FX Black Scholes parametrizations. More...

#include <qle/models/fxbsparametrization.hpp>

Inheritance diagram for FxBsParametrization:

Public Member Functions
	FxBsParametrization (const Currency &foreignCurrency, const Handle< Quote > &fxSpotToday)

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 >	fxSpotToday () const

Size	numberOfParameters () const override

Public Member Functions inherited from Parametrization
	Parametrization (const Currency &currency, 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_

Detailed Description

FX Black Scholes parametrizations.

Base class for FX Black Scholes parametrizations

Constructor & Destructor Documentation

The currency refers to the foreign currency, the spot is as of today (i.e. the discounted spot)

virtual Real variance ( const Time t ) const

pure virtual

must satisfy variance(0) = 0.0, variance'(t) >= 0

Real sigma ( const Time t ) const

virtual

is supposed to be positive

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.