brlcdiratehelper.hpp

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/*
 Copyright (C) 2019 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 qle/termstructures/brlcdiratehelper.hpp
    \brief Rate helper based on standard BRL CDI swap
    \ingroup termstructures
*/
 
#ifndef quantext_brl_cdi_rate_helper_hpp
#define quantext_brl_cdi_rate_helper_hpp
 
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <qle/indexes/ibor/brlcdi.hpp>
#include <qle/instruments/brlcdiswap.hpp>
 
namespace QuantExt {
 
/*! Tenor based rate helper for bootstrapping using standard BRL CDI swaps
    \ingroup termstructures
*/
class BRLCdiRateHelper : public QuantLib::RelativeDateRateHelper {
public:
    BRLCdiRateHelper(const QuantLib::Period& swapTenor, const QuantLib::Handle<QuantLib::Quote>& fixedRate,
                     const QuantLib::ext::shared_ptr<BRLCdi>& brlCdiIndex,
                     const QuantLib::Handle<QuantLib::YieldTermStructure>& discountingCurve =
                         QuantLib::Handle<QuantLib::YieldTermStructure>(),
                     bool telescopicValueDates = false);
 
    //! \name inspectors
    //@{
    QuantLib::ext::shared_ptr<BRLCdiSwap> swap() const { return swap_; }
    //@}
 
    //! \name RateHelper interface
    //@{
    QuantLib::Real impliedQuote() const override;
    void setTermStructure(QuantLib::YieldTermStructure*) override;
    //@}
 
    //! \name Visitability
    //@{
    void accept(QuantLib::AcyclicVisitor&) override;
    //@}
 
protected:
    void initializeDates() override;
 
    QuantLib::Period swapTenor_;
    QuantLib::ext::shared_ptr<BRLCdi> brlCdiIndex_;
    QuantLib::ext::shared_ptr<BRLCdiSwap> swap_;
    bool telescopicValueDates_;
 
    QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> termStructureHandle_;
    QuantLib::Handle<QuantLib::YieldTermStructure> discountHandle_;
    QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> discountRelinkableHandle_;
};
 
/*! Absolute date based rate helper for bootstrapping using standard BRL CDI swaps
    \ingroup termstructures
*/
class DatedBRLCdiRateHelper : public QuantLib::RateHelper {
public:
    DatedBRLCdiRateHelper(const QuantLib::Date& startDate, const QuantLib::Date& endDate,
                          const QuantLib::Handle<QuantLib::Quote>& fixedRate,
                          const QuantLib::ext::shared_ptr<BRLCdi>& brlCdiIndex,
                          const QuantLib::Handle<QuantLib::YieldTermStructure>& discountingCurve =
                              QuantLib::Handle<QuantLib::YieldTermStructure>(),
                          bool telescopicValueDates = false);
 
    //! \name inspectors
    //@{
    QuantLib::ext::shared_ptr<BRLCdiSwap> swap() const { return swap_; }
    //@}
 
    //! \name RateHelper interface
    //@{
    QuantLib::Real impliedQuote() const override;
    void setTermStructure(QuantLib::YieldTermStructure*) override;
    //@}
 
    //! \name Visitability
    //@{
    void accept(QuantLib::AcyclicVisitor&) override;
    //@}
 
protected:
    QuantLib::ext::shared_ptr<BRLCdi> brlCdiIndex_;
    QuantLib::ext::shared_ptr<BRLCdiSwap> swap_;
    bool telescopicValueDates_;
 
    QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> termStructureHandle_;
    QuantLib::Handle<QuantLib::YieldTermStructure> discountHandle_;
    QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> discountRelinkableHandle_;
};
 
} // namespace QuantExt
 
#endif