averageoisratehelper.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file averageoisratehelper.hpp
    \brief Rate helpers to facilitate usage of AverageOIS in bootstrapping
    \ingroup termstructures
*/
 
#ifndef quantext_average_ois_rate_helper_hpp
#define quantext_average_ois_rate_helper_hpp
 
#include <ql/termstructures/yield/ratehelpers.hpp>
 
#include <qle/instruments/averageois.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! Average OIS Rate Helper
/*! Rate helper to facilitate the usage of an AverageOIS instrument in
    bootstrapping. This instrument pays a fixed leg vs. a leg that
    pays the arithmetic average of an ON index plus a spread.
 
            \ingroup termstructures
*/
class AverageOISRateHelper : public RelativeDateRateHelper {
public:
    AverageOISRateHelper(const Handle<Quote>& fixedRate, const Period& spotLagTenor, const Period& swapTenor,
                         // Fixed leg
                         const Period& fixedTenor, const DayCounter& fixedDayCounter, const Calendar& fixedCalendar,
                         BusinessDayConvention fixedConvention, BusinessDayConvention fixedPaymentAdjustment,
                         // ON leg
                         const QuantLib::ext::shared_ptr<OvernightIndex>& overnightIndex, const Period& onTenor,
                         const Handle<Quote>& onSpread, Natural rateCutoff,
                         // Exogenous discount curve
                         const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>(),
                         const bool telescopicValueDates = false);
 
    //! \name RateHelper interface
    //@{
    Real impliedQuote() const override;
    void setTermStructure(YieldTermStructure*) override;
    //@}
    //! \name AverageOISRateHelper inspectors
    //@{
    Spread onSpread() const;
    QuantLib::ext::shared_ptr<AverageOIS> averageOIS() const;
    //@}
    //! \name Visitability
    //@{
    void accept(AcyclicVisitor&) override;
    //@}
protected:
    void initializeDates() override;
    QuantLib::ext::shared_ptr<AverageOIS> averageOIS_;
    // Swap
    Period spotLagTenor_;
    Period swapTenor_;
    // Fixed leg
    Period fixedTenor_;
    DayCounter fixedDayCounter_;
    Calendar fixedCalendar_;
    BusinessDayConvention fixedConvention_;
    BusinessDayConvention fixedPaymentAdjustment_;
    // ON leg
    QuantLib::ext::shared_ptr<OvernightIndex> overnightIndex_;
    Period onTenor_;
    Handle<Quote> onSpread_;
    Natural rateCutoff_;
    // Curves
    RelinkableHandle<YieldTermStructure> termStructureHandle_;
    Handle<YieldTermStructure> discountHandle_;
    RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
    bool telescopicValueDates_;
};
} // namespace QuantExt
 
#endif