CrossAssetModelImpliedFxVolTermStructure Class Reference

Cross Asset Model Implied FX Term Structure. More...

#include <qle/models/crossassetmodelimpliedfxvoltermstructure.hpp>

Inheritance diagram for CrossAssetModelImpliedFxVolTermStructure:

Public Member Functions
	CrossAssetModelImpliedFxVolTermStructure (const boost::shared_ptr< CrossAssetModel > &model, const Size foreignCurrencyIndex, 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 domesticIr, const Real foreignIr, const Real logFx)
void	move (const Date &d, const Real domesticIr, const Real foreignIr, const Real logFx)
void	move (const Time t, const Real domesticIr, const Real foreignIr, const Real logFx)
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	fxIndex () const

Protected Member Functions
Real	blackVarianceImpl (Time t, Real strike) const override
Volatility	blackVolImpl (Time t, Real strike) const override

Detailed Description

Cross Asset Model Implied FX 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.