QuantoTermStructure Class Reference

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

Inheritance diagram for QuantoTermStructure:

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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.


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 DatereferenceDate () 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