RepresentativeFxOptionMatcher Class Reference

#include <qle/models/representativefxoption.hpp>

Public Member Functions
	RepresentativeFxOptionMatcher (const std::vector< Leg > &underlying, const std::vector< bool > &isPayer, const std::vector< std::string > &currencies, const Date &referenceDate, const std::string &forCcy, const std::string &domCcy, const Handle< YieldTermStructure > &forCurve, const Handle< YieldTermStructure > &domCurve, const Handle< Quote > &fxSpot, const bool includeRefDateFlows=false)
std::string	currency1 () const
std::string	currency2 () const
Real	amount1 () const
Real	amount2 () const

Detailed Description

Given cashflows in two currencies and a reference date >= today, find amounts in the two currencies to be paid on the reference date such that the NPV and FX Delta of the original cashflows and the original cashflows as seen from the reference date are equal.

The output amounts have a sign, i.e. they are received if positive and paid if negative.