EqBsParametrization Class Reference

EQ Black Scholes parametrizations. More...

#include <qle/models/eqbsparametrization.hpp>

Inheritance diagram for EqBsParametrization:

Public Member Functions
	EqBsParametrization (const Currency &eqCcy, const std::string &eqName, const Handle< Quote > &equitySpotToday, const Handle< Quote > &fxSpotToday, const Handle< YieldTermStructure > &equityIrCurveToday, const Handle< YieldTermStructure > &equityDivYieldCurveToday)
virtual Real	variance (const Time t) const =0
virtual Real	sigma (const Time t) const
virtual Real	stdDeviation (const Time t) const
const Handle< Quote >	eqSpotToday () const
const Handle< Quote >	fxSpotToday () const
const Handle< YieldTermStructure >	equityIrCurveToday () const
const Handle< YieldTermStructure >	equityDivYieldCurveToday () const
Size	numberOfParameters () const override
Public Member Functions inherited from Parametrization
	Parametrization (const Currency &currency, const std::string &name="")
virtual const Currency &	currency () const
virtual const Array &	parameterTimes (const Size) const
virtual Array	parameterValues (const Size) const
virtual const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const
virtual void	update () const
const std::string &	name () const
virtual Real	direct (const Size, const Real x) const
virtual Real	inverse (const Size, const Real y) const

Additional Inherited Members
Protected Member Functions inherited from Parametrization
Time	tr (const Time t) const
Time	tl (const Time t) const
Time	tr2 (const Time t) const
Time	tm2 (const Time t) const
Time	tl2 (const Time t) const
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

EQ Black Scholes parametrizations.

Base class for EQ Black Scholes parametrizations

Constructor & Destructor Documentation

EqBsParametrization()

EqBsParametrization	(	const Currency &	eqCcy,
		const std::string &	eqName,
		const Handle< Quote > &	equitySpotToday,
		const Handle< Quote > &	fxSpotToday,
		const Handle< YieldTermStructure > &	equityIrCurveToday,
		const Handle< YieldTermStructure > &	equityDivYieldCurveToday )

The currency refers to the equity currency, the equity and fx spots are as of today (i.e. the discounted spot)

Member Function Documentation

variance()

virtual Real variance ( const Time t ) const

pure virtual

must satisfy variance(0) = 0.0, variance'(t) >= 0

Implemented in EqBsConstantParametrization, and EqBsPiecewiseConstantParametrization.

sigma()

Real sigma ( const Time t ) const

virtual

is supposed to be positive

Reimplemented in EqBsConstantParametrization, and EqBsPiecewiseConstantParametrization.

numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.