QuantLib_QuantoTermStructure man page

QuantoTermStructure — Quanto term structure.


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

Inherits ZeroYieldStructure.

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

Additional Inherited Members

Detailed Description

Quanto term structure.

Quanto term structure for modelling quanto effect in option pricing.


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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

QuantoTermStructure(3) is an alias of QuantLib_QuantoTermStructure(3).

QuantLib Version 1.8.1 Fri Sep 23 2016