Average OIS Rate Helper. More...

#include <qle/termstructures/averageoisratehelper.hpp>

Inheritance diagram for AverageOISRateHelper:

Collaboration diagram for AverageOISRateHelper:

Public Member Functions
	AverageOISRateHelper (const Handle< Quote > &fixedRate, const Period &spotLagTenor, const Period &swapTenor, const Period &fixedTenor, const DayCounter &fixedDayCounter, const Calendar &fixedCalendar, BusinessDayConvention fixedConvention, BusinessDayConvention fixedPaymentAdjustment, const QuantLib::ext::shared_ptr< OvernightIndex > &overnightIndex, const Period &onTenor, const Handle< Quote > &onSpread, Natural rateCutoff, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const bool telescopicValueDates=false)

RateHelper interface
Real	impliedQuote () const override

void	setTermStructure (YieldTermStructure *) override

AverageOISRateHelper inspectors
Spread	onSpread () const

QuantLib::ext::shared_ptr< AverageOIS >	averageOIS () const

Visitability
QuantLib::ext::shared_ptr< AverageOIS >	averageOIS_

Period	spotLagTenor_

Period	swapTenor_

Period	fixedTenor_

DayCounter	fixedDayCounter_

Calendar	fixedCalendar_

BusinessDayConvention	fixedConvention_

BusinessDayConvention	fixedPaymentAdjustment_

QuantLib::ext::shared_ptr< OvernightIndex >	overnightIndex_

Period	onTenor_

Handle< Quote >	onSpread_

Natural	rateCutoff_

RelinkableHandle< YieldTermStructure >	termStructureHandle_

Handle< YieldTermStructure >	discountHandle_

RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_

bool	telescopicValueDates_

void	accept (AcyclicVisitor &) override

void	initializeDates () override

Detailed Description

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

Definition at line 41 of file averageoisratehelper.hpp.

Constructor & Destructor Documentation

◆ AverageOISRateHelper()

AverageOISRateHelper	(	const Handle< Quote > &	fixedRate,
		const Period &	spotLagTenor,
		const Period &	swapTenor,
		const Period &	fixedTenor,
		const DayCounter &	fixedDayCounter,
		const Calendar &	fixedCalendar,
		BusinessDayConvention	fixedConvention,
		BusinessDayConvention	fixedPaymentAdjustment,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	overnightIndex,
		const Period &	onTenor,
		const Handle< Quote > &	onSpread,
		Natural	rateCutoff,
		const Handle< YieldTermStructure > &	discountCurve = `Handle<YieldTermStructure>()`,
		const bool	telescopicValueDates = `false`
	)

Definition at line 25 of file averageoisratehelper.cpp.

    : RelativeDateRateHelper(fixedRate), spotLagTenor_(spotLagTenor), swapTenor_(swapTenor), fixedTenor_(fixedTenor),
      fixedDayCounter_(fixedDayCounter), fixedCalendar_(fixedCalendar), fixedConvention_(fixedConvention),
      fixedPaymentAdjustment_(fixedPaymentAdjustment), overnightIndex_(overnightIndex), onTenor_(onTenor),
      onSpread_(onSpread), rateCutoff_(rateCutoff), discountHandle_(discountCurve),
      telescopicValueDates_(telescopicValueDates) {
 
    bool onIndexHasCurve = !overnightIndex_->forwardingTermStructure().empty();
    bool haveDiscountCurve = !discountHandle_.empty();
    QL_REQUIRE(!(onIndexHasCurve && haveDiscountCurve), "Have both curves nothing to solve for.");
 
    if (!onIndexHasCurve) {
        QuantLib::ext::shared_ptr<IborIndex> clonedIborIndex(overnightIndex_->clone(termStructureHandle_));
        overnightIndex_ = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
        overnightIndex_->unregisterWith(termStructureHandle_);
    }
 
    registerWith(overnightIndex_);
    registerWith(onSpread_);
    registerWith(discountHandle_);
    initializeDates();
}

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Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 75 of file averageoisratehelper.cpp.

                                              {
 
    QL_REQUIRE(termStructure_ != 0, "term structure not set");
    averageOIS_->deepUpdate();
 
    // Calculate the fair fixed rate after accounting for the
    // spread in the spread quote. Recall, the spread quote was
    // intentionally not added to instrument averageOIS_.
    static const Spread basisPoint = 1.0e-4;
    Real onLegNPV = averageOIS_->overnightLegNPV();
    Spread onSpread = onSpread_.empty() ? 0.0 : onSpread_->value();
    Real spreadNPV = averageOIS_->overnightLegBPS() * onSpread / basisPoint;
    Real onLegNPVwithSpread = onLegNPV + spreadNPV;
    Real result = -onLegNPVwithSpread / (averageOIS_->fixedLegBPS() / basisPoint);
    return result;
}

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◆ setTermStructure()

void setTermStructure ( YieldTermStructure * t )

override

Definition at line 92 of file averageoisratehelper.cpp.

                                                                 {
 
    bool observer = false;
    QuantLib::ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
    termStructureHandle_.linkTo(temp, observer);
 
    if (discountHandle_.empty())
        discountRelinkableHandle_.linkTo(temp, observer);
    else
        discountRelinkableHandle_.linkTo(*discountHandle_, observer);
 
    RelativeDateRateHelper::setTermStructure(t);
}

◆ onSpread()

Spread onSpread ( ) const

Definition at line 106 of file averageoisratehelper.cpp.

106{ return onSpread_.empty() ? 0.0 : onSpread_->value(); }

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◆ averageOIS()

QuantLib::ext::shared_ptr< AverageOIS > averageOIS ( ) const

Definition at line 108 of file averageoisratehelper.cpp.

108{ return averageOIS_; }

◆ accept()

void accept ( AcyclicVisitor & v )

override

Definition at line 110 of file averageoisratehelper.cpp.

                                                   {
 
    Visitor<AverageOISRateHelper>* v1 = dynamic_cast<Visitor<AverageOISRateHelper>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        RateHelper::accept(v);
}

◆ initializeDates()

void initializeDates ( )

overrideprotected

Definition at line 59 of file averageoisratehelper.cpp.

                                           {
 
    averageOIS_ =
        MakeAverageOIS(swapTenor_, overnightIndex_, onTenor_, 0.0, fixedTenor_, fixedDayCounter_, spotLagTenor_)
            .withFixedCalendar(fixedCalendar_)
            .withFixedConvention(fixedConvention_)
            .withFixedTerminationDateConvention(fixedConvention_)
            .withFixedPaymentAdjustment(fixedPaymentAdjustment_)
            .withRateCutoff(rateCutoff_)
            .withDiscountingTermStructure(discountRelinkableHandle_)
            .withTelescopicValueDates(telescopicValueDates_);
 
    earliestDate_ = averageOIS_->startDate();
    latestDate_ = averageOIS_->maturityDate();
}

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Member Data Documentation

◆ averageOIS_

QuantLib::ext::shared_ptr<AverageOIS> averageOIS_

protected

Definition at line 70 of file averageoisratehelper.hpp.

◆ spotLagTenor_

Period spotLagTenor_

protected

Definition at line 72 of file averageoisratehelper.hpp.

◆ swapTenor_

Period swapTenor_

protected

Definition at line 73 of file averageoisratehelper.hpp.

◆ fixedTenor_

Period fixedTenor_

protected

Definition at line 75 of file averageoisratehelper.hpp.

◆ fixedDayCounter_

DayCounter fixedDayCounter_

protected

Definition at line 76 of file averageoisratehelper.hpp.

◆ fixedCalendar_

Calendar fixedCalendar_

protected

Definition at line 77 of file averageoisratehelper.hpp.

◆ fixedConvention_

BusinessDayConvention fixedConvention_

protected

Definition at line 78 of file averageoisratehelper.hpp.

◆ fixedPaymentAdjustment_

BusinessDayConvention fixedPaymentAdjustment_

protected

Definition at line 79 of file averageoisratehelper.hpp.

◆ overnightIndex_

QuantLib::ext::shared_ptr<OvernightIndex> overnightIndex_

protected

Definition at line 81 of file averageoisratehelper.hpp.

◆ onTenor_

Period onTenor_

protected

Definition at line 82 of file averageoisratehelper.hpp.

◆ onSpread_

Handle<Quote> onSpread_

protected

Definition at line 83 of file averageoisratehelper.hpp.

◆ rateCutoff_

Natural rateCutoff_

protected

Definition at line 84 of file averageoisratehelper.hpp.

◆ termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 86 of file averageoisratehelper.hpp.

◆ discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 87 of file averageoisratehelper.hpp.

◆ discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 88 of file averageoisratehelper.hpp.

◆ telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 89 of file averageoisratehelper.hpp.

Public Member Functions

Visitability

Detailed Description

Constructor & Destructor Documentation

◆ AverageOISRateHelper()

Member Function Documentation

◆ impliedQuote()

◆ setTermStructure()

◆ onSpread()

◆ averageOIS()

◆ accept()

◆ initializeDates()

Member Data Documentation

◆ averageOIS_

◆ spotLagTenor_

◆ swapTenor_

◆ fixedTenor_

◆ fixedDayCounter_

◆ fixedCalendar_

◆ fixedConvention_

◆ fixedPaymentAdjustment_

◆ overnightIndex_

◆ onTenor_

◆ onSpread_

◆ rateCutoff_

◆ termStructureHandle_

◆ discountHandle_

◆ discountRelinkableHandle_

◆ telescopicValueDates_