| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2008 Toyin Akin |
| 5 | |
| 6 | This file is part of QuantLib, a free-software/open-source library |
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 8 | |
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
| 10 | under the terms of the QuantLib license. You should have received a |
| 11 | copy of the license along with this program; if not, please email |
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 13 | <http://quantlib.org/license.shtml>. |
| 14 | |
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 18 | */ |
| 19 | |
| 20 | /*! \file quantocouponpricer.hpp |
| 21 | \brief quanto-adjusted coupon |
| 22 | */ |
| 23 | |
| 24 | #ifndef quantlib_coupon_quanto_pricer_hpp |
| 25 | #define quantlib_coupon_quanto_pricer_hpp |
| 26 | |
| 27 | #include <ql/cashflows/couponpricer.hpp> |
| 28 | #include <ql/quote.hpp> |
| 29 | #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> |
| 30 | #include <utility> |
| 31 | |
| 32 | namespace QuantLib { |
| 33 | |
| 34 | class BlackIborQuantoCouponPricer : public BlackIborCouponPricer { |
| 35 | public: |
| 36 | BlackIborQuantoCouponPricer(Handle<BlackVolTermStructure> fxRateBlackVolatility, |
| 37 | Handle<Quote> underlyingFxCorrelation, |
| 38 | const Handle<OptionletVolatilityStructure>& capletVolatility) |
| 39 | : BlackIborCouponPricer(capletVolatility), |
| 40 | fxRateBlackVolatility_(std::move(fxRateBlackVolatility)), |
| 41 | underlyingFxCorrelation_(std::move(underlyingFxCorrelation)) { |
| 42 | registerWith(h: fxRateBlackVolatility_); |
| 43 | registerWith(h: underlyingFxCorrelation_); |
| 44 | } |
| 45 | |
| 46 | protected: |
| 47 | Rate adjustedFixing(Rate fixing = Null<Rate>()) const override; |
| 48 | |
| 49 | private: |
| 50 | Handle<BlackVolTermStructure> fxRateBlackVolatility_; |
| 51 | Handle<Quote> underlyingFxCorrelation_; |
| 52 | }; |
| 53 | |
| 54 | } |
| 55 | |
| 56 | |
| 57 | #endif |
| 58 |