#include <qle/models/fxeqoptionhelper.hpp>
Public Member Functions | |
FxEqOptionHelper (const Period &maturity, const Calendar &calendar, const Real strike, const Handle< Quote > spot, const Handle< Quote > volatility, const Handle< YieldTermStructure > &domesticYield, const Handle< YieldTermStructure > &foreignYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError) | |
FxEqOptionHelper (const Date &exerciseDate, const Real strike, const Handle< Quote > spot, const Handle< Quote > volatility, const Handle< YieldTermStructure > &domesticYield, const Handle< YieldTermStructure > &foreignYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError) | |
void | addTimesTo (std::list< Time > &) const override |
void | performCalculations () const override |
Real | modelValue () const override |
Real | blackPrice (Real volatility) const override |
boost::shared_ptr< VanillaOption > | option () const |
Real | strike () const |
FxEq Option Helper.
FxEqOptionHelper | ( | const Period & | maturity, |
const Calendar & | calendar, | ||
const Real | strike, | ||
const Handle< Quote > | spot, | ||
const Handle< Quote > | volatility, | ||
const Handle< YieldTermStructure > & | domesticYield, | ||
const Handle< YieldTermStructure > & | foreignYield, | ||
BlackCalibrationHelper::CalibrationErrorType | errorType = BlackCalibrationHelper::RelativePriceError |
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) |
the spot is interpreted as of today (or discounted spot) if strike is null, an (fwd-) atm option is constructed, a slight approximation is introduced because there is no settlement lag, however this applies consistently to the black and the model pricing