Docs / nablatensor-quant / com.nablatensor.quant

record

QuantoMarket

A quanto market: a foreign asset and the FX rate it would convert through, with their correlation. The payoff settles at a fixed FX rate, so only the drift adjustment -corr * volAsset * volFx carries the FX.

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Record components

assetSpot: double
strike: double
volAsset: double
volFx: double
corr: double
rateDom: double
rateForeign: double

Methods

QuantoMarket validated()

static QuantoMarket base()