DatedBRLCdiRateHelper Class Reference

#include <qle/termstructures/brlcdiratehelper.hpp>

Inheritance diagram for DatedBRLCdiRateHelper:

Collaboration diagram for DatedBRLCdiRateHelper:

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

Visitability
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

Detailed Description

Absolute date based rate helper for bootstrapping using standard BRL CDI swaps

Definition at line 76 of file brlcdiratehelper.hpp.

Constructor & Destructor Documentation

DatedBRLCdiRateHelper()

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
	)

Definition at line 104 of file brlcdiratehelper.cpp.

    : RateHelper(fixedRate), 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_);
 
    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();
}

Member Function Documentation

swap()

QuantLib::ext::shared_ptr< BRLCdiSwap > swap

(

)

const

Definition at line 87 of file brlcdiratehelper.hpp.

{ return swap_; }

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 149 of file brlcdiratehelper.cpp.

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

setTermStructure()

void setTermStructure ( QuantLib::YieldTermStructure *  t )

override

Definition at line 135 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);
 
    RateHelper::setTermStructure(t);
}

accept()

void accept ( QuantLib::AcyclicVisitor &  )

override

Definition at line 155 of file brlcdiratehelper.cpp.

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

Member Data Documentation

brlCdiIndex_

QuantLib::ext::shared_ptr<BRLCdi> brlCdiIndex_

protected

Definition at line 102 of file brlcdiratehelper.hpp.

swap_

QuantLib::ext::shared_ptr<BRLCdiSwap> swap_

protected

Definition at line 103 of file brlcdiratehelper.hpp.

telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 104 of file brlcdiratehelper.hpp.

termStructureHandle_

QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> termStructureHandle_

protected

Definition at line 106 of file brlcdiratehelper.hpp.

discountHandle_

QuantLib::Handle<QuantLib::YieldTermStructure> discountHandle_

protected

Definition at line 107 of file brlcdiratehelper.hpp.

discountRelinkableHandle_

QuantLib::RelinkableHandle<QuantLib::YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 108 of file brlcdiratehelper.hpp.