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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

 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.hpp
    \brief helper class storing market data needed for the quanto adjustment.

#ifndef quantlib_fdm_quanto_helper_hpp
#define quantlib_fdm_quanto_helper_hpp

#include <ql/math/array.hpp>
#include <ql/patterns/observable.hpp>

namespace QuantLib {

    class YieldTermStructure;
    class BlackVolTermStructure;

00036     class FdmQuantoHelper : public Observable {
        FdmQuantoHelper(const boost::shared_ptr<YieldTermStructure> & rTS,
                        const boost::shared_ptr<YieldTermStructure> & fTS,
                        const boost::shared_ptr<BlackVolTermStructure> & fxVolTS,
                        Real equityFxCorrelation,
                        Real exchRateATMlevel);

        Rate quantoAdjustment(Volatility equityVol, Time t1, Time t2) const;
        Disposable<Array> quantoAdjustment(const Array& equityVol,
                                           Time t1, Time t2) const;

        const boost::shared_ptr<YieldTermStructure> rTS_, fTS_;
        const boost::shared_ptr<BlackVolTermStructure> fxVolTS_;
        const Real equityFxCorrelation_;
        const Real exchRateATMlevel_;


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