BlackIborQuantoCouponPricer Class Reference

#include <qle/cashflows/quantocouponpricer.hpp>

Inheritance diagram for BlackIborQuantoCouponPricer:

Public Member Functions
	BlackIborQuantoCouponPricer (const Handle< QuantLib::BlackVolTermStructure > &fxRateBlackVolatility, const Handle< QuantLib::Quote > &underlyingFxCorrelation, const Handle< QuantLib::OptionletVolatilityStructure > &capletVolatility)

Protected Member Functions
Rate	adjustedFixing (Rate fixing=Null< Rate >()) const override

Detailed Description

Same as QuantLib, but with fixed t1 computation (dc from vol ts instead of index) and extended to SLN and N vol types