ImmFraRateHelper Class Reference

#include <qle/termstructures/immfraratehelper.hpp>

Inheritance diagram for ImmFraRateHelper:

Collaboration diagram for ImmFraRateHelper:

Public Member Functions
	ImmFraRateHelper (const Handle< Quote > &rate, const Size imm1, const Size imm2, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override

Visitability
Date	fixingDate_
Size	imm1_
Size	imm2_
Pillar::Choice	pillarChoice_
QuantLib::ext::shared_ptr< IborIndex >	iborIndex_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping over FRA rates

Definition at line 38 of file immfraratehelper.hpp.

Constructor & Destructor Documentation

ImmFraRateHelper()

ImmFraRateHelper	(	const Handle< Quote > &	rate,
		const Size	imm1,
		const Size	imm2,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date()
	)

Definition at line 34 of file immfraratehelper.cpp.

    : RelativeDateRateHelper(rate), imm1_(imm1), imm2_(imm2), pillarChoice_(pillarChoice) {
    // take fixing into account
    iborIndex_ = i->clone(termStructureHandle_);
    // see above
    iborIndex_->unregisterWith(termStructureHandle_);
    registerWith(iborIndex_);
    pillarDate_ = customPillarDate;
    initializeDates();
}

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 47 of file immfraratehelper.cpp.

                                          {
    QL_REQUIRE(termStructure_ != 0, "term structure not set");
    return iborIndex_->fixing(fixingDate_, true);
}

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 52 of file immfraratehelper.cpp.

                                                             {
    // do not set the relinkable handle as an observer -
    // force recalculation when needed---the index is not lazy
    bool observer = false;
 
    QuantLib::ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
    termStructureHandle_.linkTo(temp, observer);
 
    RelativeDateRateHelper::setTermStructure(t);
}

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 103 of file immfraratehelper.cpp.

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

initializeDates()

void initializeDates ( )

overrideprivate

Definition at line 63 of file immfraratehelper.cpp.

                                       {
    // if the evaluation date is not a business day
    // then move to the next business day
    Date referenceDate = iborIndex_->fixingCalendar().adjust(evaluationDate_);
    Date spotDate = iborIndex_->fixingCalendar().advance(referenceDate, iborIndex_->fixingDays() * Days);
 
    earliestDate_ = iborIndex_->fixingCalendar().adjust(getImmDate(spotDate, imm1_));
    maturityDate_ = iborIndex_->fixingCalendar().adjust(getImmDate(spotDate, imm2_));
 
    // latest relevant date is calculated from earliestDate_ instead
    latestRelevantDate_ = iborIndex_->maturityDate(earliestDate_);
 
    switch (pillarChoice_) {
    case Pillar::MaturityDate:
        pillarDate_ = maturityDate_;
        break;
    case Pillar::LastRelevantDate:
        pillarDate_ = latestRelevantDate_;
        break;
    case Pillar::CustomDate:
        // pillarDate_ already assigned at construction time
        QL_REQUIRE(pillarDate_ >= earliestDate_, "pillar date (" << pillarDate_
                                                                 << ") must be later "
                                                                    "than or equal to the instrument's earliest date ("
                                                                 << earliestDate_ << ")");
        QL_REQUIRE(pillarDate_ <= latestRelevantDate_, "pillar date ("
                                                           << pillarDate_
                                                           << ") must be before "
                                                              "or equal to the instrument's latest relevant date ("
                                                           << latestRelevantDate_ << ")");
        break;
    default:
        QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");
    }
 
    latestDate_ = pillarDate_; // backward compatibility
 
    fixingDate_ = iborIndex_->fixingDate(earliestDate_);
}

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Member Data Documentation

fixingDate_

Date fixingDate_

private

Definition at line 56 of file immfraratehelper.hpp.

imm1_

Size imm1_

private

Definition at line 57 of file immfraratehelper.hpp.

imm2_

Size imm2_

private

Definition at line 57 of file immfraratehelper.hpp.

pillarChoice_

Pillar::Choice pillarChoice_

private

Definition at line 58 of file immfraratehelper.hpp.

iborIndex_

QuantLib::ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 59 of file immfraratehelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 60 of file immfraratehelper.hpp.