FX Black Scholes parametrization. More...
#include <qle/models/fxbsconstantparametrization.hpp>
Public Member Functions | |
FxBsConstantParametrization (const Currency ¤cy, const Handle< Quote > &fxSpotToday, const Real sigma, const boost::shared_ptr< QuantLib::Constraint > &sigmaConstraint=boost::make_shared< QuantLib::NoConstraint >()) | |
Real | variance (const Time t) const override |
Real | sigma (const Time t) const override |
const boost::shared_ptr< Parameter > | parameter (const Size) const override |
Public Member Functions inherited from FxBsParametrization | |
FxBsParametrization (const Currency &foreignCurrency, const Handle< Quote > &fxSpotToday) | |
virtual Real | stdDeviation (const Time t) const |
const Handle< Quote > | fxSpotToday () 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 void | update () const |
const std::string & | name () const |
Protected Member Functions | |
Real | direct (const Size i, const Real x) const override |
Real | inverse (const Size i, const Real y) const override |
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 |
Additional Inherited Members | |
Protected Attributes inherited from Parametrization | |
const Real | h_ |
const Real | h2_ |
FX Black Scholes parametrization.
FX Black Scholes parametrization, with constant volatility
FxBsConstantParametrization | ( | const Currency & | currency, |
const Handle< Quote > & | fxSpotToday, | ||
const Real | sigma, | ||
const boost::shared_ptr< QuantLib::Constraint > & | sigmaConstraint = boost::make_shared< QuantLib::NoConstraint >() |
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) |
The currency refers to the foreign currency, the spot is as of today (i.e. the discounted spot)
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overridevirtual |
must satisfy variance(0) = 0.0, variance'(t) >= 0
Implements FxBsParametrization.
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overridevirtual |
is supposed to be positive
Reimplemented from FxBsParametrization.
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overridevirtual |
the parameter storing the raw parameter values
Reimplemented from Parametrization.
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overrideprotectedvirtual |
transformations between raw and actual parameters
Reimplemented from Parametrization.