Cross Asset Model Implied EQ Term Structure. More...
#include <qle/models/crossassetmodelimpliedeqvoltermstructure.hpp>
Public Member Functions | |
CrossAssetModelImpliedEqVolTermStructure (const boost::shared_ptr< CrossAssetModel > &model, const Size equityIndex, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false) | |
void | referenceDate (const Date &d) |
void | referenceTime (const Time t) |
void | state (const Real eqIr, const Real logEq) |
void | move (const Date &d, const Real eqIr, const Real logEq) |
void | move (const Time t, const Real eqIr, const Real logEq) |
Real | minStrike () const override |
Real | maxStrike () const override |
Date | maxDate () const override |
Time | maxTime () const override |
const Date & | referenceDate () const override |
void | update () override |
Size | equityIndex () const |
Size | eqCcyIndex () const |
Protected Member Functions | |
Real | blackVarianceImpl (Time t, Real strike) const override |
Volatility | blackVolImpl (Time t, Real strike) const override |
Cross Asset Model Implied EQ Term Structure.
The termstructure as the reference date of the model at construction, you can vary this and the relevant state variables using the state() and move() methods.