- QuantLib
- QuantoTermStructure
Quanto term structure. More...
#include <ql/termstructures/yield/quantotermstructure.hpp>

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 and/or option date calculation | |
| Natural | settlementDays () const |
| the settlementDays 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 | |
Quanto term structure.
Quanto term structure for modelling quanto effect in option pricing.