basistwoswaphelper.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 basistwoswaphelper.hpp
    \brief Libor basis swap helper as two swaps
    \ingroup termstructures
*/
 
#ifndef quantext_basis_two_swap_helper_hpp
#define quantext_basis_two_swap_helper_hpp
 
#include <ql/termstructures/yield/ratehelpers.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! Basis Two Swap Helper
/*! Rate helper for bootstrapping using Libor tenor basis as the
 *  difference between the fixed rate on two swaps
 
        \ingroup termstructures
 */
class BasisTwoSwapHelper : public RelativeDateRateHelper {
public:
    BasisTwoSwapHelper(const Handle<Quote>& spread, const Period& swapTenor, const Calendar& calendar,
                       // Long tenor swap
                       Frequency longFixedFrequency, BusinessDayConvention longFixedConvention,
                       const DayCounter& longFixedDayCount, const QuantLib::ext::shared_ptr<IborIndex>& longIndex,
                       // Short tenor swap
                       Frequency shortFixedFrequency, BusinessDayConvention shortFixedConvention,
                       const DayCounter& shortFixedDayCount, const QuantLib::ext::shared_ptr<IborIndex>& shortIndex,
                       bool longMinusShort = true,
                       // Discount curve
                       const Handle<YieldTermStructure>& discountingCurve = Handle<YieldTermStructure>());
 
    //! \name RateHelper interface
    //@{
    Real impliedQuote() const override;
    void setTermStructure(YieldTermStructure*) override;
    //@}
    //! \name BasisTwoSwapHelper inspectors
    //@{
    QuantLib::ext::shared_ptr<VanillaSwap> longSwap() const;
    QuantLib::ext::shared_ptr<VanillaSwap> shortSwap() const;
    //@}
    //! \name Visitability
    //@{
    void accept(AcyclicVisitor&) override;
    //@}
 
protected:
    void initializeDates() override;
    Period swapTenor_;
    Calendar calendar_;
    // Long tenor swap
    Frequency longFixedFrequency_;
    BusinessDayConvention longFixedConvention_;
    DayCounter longFixedDayCount_;
    QuantLib::ext::shared_ptr<IborIndex> longIndex_;
    // Short tenor swap
    Frequency shortFixedFrequency_;
    BusinessDayConvention shortFixedConvention_;
    DayCounter shortFixedDayCount_;
    QuantLib::ext::shared_ptr<IborIndex> shortIndex_;
    bool longMinusShort_;
 
    QuantLib::ext::shared_ptr<VanillaSwap> longSwap_;
    QuantLib::ext::shared_ptr<VanillaSwap> shortSwap_;
 
    RelinkableHandle<YieldTermStructure> termStructureHandle_;
    Handle<YieldTermStructure> discountHandle_;
    RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
};
 
inline QuantLib::ext::shared_ptr<VanillaSwap> BasisTwoSwapHelper::shortSwap() const { return shortSwap_; }
 
inline QuantLib::ext::shared_ptr<VanillaSwap> BasisTwoSwapHelper::longSwap() const { return longSwap_; }
} // namespace QuantExt
 
#endif