1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5 Copyright (C) 2008 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file quantotermstructure.hpp
22 \brief Quanto term structure
23*/
24
25#ifndef quantlib_quanto_term_structure_hpp
26#define quantlib_quanto_term_structure_hpp
27
28#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
29#include <ql/termstructures/yield/zeroyieldstructure.hpp>
30#include <utility>
31
32namespace QuantLib {
33
34 //! Quanto term structure
35 /*! Quanto term structure for modelling quanto effect in
36 option pricing.
37
38 \note This term structure will remain linked to the original
39 structures, i.e., any changes in the latters will be
40 reflected in this structure as well.
41 */
42 class QuantoTermStructure : public ZeroYieldStructure {
43 public:
44 QuantoTermStructure(const Handle<YieldTermStructure>& underlyingDividendTS,
45 Handle<YieldTermStructure> riskFreeTS,
46 Handle<YieldTermStructure> foreignRiskFreeTS,
47 Handle<BlackVolTermStructure> underlyingBlackVolTS,
48 Real strike,
49 Handle<BlackVolTermStructure> exchRateBlackVolTS,
50 Real exchRateATMlevel,
51 Real underlyingExchRateCorrelation);
52 //! \name YieldTermStructure interface
53 //@{
54 DayCounter dayCounter() const override;
55 Calendar calendar() const override;
56 Natural settlementDays() const override;
57 const Date& referenceDate() const override;
58 Date maxDate() const override;
59 //@}
60 protected:
61 //! returns the zero yield as seen from the evaluation date
62 Rate zeroYieldImpl(Time) const override;
63
64 private:
65 Handle<YieldTermStructure> underlyingDividendTS_, riskFreeTS_,
66 foreignRiskFreeTS_;
67 Handle<BlackVolTermStructure> underlyingBlackVolTS_,
68 exchRateBlackVolTS_;
69 Real underlyingExchRateCorrelation_, strike_, exchRateATMlevel_;
70 };
71
72
73 // inline definitions
74
75 inline QuantoTermStructure::QuantoTermStructure(
76 const Handle<YieldTermStructure>& underlyingDividendTS,
77 Handle<YieldTermStructure> riskFreeTS,
78 Handle<YieldTermStructure> foreignRiskFreeTS,
79 Handle<BlackVolTermStructure> underlyingBlackVolTS,
80 Real strike,
81 Handle<BlackVolTermStructure> exchRateBlackVolTS,
82 Real exchRateATMlevel,
83 Real underlyingExchRateCorrelation)
84 : ZeroYieldStructure(underlyingDividendTS->dayCounter()),
85 underlyingDividendTS_(underlyingDividendTS), riskFreeTS_(std::move(riskFreeTS)),
86 foreignRiskFreeTS_(std::move(foreignRiskFreeTS)),
87 underlyingBlackVolTS_(std::move(underlyingBlackVolTS)),
88 exchRateBlackVolTS_(std::move(exchRateBlackVolTS)),
89 underlyingExchRateCorrelation_(underlyingExchRateCorrelation), strike_(strike),
90 exchRateATMlevel_(exchRateATMlevel) {
91 registerWith(h: underlyingDividendTS_);
92 registerWith(h: riskFreeTS_);
93 registerWith(h: foreignRiskFreeTS_);
94 registerWith(h: underlyingBlackVolTS_);
95 registerWith(h: exchRateBlackVolTS_);
96 }
97
98 inline DayCounter QuantoTermStructure::dayCounter() const {
99 return underlyingDividendTS_->dayCounter();
100 }
101
102 inline Calendar QuantoTermStructure::calendar() const {
103 return underlyingDividendTS_->calendar();
104 }
105
106 inline Natural QuantoTermStructure::settlementDays() const {
107 return underlyingDividendTS_->settlementDays();
108 }
109
110 inline const Date& QuantoTermStructure::referenceDate() const {
111 return underlyingDividendTS_->referenceDate();
112 }
113
114 inline Date QuantoTermStructure::maxDate() const {
115 Date maxDate = std::min(a: underlyingDividendTS_->maxDate(),
116 b: riskFreeTS_->maxDate());
117 maxDate = std::min(a: maxDate, b: foreignRiskFreeTS_->maxDate());
118 maxDate = std::min(a: maxDate, b: underlyingBlackVolTS_->maxDate());
119 maxDate = std::min(a: maxDate, b: exchRateBlackVolTS_->maxDate());
120 return maxDate;
121 }
122
123 inline Rate QuantoTermStructure::zeroYieldImpl(Time t) const {
124 // warning: here it is assumed that all TS have the same daycount.
125 // It should be QL_REQUIREd
126 return underlyingDividendTS_->zeroRate(t, comp: Continuous, freq: NoFrequency, extrapolate: true).rate()
127 + riskFreeTS_->zeroRate(t, comp: Continuous, freq: NoFrequency, extrapolate: true).rate()
128 - foreignRiskFreeTS_->zeroRate(t, comp: Continuous, freq: NoFrequency, extrapolate: true).rate()
129 + underlyingExchRateCorrelation_
130 * underlyingBlackVolTS_->blackVol(t, strike: strike_, extrapolate: true)
131 * exchRateBlackVolTS_->blackVol(t, strike: exchRateATMlevel_, extrapolate: true);
132 }
133
134}
135
136
137#endif
138

source code of quantlib/ql/termstructures/yield/quantotermstructure.hpp