FX Black Scholes constant parametrization. More...
#include <qle/models/fxbspiecewiseconstantparametrization.hpp>
Public Member Functions | |
FxBsPiecewiseConstantParametrization (const Currency ¤cy, const Handle< Quote > &fxSpotToday, const Array ×, const Array &sigma, const boost::shared_ptr< QuantLib::Constraint > &sigmaConstraint=boost::make_shared< QuantLib::NoConstraint >()) | |
FxBsPiecewiseConstantParametrization (const Currency ¤cy, const Handle< Quote > &fxSpotToday, const std::vector< Date > &dates, const Array &sigma, const Handle< YieldTermStructure > &domesticTermStructure, 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 Array & | parameterTimes (const Size) const override |
const boost::shared_ptr< Parameter > | parameter (const Size) const override |
void | update () 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 Array | parameterValues (const Size) 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 constant parametrization.
FX Black Scholes parametrization with piecewise constant volatility
FxBsPiecewiseConstantParametrization | ( | const Currency & | currency, |
const Handle< Quote > & | fxSpotToday, | ||
const Array & | times, | ||
const Array & | 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)
FxBsPiecewiseConstantParametrization | ( | const Currency & | currency, |
const Handle< Quote > & | fxSpotToday, | ||
const std::vector< Date > & | dates, | ||
const Array & | sigma, | ||
const Handle< YieldTermStructure > & | domesticTermStructure, | ||
const boost::shared_ptr< QuantLib::Constraint > & | sigmaConstraint = boost::make_shared< QuantLib::NoConstraint >() |
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) |
The term structure is needed in addition because it it's day counter and reference date is needed to convert dates to times. It should be the term structure of the domestic IR component in the cross asset model, since this is defining the model's date-time conversion in more general terms.
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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 times associated to parameter i
Reimplemented from Parametrization.
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overridevirtual |
the parameter storing the raw parameter values
Reimplemented from Parametrization.
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overridevirtual |
this method should be called when input parameters linked via references or pointers change in order to ensure consistent results
Reimplemented from Parametrization.
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overrideprotectedvirtual |
transformations between raw and actual parameters
Reimplemented from Parametrization.