FdmQuantoHelper Class Reference

#include <qle/methods/fdmquantohelper.hpp>

Inheritance diagram for FdmQuantoHelper:

Public Member Functions
	FdmQuantoHelper (const ext::shared_ptr< YieldTermStructure > &rTS, const ext::shared_ptr< YieldTermStructure > &fTS, const ext::shared_ptr< BlackVolTermStructure > &fxVolTS, const Real equityFxCorrelation, const Real fxStrike, Real initialFxSpot=Null< Real >(), const bool discounting=true, const bool ensureNonNegativeForwardVariance=false)
Rate	quantoAdjustment (Volatility equityVol, Time t1, Time t2) const
Array	quantoAdjustment (const Array &equityVol, Time t1, Time t2) const

Detailed Description

As the ql class, but fxStrike can be null in which case the atmf level is used as a strike, more precisely we compute

forward vol = sqrt( ( V(t2, k2) - V(t1, k1) ) / (t2-t1) )

where k1, k2 are the atmf levels at t1 and t2. If fxStrike = null, the initialFxSpot value must be given.

If discounting = false, the adjustment will omit the rTS and fTS terms.

If ensureNonNegativeForwardVariance is true, the forward variances from the input vol ts are floored at zero.