FxBsParametrization Class Reference

FX Black Scholes parametrizations. More...

#include <qle/models/fxbsparametrization.hpp>

Inheritance diagram for FxBsParametrization:

Public Member Functions
	FxBsParametrization (const Currency &foreignCurrency, const Handle< Quote > &fxSpotToday)
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 >	fxSpotToday () 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

FX Black Scholes parametrizations.

Base class for FX Black Scholes parametrizations

Constructor & Destructor Documentation

FxBsParametrization()

FxBsParametrization	(	const Currency &	foreignCurrency,
		const Handle< Quote > &	fxSpotToday )

The currency refers to the foreign currency, the spot is 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 FxBsConstantParametrization, and FxBsPiecewiseConstantParametrization.

sigma()

Real sigma ( const Time t ) const

virtual

is supposed to be positive

Reimplemented in FxBsConstantParametrization, and FxBsPiecewiseConstantParametrization.

numberOfParameters()

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.