EQ Black Scholes parametrizations. More...
#include <qle/models/eqbsparametrization.hpp>
Public Member Functions | |
EqBsParametrization (const Currency &eqCcy, const std::string &eqName, const Handle< Quote > &equitySpotToday, const Handle< Quote > &fxSpotToday, const Handle< YieldTermStructure > &equityIrCurveToday, const Handle< YieldTermStructure > &equityDivYieldCurveToday) | |
virtual Real | variance (const Time t) const =0 |
virtual Real | sigma (const Time t) const |
virtual Real | stdDeviation (const Time t) const |
const Handle< Quote > | eqSpotToday () const |
const Handle< Quote > | fxSpotToday () const |
const Handle< YieldTermStructure > | equityIrCurveToday () const |
const Handle< YieldTermStructure > | equityDivYieldCurveToday () const |
Size | numberOfParameters () const override |
Public Member Functions inherited from Parametrization | |
Parametrization (const Currency ¤cy, const std::string &name="") | |
virtual const Currency & | currency () const |
virtual const Array & | parameterTimes (const Size) const |
virtual Array | parameterValues (const Size) const |
virtual const boost::shared_ptr< Parameter > | parameter (const Size) const |
virtual void | update () const |
const std::string & | name () const |
virtual Real | direct (const Size, const Real x) const |
virtual Real | inverse (const Size, const Real y) const |
Additional Inherited Members | |
Protected Member Functions inherited from Parametrization | |
Time | tr (const Time t) const |
Time | tl (const Time t) const |
Time | tr2 (const Time t) const |
Time | tm2 (const Time t) const |
Time | tl2 (const Time t) const |
Protected Attributes inherited from Parametrization | |
const Real | h_ |
const Real | h2_ |
EQ Black Scholes parametrizations.
Base class for EQ Black Scholes parametrizations
EqBsParametrization | ( | const Currency & | eqCcy, |
const std::string & | eqName, | ||
const Handle< Quote > & | equitySpotToday, | ||
const Handle< Quote > & | fxSpotToday, | ||
const Handle< YieldTermStructure > & | equityIrCurveToday, | ||
const Handle< YieldTermStructure > & | equityDivYieldCurveToday | ||
) |
The currency refers to the equity currency, the equity and fx spots are as of today (i.e. the discounted spot)
|
pure virtual |
must satisfy variance(0) = 0.0, variance'(t) >= 0
Implemented in EqBsPiecewiseConstantParametrization, and EqBsConstantParametrization.
|
virtual |
is supposed to be positive
Reimplemented in EqBsPiecewiseConstantParametrization, and EqBsConstantParametrization.
|
overridevirtual |
the number of parameters in this parametrization
Reimplemented from Parametrization.