BRLCdiRateHelper Class Reference

#include <qle/termstructures/brlcdiratehelper.hpp>

Inheritance diagram for BRLCdiRateHelper:

Collaboration diagram for BRLCdiRateHelper:

Public Member Functions
	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)
inspectors
QuantLib::ext::shared_ptr< BRLCdiSwap >	swap () const
RateHelper interface
QuantLib::Real	impliedQuote () const override
void	setTermStructure (QuantLib::YieldTermStructure *) override

Visitability
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_
void	accept (QuantLib::AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Tenor based rate helper for bootstrapping using standard BRL CDI swaps

Definition at line 36 of file brlcdiratehelper.hpp.

Constructor & Destructor Documentation

BRLCdiRateHelper()

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
	)

Definition at line 28 of file brlcdiratehelper.cpp.

    : RelativeDateRateHelper(fixedRate), swapTenor_(swapTenor), brlCdiIndex_(brlCdiIndex),
      telescopicValueDates_(telescopicValueDates), discountHandle_(discountingCurve) {
 
    bool onIndexHasCurve = !brlCdiIndex_->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(brlCdiIndex_->clone(termStructureHandle_));
        brlCdiIndex_ = QuantLib::ext::dynamic_pointer_cast<BRLCdi>(clonedIborIndex);
        brlCdiIndex_->unregisterWith(termStructureHandle_);
    }
 
    registerWith(brlCdiIndex_);
    registerWith(discountHandle_);
    initializeDates();
}

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Member Function Documentation

swap()

QuantLib::ext::shared_ptr< BRLCdiSwap > swap

(

)

const

Definition at line 46 of file brlcdiratehelper.hpp.

{ return swap_; }

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 91 of file brlcdiratehelper.cpp.

                                          {
    QL_REQUIRE(termStructure_ != 0, "BRLCdiRateHelper's term structure not set");
    swap_->deepUpdate();
    return swap_->fairRate();
}

setTermStructure()

void setTermStructure ( QuantLib::YieldTermStructure *  t )

override

Definition at line 77 of file brlcdiratehelper.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);
}

accept()

void accept ( QuantLib::AcyclicVisitor &  )

override

Definition at line 97 of file brlcdiratehelper.cpp.

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

initializeDates()

void initializeDates ( )

overrideprotected

Definition at line 49 of file brlcdiratehelper.cpp.

                                       {
 
    // Use the overnight index's calendar for all business day adjustments
    Calendar calendar = brlCdiIndex_->fixingCalendar();
 
    // Adjust reference date to next good business day if necessary
    Date referenceDate = Settings::instance().evaluationDate();
    referenceDate = calendar.adjust(referenceDate);
 
    // Determine the start date
    Date startDate = calendar.advance(referenceDate, 2 * Days);
    startDate = calendar.adjust(startDate, Following);
 
    // Determine the end date
    Date endDate = startDate + swapTenor_;
 
    // Create the BRL CDI swap
    swap_ = QuantLib::ext::make_shared<BRLCdiSwap>(OvernightIndexedSwap::Payer, 1.0, startDate, endDate, 0.01, brlCdiIndex_,
                                           0.0, telescopicValueDates_);
 
    // Set the pricing engine
    swap_->setPricingEngine(QuantLib::ext::make_shared<DiscountingSwapEngine>(discountRelinkableHandle_));
 
    // Update earliest and latest dates
    earliestDate_ = swap_->startDate();
    latestDate_ = swap_->maturityDate();
}

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Member Data Documentation

swapTenor_

QuantLib::Period swapTenor_

protected

Definition at line 63 of file brlcdiratehelper.hpp.

brlCdiIndex_

QuantLib::ext::shared_ptr<BRLCdi> brlCdiIndex_

protected

Definition at line 64 of file brlcdiratehelper.hpp.

swap_

QuantLib::ext::shared_ptr<BRLCdiSwap> swap_

protected

Definition at line 65 of file brlcdiratehelper.hpp.

telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 66 of file brlcdiratehelper.hpp.

termStructureHandle_

QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> termStructureHandle_

protected

Definition at line 68 of file brlcdiratehelper.hpp.

discountHandle_

QuantLib::Handle<QuantLib::YieldTermStructure> discountHandle_

protected

Definition at line 69 of file brlcdiratehelper.hpp.

discountRelinkableHandle_

QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 70 of file brlcdiratehelper.hpp.