QuantoTermStructure Class Reference
#include <ql/termstructures/yieldcurves/quantotermstructure.hpp>
Inheritance diagram for QuantoTermStructure:

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 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) | |
YieldTermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Calendar | calendar () const |
the calendar 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 | |
Protected Member Functions | |
Rate | zeroYieldImpl (Time) const |
returns the zero yield as seen from the evaluation date |