Docs / nablatensor-quant / com.nablatensor.quant.adjust
final class
QuantoAdjustment
The quanto adjustment: a payoff on a foreign asset that settles in domestic currency at a fixed FX rate. Changing to the domestic risk-neutral measure subtracts corr * volAsset * volFx from the foreign asset's growth rate, so its quanto forward is S_0 exp((rateForeign - corr volAsset volFx) T) and a quanto option is a Black76 on that forward, discounted at the domestic rate and scaled by the fixed FX.
Methods
static double driftAdjustment(double corr, double volAsset, double volFx)
The drift adjustment -corr * volAsset * volFx applied in the domestic measure.
static double quantoForward(QuantoMarket m, double maturity)
Quanto forward of the foreign asset: S_0 exp((rateForeign - corr volAsset volFx) T).
static AnalyticGreeks quantoOption(OptionType type, QuantoMarket m, double maturity, double fixedFx)
Quanto option value in domestic currency: fixedFx * e^{-rateDom T} * Black(F_quanto, K, T, volAsset).