FxEqOptionHelper Class Reference

FxEq Option Helper. More...

#include <qle/models/fxeqoptionhelper.hpp>

Inheritance diagram for FxEqOptionHelper:

Public Member Functions
	FxEqOptionHelper (const Period &maturity, const Calendar &calendar, const Real strike, const Handle< Quote > spot, const Handle< Quote > volatility, const Handle< YieldTermStructure > &domesticYield, const Handle< YieldTermStructure > &foreignYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
	FxEqOptionHelper (const Date &exerciseDate, const Real strike, const Handle< Quote > spot, const Handle< Quote > volatility, const Handle< YieldTermStructure > &domesticYield, const Handle< YieldTermStructure > &foreignYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
void	addTimesTo (std::list< Time > &) const override
void	performCalculations () const override
Real	modelValue () const override
Real	blackPrice (Real volatility) const override
QuantLib::ext::shared_ptr< VanillaOption >	option () const
Real	strike () const

Detailed Description

FxEq Option Helper.

Constructor & Destructor Documentation

FxEqOptionHelper()

FxEqOptionHelper	(	const Period &	maturity,
		const Calendar &	calendar,
		const Real	strike,
		const Handle< Quote >	spot,
		const Handle< Quote >	volatility,
		const Handle< YieldTermStructure > &	domesticYield,
		const Handle< YieldTermStructure > &	foreignYield,
		BlackCalibrationHelper::CalibrationErrorType	errorType = BlackCalibrationHelper::RelativePriceError )

the spot is interpreted as of today (or discounted spot) if strike is null, an (fwd-) atm option is constructed, a slight approximation is introduced because there is no settlement lag, however this applies consistently to the black and the model pricing