QuantLib 0.3.8 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

QuantoTermStructure Class Reference #include <ql/TermStructures/quantotermstructure.hpp> Inheritance diagram for QuantoTermStructure: [legend]List of all members. Detailed Description Quanto term structure. Quanto term structure for modelling quanto effect in option pricing. Note: This term structure will remain linked to the original structures, i.e., any changes in the latters will be reflected in this structure as well. Public Member Functions   QuantoTermStructure (const Handle< YieldTermStructure > &underlyingDividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &underlyingBlackVolTS, Real strike, const Handle< BlackVolTermStructure > &exchRateBlackVolTS, Real exchRateATMlevel, Real underlyingExchRateCorrelation) YieldTermStructure interface DayCounter  dayCounter () const   the day counter used for date/time conversion Calendar  calendar () const   the calendar used for reference date calculation const Date &  todaysDate () const   today's date const Date &  referenceDate () const   the reference date, i.e., the date at which discount = 1 Date  maxDate () const   the latest date for which the curve can return rates Protected Member Functions Rate  zeroYieldImpl (Time) const   returns the zero yield as seen from the evaluation date Member Function Documentation const Date & todaysDate (   )  const [virtual]   today's date Deprecated: use Settings::instance().evaluationDate(). Reimplemented from BaseTermStructure.

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