVolTermStructure> & fxVolTS,
Real equityFxCorrelation,
Real exchRateATMlevel)
: rTS_(rTS),
fTS_(fTS),
fxVolTS_(fxVolTS),
equityFxCorrelation_(equityFxCorrelation),
exchRateATMlevel_(exchRateATMlevel) {}
Rate FdmQuantoHelper::quantoAdjustment(Volatility equityVol,
Time t1, Time t2) const {
const Rate rDomestic = rTS_->forwardRate(t1, t2, Continuous).rate();
const Rate rForeign = fTS_->forwardRate(t1, t2, Continuous).rate();
const Volatility fxVol
= fxVolTS_->blackForwardVol(t1, t2, exchRateATMlevel_);
return rDomestic - rForeign + equityVol*fxVol*equityFxCorrelation_;
}
Disposable<Array> FdmQuantoHelper::quantoAdjustment(
const Array& equityVol, Time t1, Time t2) const {
const Rate rDomestic = rTS_->forwardRate(t1, t2, Continuous).rate();
const Rate rForeign = fTS_->forwardRate(t1, t2, Continuous).rate();
const Volatility fxVol
= fxVolTS_->blackForwardVol(t1, t2, exchRateATMlevel_);
Array retVal(equityVol.size());
for (Size i=0; i < retVal.size(); ++i) {
retVal[i]
= rDomestic - rForeign + equityVol[i]*fxVol*equityFxCorrelation_;
}
return retVal;
}
}
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