CrossCurrencyPriceTermStructure Class Reference

Cross currency price term structure. More...

#include <qle/termstructures/crosscurrencypricetermstructure.hpp>

Inheritance diagram for CrossCurrencyPriceTermStructure:

Public Member Functions
Constructors
	CrossCurrencyPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Handle< PriceTermStructure > &basePriceTs, const QuantLib::Handle< QuantLib::Quote > &fxSpot, const QuantLib::Handle< QuantLib::YieldTermStructure > &baseCurrencyYts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const QuantLib::Currency &currency)
	CrossCurrencyPriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Handle< PriceTermStructure > &basePriceTs, const QuantLib::Handle< QuantLib::Quote > &fxSpot, const QuantLib::Handle< QuantLib::YieldTermStructure > &baseCurrencyYts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const QuantLib::Currency &currency)
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
PriceTermStructure interface
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values.
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed.
Public Member Functions inherited from PriceTermStructure
	PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const
QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const
void	update () override

Inspectors
const QuantLib::Handle< PriceTermStructure > &	basePriceTs () const
	The price term structure in base currency.
const QuantLib::Handle< QuantLib::Quote > &	fxSpot () const
	The FX spot rate, number of units of this price term structure's currency per unit of the base currency.
const QuantLib::Handle< QuantLib::YieldTermStructure > &	baseCurrencyYts () const
	The yield term structure for the base currency.
const QuantLib::Handle< QuantLib::YieldTermStructure > &	yts () const
	The yield term structure for this price term structure's currency.
QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation.

Additional Inherited Members
Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange.

Detailed Description

Cross currency price term structure.

This class creates a price term structure in a given currency using an already constructed price term structure in a different currency.

Constructor & Destructor Documentation

CrossCurrencyPriceTermStructure() [1/2]

CrossCurrencyPriceTermStructure	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Handle< PriceTermStructure > &	basePriceTs,
		const QuantLib::Handle< QuantLib::Quote > &	fxSpot,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	baseCurrencyYts,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	yts,
		const QuantLib::Currency &	currency )

Fixed reference date based price term structure.

Parameters

referenceDate	This price term structure's reference date.
basePriceTs	The price term structure in base currency units.
fxSpot	The number of units of this price term structure's currency per unit of the base price term structure's currency.
baseCurrencyYts	The yield term structure for the base currency.
yts	The yield term structure for this price term structure's currency.
currency	The price term structure's currency.

CrossCurrencyPriceTermStructure() [2/2]

CrossCurrencyPriceTermStructure	(	QuantLib::Natural	settlementDays,
		const QuantLib::Handle< PriceTermStructure > &	basePriceTs,
		const QuantLib::Handle< QuantLib::Quote > &	fxSpot,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	baseCurrencyYts,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	yts,
		const QuantLib::Currency &	currency )

Floating reference date based price term structure.

Parameters

settlementDays	This price term structure's settlement days.
basePriceTs	The price term structure in base currency units.
fxSpot	The number of units of this price term structure's currency per unit of the base price term structure's currency.
baseCurrencyYts	The yield term structure for the base currency.
yts	The yield term structure for this price term structure's currency.
currency	The price term structure's currency.

Member Function Documentation

minTime()

QuantLib::Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

pillarDates()

std::vector< QuantLib::Date > pillarDates ( ) const

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

priceImpl()

QuantLib::Real priceImpl ( QuantLib::Time t ) const

overrideprotectedvirtual

Price calculation.

Implements PriceTermStructure.