BasisTwoSwapHelper Class Reference

Basis Two Swap Helper. More...

#include <qle/termstructures/basistwoswaphelper.hpp>

Inheritance diagram for BasisTwoSwapHelper:

Collaboration diagram for BasisTwoSwapHelper:

Public Member Functions
	BasisTwoSwapHelper (const Handle< Quote > &spread, const Period &swapTenor, const Calendar &calendar, Frequency longFixedFrequency, BusinessDayConvention longFixedConvention, const DayCounter &longFixedDayCount, const QuantLib::ext::shared_ptr< IborIndex > &longIndex, Frequency shortFixedFrequency, BusinessDayConvention shortFixedConvention, const DayCounter &shortFixedDayCount, const QuantLib::ext::shared_ptr< IborIndex > &shortIndex, bool longMinusShort=true, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
BasisTwoSwapHelper inspectors
QuantLib::ext::shared_ptr< VanillaSwap >	longSwap () const
QuantLib::ext::shared_ptr< VanillaSwap >	shortSwap () const

Visitability
Period	swapTenor_
Calendar	calendar_
Frequency	longFixedFrequency_
BusinessDayConvention	longFixedConvention_
DayCounter	longFixedDayCount_
QuantLib::ext::shared_ptr< IborIndex >	longIndex_
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_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Basis Two Swap Helper.

Rate helper for bootstrapping using Libor tenor basis as the difference between the fixed rate on two swaps

\ingroup termstructures

Definition at line 38 of file basistwoswaphelper.hpp.

Constructor & Destructor Documentation

BasisTwoSwapHelper()

BasisTwoSwapHelper	(	const Handle< Quote > &	spread,
		const Period &	swapTenor,
		const Calendar &	calendar,
		Frequency	longFixedFrequency,
		BusinessDayConvention	longFixedConvention,
		const DayCounter &	longFixedDayCount,
		const QuantLib::ext::shared_ptr< IborIndex > &	longIndex,
		Frequency	shortFixedFrequency,
		BusinessDayConvention	shortFixedConvention,
		const DayCounter &	shortFixedDayCount,
		const QuantLib::ext::shared_ptr< IborIndex > &	shortIndex,
		bool	longMinusShort = true,
		const Handle< YieldTermStructure > &	discountingCurve = Handle<YieldTermStructure>()
	)

Definition at line 27 of file basistwoswaphelper.cpp.

    : RelativeDateRateHelper(spread), swapTenor_(swapTenor), calendar_(calendar),
      longFixedFrequency_(longFixedFrequency), longFixedConvention_(longFixedConvention),
      longFixedDayCount_(longFixedDayCount), longIndex_(longIndex), shortFixedFrequency_(shortFixedFrequency),
      shortFixedConvention_(shortFixedConvention), shortFixedDayCount_(shortFixedDayCount), shortIndex_(shortIndex),
      longMinusShort_(longMinusShort), discountHandle_(discountingCurve) {
 
    QL_REQUIRE(longIndex_->tenor() >= shortIndex_->tenor(),
               "Tenor of longIndex should be at least tenor of shortIndex.");
 
    bool longIndexHasCurve = !longIndex_->forwardingTermStructure().empty();
    bool shortIndexHasCurve = !shortIndex_->forwardingTermStructure().empty();
    bool haveDiscountCurve = !discountHandle_.empty();
    QL_REQUIRE(!(longIndexHasCurve && shortIndexHasCurve && haveDiscountCurve),
               "Have all curves nothing to solve for.");
 
    if (longIndexHasCurve && !shortIndexHasCurve) {
        shortIndex_ = shortIndex_->clone(termStructureHandle_);
        shortIndex_->unregisterWith(termStructureHandle_);
    } else if (!longIndexHasCurve && shortIndexHasCurve) {
        longIndex_ = longIndex_->clone(termStructureHandle_);
        longIndex_->unregisterWith(termStructureHandle_);
    } else if (!longIndexHasCurve && !shortIndexHasCurve) {
        QL_FAIL("Need at least one of the indices to have a valid curve.");
    }
 
    registerWith(longIndex_);
    registerWith(shortIndex_);
    registerWith(discountHandle_);
    initializeDates();
}

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 131 of file basistwoswaphelper.cpp.

                                            {
    QL_REQUIRE(termStructure_ != 0, "Termstructure not set");
    longSwap_->deepUpdate();
    shortSwap_->deepUpdate();
    if (longMinusShort_)
        return longSwap_->fairRate() - shortSwap_->fairRate();
    else
        return shortSwap_->fairRate() - longSwap_->fairRate();
}

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 116 of file basistwoswaphelper.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);
}

longSwap()

QuantLib::ext::shared_ptr< VanillaSwap > longSwap

(

)

const

Definition at line 92 of file basistwoswaphelper.hpp.

{ return longSwap_; }

shortSwap()

QuantLib::ext::shared_ptr< VanillaSwap > shortSwap

(

)

const

Definition at line 90 of file basistwoswaphelper.hpp.

{ return shortSwap_; }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 141 of file basistwoswaphelper.cpp.

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

initializeDates()

void initializeDates ( )

overrideprotected

Definition at line 69 of file basistwoswaphelper.cpp.

                                         {
 
    /* Important to use a fixed rate of 0.0 here to avoid the calculation
       of the atm swap rate in MakeVanillaSwap operator ...(). If it is
       Null, you get an exception because the discountRelinkableHandle_
       is initially empty. */
    longSwap_ = MakeVanillaSwap(swapTenor_, longIndex_, 0.0)
                    .withDiscountingTermStructure(discountRelinkableHandle_)
                    .withFixedLegDayCount(longFixedDayCount_)
                    .withFixedLegTenor(Period(longFixedFrequency_))
                    .withFixedLegConvention(longFixedConvention_)
                    .withFixedLegTerminationDateConvention(longFixedConvention_)
                    .withFixedLegCalendar(calendar_)
                    .withFloatingLegCalendar(calendar_);
 
    shortSwap_ = MakeVanillaSwap(swapTenor_, shortIndex_, 0.0)
                     .withDiscountingTermStructure(discountRelinkableHandle_)
                     .withFixedLegDayCount(shortFixedDayCount_)
                     .withFixedLegTenor(Period(shortFixedFrequency_))
                     .withFixedLegConvention(shortFixedConvention_)
                     .withFixedLegTerminationDateConvention(shortFixedConvention_)
                     .withFixedLegCalendar(calendar_)
                     .withFloatingLegCalendar(calendar_);
 
    earliestDate_ = std::min(longSwap_->startDate(), shortSwap_->startDate());
    latestDate_ = std::max(longSwap_->maturityDate(), shortSwap_->maturityDate());
 
/* May need to adjust latestDate_ if you are projecting libor based
   on tenor length rather than from accrual date to accrual date. */
    if (!IborCoupon::Settings::instance().usingAtParCoupons()) {
        if (termStructureHandle_ == shortIndex_->forwardingTermStructure()) {
            QuantLib::ext::shared_ptr<FloatingRateCoupon> lastFloating =
                QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(shortSwap_->floatingLeg().back());
            Date fixingValueDate = shortIndex_->valueDate(lastFloating->fixingDate());
            Date endValueDate = shortIndex_->maturityDate(fixingValueDate);
            latestDate_ = std::max(latestDate_, endValueDate);
        }
        if (termStructureHandle_ == longIndex_->forwardingTermStructure()) {
            QuantLib::ext::shared_ptr<FloatingRateCoupon> lastFloating =
                QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(longSwap_->floatingLeg().back());
            Date fixingValueDate = longIndex_->valueDate(lastFloating->fixingDate());
            Date endValueDate = longIndex_->maturityDate(fixingValueDate);
            latestDate_ = std::max(latestDate_, endValueDate);
        }
    }
}

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Member Data Documentation

swapTenor_

Period swapTenor_

protected

Definition at line 68 of file basistwoswaphelper.hpp.

calendar_

Calendar calendar_

protected

Definition at line 69 of file basistwoswaphelper.hpp.

longFixedFrequency_

Frequency longFixedFrequency_

protected

Definition at line 71 of file basistwoswaphelper.hpp.

longFixedConvention_

BusinessDayConvention longFixedConvention_

protected

Definition at line 72 of file basistwoswaphelper.hpp.

longFixedDayCount_

DayCounter longFixedDayCount_

protected

Definition at line 73 of file basistwoswaphelper.hpp.

longIndex_

QuantLib::ext::shared_ptr<IborIndex> longIndex_

protected

Definition at line 74 of file basistwoswaphelper.hpp.

shortFixedFrequency_

Frequency shortFixedFrequency_

protected

Definition at line 76 of file basistwoswaphelper.hpp.

shortFixedConvention_

BusinessDayConvention shortFixedConvention_

protected

Definition at line 77 of file basistwoswaphelper.hpp.

shortFixedDayCount_

DayCounter shortFixedDayCount_

protected

Definition at line 78 of file basistwoswaphelper.hpp.

shortIndex_

QuantLib::ext::shared_ptr<IborIndex> shortIndex_

protected

Definition at line 79 of file basistwoswaphelper.hpp.

longMinusShort_

bool longMinusShort_

protected

Definition at line 80 of file basistwoswaphelper.hpp.

longSwap_

QuantLib::ext::shared_ptr<VanillaSwap> longSwap_

protected

Definition at line 82 of file basistwoswaphelper.hpp.

shortSwap_

QuantLib::ext::shared_ptr<VanillaSwap> shortSwap_

protected

Definition at line 83 of file basistwoswaphelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 85 of file basistwoswaphelper.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 86 of file basistwoswaphelper.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 87 of file basistwoswaphelper.hpp.