Cross currency price term structure. More...
#include <qle/termstructures/crosscurrencypricetermstructure.hpp>
Public Member Functions | |
Constructors | |
CrossCurrencyPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Handle< PriceTermStructure > &basePriceTs, const QuantLib::Handle< QuantLib::Quote > &fxSpot, const QuantLib::Handle< QuantLib::YieldTermStructure > &baseCurrencyYts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const QuantLib::Currency ¤cy) | |
CrossCurrencyPriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Handle< PriceTermStructure > &basePriceTs, const QuantLib::Handle< QuantLib::Quote > &fxSpot, const QuantLib::Handle< QuantLib::YieldTermStructure > &baseCurrencyYts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const QuantLib::Currency ¤cy) | |
TermStructure interface | |
QuantLib::Date | maxDate () const override |
QuantLib::Time | maxTime () const override |
PriceTermStructure interface | |
QuantLib::Time | minTime () const override |
The minimum time for which the curve can return values. | |
std::vector< QuantLib::Date > | pillarDates () const override |
The pillar dates for the PriceTermStructure. | |
const QuantLib::Currency & | currency () const override |
The currency in which prices are expressed. | |
Public Member Functions inherited from PriceTermStructure | |
PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
QuantLib::Real | price (QuantLib::Time t, bool extrapolate=false) const |
QuantLib::Real | price (const QuantLib::Date &d, bool extrapolate=false) const |
void | update () override |
Inspectors | |
const QuantLib::Handle< PriceTermStructure > & | basePriceTs () const |
The price term structure in base currency. | |
const QuantLib::Handle< QuantLib::Quote > & | fxSpot () const |
The FX spot rate, number of units of this price term structure's currency per unit of the base currency. | |
const QuantLib::Handle< QuantLib::YieldTermStructure > & | baseCurrencyYts () const |
The yield term structure for the base currency. | |
const QuantLib::Handle< QuantLib::YieldTermStructure > & | yts () const |
The yield term structure for this price term structure's currency. | |
QuantLib::Real | priceImpl (QuantLib::Time t) const override |
Price calculation. | |
Additional Inherited Members | |
Protected Member Functions inherited from PriceTermStructure | |
void | checkRange (QuantLib::Time t, bool extrapolate) const |
Extra time range check for minimum time, then calls TermStructure::checkRange. | |
Cross currency price term structure.
This class creates a price term structure in a given currency using an already constructed price term structure in a different currency.
CrossCurrencyPriceTermStructure | ( | const QuantLib::Date & | referenceDate, |
const QuantLib::Handle< PriceTermStructure > & | basePriceTs, | ||
const QuantLib::Handle< QuantLib::Quote > & | fxSpot, | ||
const QuantLib::Handle< QuantLib::YieldTermStructure > & | baseCurrencyYts, | ||
const QuantLib::Handle< QuantLib::YieldTermStructure > & | yts, | ||
const QuantLib::Currency & | currency | ||
) |
Fixed reference date based price term structure.
referenceDate | This price term structure's reference date. |
basePriceTs | The price term structure in base currency units. |
fxSpot | The number of units of this price term structure's currency per unit of the base price term structure's currency. |
baseCurrencyYts | The yield term structure for the base currency. |
yts | The yield term structure for this price term structure's currency. |
currency | The price term structure's currency. |
CrossCurrencyPriceTermStructure | ( | QuantLib::Natural | settlementDays, |
const QuantLib::Handle< PriceTermStructure > & | basePriceTs, | ||
const QuantLib::Handle< QuantLib::Quote > & | fxSpot, | ||
const QuantLib::Handle< QuantLib::YieldTermStructure > & | baseCurrencyYts, | ||
const QuantLib::Handle< QuantLib::YieldTermStructure > & | yts, | ||
const QuantLib::Currency & | currency | ||
) |
Floating reference date based price term structure.
settlementDays | This price term structure's settlement days. |
basePriceTs | The price term structure in base currency units. |
fxSpot | The number of units of this price term structure's currency per unit of the base price term structure's currency. |
baseCurrencyYts | The yield term structure for the base currency. |
yts | The yield term structure for this price term structure's currency. |
currency | The price term structure's currency. |