Cross currency fix vs. float swap helper. More...

#include <qle/termstructures/crossccyfixfloatswaphelper.hpp>

Inheritance diagram for CrossCcyFixFloatSwapHelper:

Collaboration diagram for CrossCcyFixFloatSwapHelper:

Public Member Functions
	CrossCcyFixFloatSwapHelper (const QuantLib::Handle< QuantLib::Quote > &rate, const QuantLib::Handle< QuantLib::Quote > &spotFx, QuantLib::Natural settlementDays, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const QuantLib::Period &tenor, const QuantLib::Currency &fixedCurrency, QuantLib::Frequency fixedFrequency, QuantLib::BusinessDayConvention fixedConvention, const QuantLib::DayCounter &fixedDayCount, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &floatDiscount, const Handle< Quote > &spread=Handle< Quote >(), bool endOfMonth=false)

Observer interface
void	update () override

BootstrapHelper interface
QuantLib::Real	impliedQuote () const override

void	setTermStructure (QuantLib::YieldTermStructure *) override

Inspectors
QuantLib::ext::shared_ptr< CrossCcyFixFloatSwap >	swap () const

Visitability
void	accept (QuantLib::AcyclicVisitor &) override

RelativeDateBootstrapHelper interface
QuantLib::Handle< QuantLib::Quote >	spotFx_

QuantLib::Natural	settlementDays_

QuantLib::Calendar	paymentCalendar_

QuantLib::BusinessDayConvention	paymentConvention_

QuantLib::Period	tenor_

QuantLib::Currency	fixedCurrency_

QuantLib::Frequency	fixedFrequency_

QuantLib::BusinessDayConvention	fixedConvention_

QuantLib::DayCounter	fixedDayCount_

QuantLib::ext::shared_ptr< QuantLib::IborIndex >	index_

QuantLib::Handle< QuantLib::YieldTermStructure >	floatDiscount_

QuantLib::Handle< QuantLib::Quote >	spread_

bool	endOfMonth_

QuantLib::ext::shared_ptr< CrossCcyFixFloatSwap >	swap_

QuantLib::RelinkableHandle< QuantLib::YieldTermStructure >	termStructureHandle_

void	initializeDates () override

Detailed Description

Cross currency fix vs. float swap helper.

Rate helper for bootstrapping with fixed vs. float cross currency swaps

Definition at line 39 of file crossccyfixfloatswaphelper.hpp.

Constructor & Destructor Documentation

◆ CrossCcyFixFloatSwapHelper()

CrossCcyFixFloatSwapHelper	(	const QuantLib::Handle< QuantLib::Quote > &	rate,
		const QuantLib::Handle< QuantLib::Quote > &	spotFx,
		QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	paymentCalendar,
		QuantLib::BusinessDayConvention	paymentConvention,
		const QuantLib::Period &	tenor,
		const QuantLib::Currency &	fixedCurrency,
		QuantLib::Frequency	fixedFrequency,
		QuantLib::BusinessDayConvention	fixedConvention,
		const QuantLib::DayCounter &	fixedDayCount,
		const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	index,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	floatDiscount,
		const Handle< Quote > &	spread = `Handle<Quote>()`,
		bool	endOfMonth = `false`
	)

Definition at line 33 of file crossccyfixfloatswaphelper.cpp.

    : RelativeDateRateHelper(rate), spotFx_(spotFx), settlementDays_(settlementDays), paymentCalendar_(paymentCalendar),
      paymentConvention_(paymentConvention), tenor_(tenor), fixedCurrency_(fixedCurrency),
      fixedFrequency_(fixedFrequency), fixedConvention_(fixedConvention), fixedDayCount_(fixedDayCount), index_(index),
      floatDiscount_(floatDiscount), spread_(spread), endOfMonth_(endOfMonth) {
 
    QL_REQUIRE(!spotFx_.empty(), "Spot FX quote cannot be empty.");
    QL_REQUIRE(fixedCurrency_ != index_->currency(), "Fixed currency should not equal float leg currency.");
 
    registerWith(spotFx_);
    registerWith(index_);
    registerWith(floatDiscount_);
    registerWith(spread_);
 
    initializeDates();
}

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Member Function Documentation

◆ update()

void update ( )

override

Definition at line 55 of file crossccyfixfloatswaphelper.cpp.

                                        {
    // Maybe FX spot quote or spread quote changed
    if (!close(spotFx_->value(), swap_->fixedNominal()) ||
        (!spread_.empty() && !close(spread_->value(), swap_->floatSpread()))) {
        initializeDates();
    }
 
    // Maybe evaluation date changed. RelativeDateRateHelper will take care of this
    // Note: if initializeDates() was called in above if statement, it will not be called
    // again in RelativeDateRateHelper::update() because evaluationDate_ is set in
    // initializeDates(). So, redundant instrument builds are avoided.
    RelativeDateRateHelper::update();
}

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◆ impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 69 of file crossccyfixfloatswaphelper.cpp.

                                                    {
    QL_REQUIRE(termStructure_, "Term structure needs to be set");
    swap_->deepUpdate();
    return swap_->fairFixedRate();
}

◆ setTermStructure()

void setTermStructure ( QuantLib::YieldTermStructure * yts )

override

Definition at line 75 of file crossccyfixfloatswaphelper.cpp.

                                                                         {
    QuantLib::ext::shared_ptr<YieldTermStructure> temp(yts, null_deleter());
    termStructureHandle_.linkTo(temp, false);
    RelativeDateRateHelper::setTermStructure(yts);
}

◆ swap()

QuantLib::ext::shared_ptr< CrossCcyFixFloatSwap > swap ( ) const

Definition at line 65 of file crossccyfixfloatswaphelper.hpp.

65{ return swap_; }

◆ accept()

void accept ( QuantLib::AcyclicVisitor & )

override

Definition at line 81 of file crossccyfixfloatswaphelper.cpp.

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

◆ initializeDates()

void initializeDates ( )

overrideprivate

Definition at line 88 of file crossccyfixfloatswaphelper.cpp.

                                                 {
 
    // Swap start and end
    Date referenceDate = evaluationDate_ = Settings::instance().evaluationDate();
    referenceDate = paymentCalendar_.adjust(referenceDate);
    Date start = paymentCalendar_.advance(referenceDate, settlementDays_ * Days);
    Date end = start + tenor_;
 
    // Nominals
    Real floatNominal = 1.0;
    Real fixedNominal = spotFx_->value();
 
    // Fixed schedule
    Schedule fixedSchedule(start, end, Period(fixedFrequency_), paymentCalendar_, fixedConvention_, fixedConvention_,
                           DateGeneration::Backward, endOfMonth_);
 
    // Float schedule
    Schedule floatSchedule(start, end, index_->tenor(), paymentCalendar_, paymentConvention_, paymentConvention_,
                           DateGeneration::Backward, endOfMonth_);
 
    // Create the swap
    Natural paymentLag = 0;
    Spread floatSpread = spread_.empty() ? 0.0 : spread_->value();
    swap_.reset(new CrossCcyFixFloatSwap(CrossCcyFixFloatSwap::Payer, fixedNominal, fixedCurrency_, fixedSchedule, 0.0,
                                         fixedDayCount_, paymentConvention_, paymentLag, paymentCalendar_, floatNominal,
                                         index_->currency(), floatSchedule, index_, floatSpread, paymentConvention_,
                                         paymentLag, paymentCalendar_));
 
    earliestDate_ = swap_->startDate();
    maturityDate_ = swap_->maturityDate();
 
    // Swap is Payer => first leg is fixed leg
    latestRelevantDate_ = earliestDate_;
    for (Size i = 0; i < swap_->leg(0).size(); ++i) {
        latestRelevantDate_ = std::max(latestRelevantDate_, swap_->leg(0)[i]->date());
    }
    pillarDate_ = latestDate_ = latestRelevantDate_;
 
    // Attach engine
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<CrossCcySwapEngine>(
        fixedCurrency_, termStructureHandle_, index_->currency(), floatDiscount_, spotFx_);
    swap_->setPricingEngine(engine);
}