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Class FdmQuantoHelper

Hierarchy

Index

Constructors

Properties

Accessors

Methods

Constructors

constructor

Properties

_equityFxCorrelation

_equityFxCorrelation: Real

_exchRateATMlevel

_exchRateATMlevel: Real

_fTS

_fTS: YieldTermStructure

_fxVolTS

_fxVolTS: BlackVolTermStructure

_isDisposed

_isDisposed: boolean = false

_observers

_observers: Set<Observer>

_rTS

_rTS: YieldTermStructure

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

dispose

  • dispose(): void

  • Returns void

notifyObservers

  • notifyObservers(): void

  • This method should be called at the end of non-const methods or when the programmer desires to notify any changes.

    Returns void

quantoAdjustment1

  • Parameters

    Returns Rate

quantoAdjustment2

  • Parameters

    Returns Real[]

registerObserver

unregisterObserver