OICCBSHelper Class Reference

Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads. More...

#include <qle/termstructures/oiccbasisswaphelper.hpp>

Inheritance diagram for OICCBSHelper:

Collaboration diagram for OICCBSHelper:

Public Member Functions
	OICCBSHelper (Natural settlementDays, const Period &term, const QuantLib::ext::shared_ptr< OvernightIndex > &payIndex, const Period &payTenor, const QuantLib::ext::shared_ptr< OvernightIndex > &recIndex, const Period &recTenor, const Handle< Quote > &spreadQuote, const Handle< YieldTermStructure > &fixedDiscountCurve, bool spreadQuoteOnPayLeg, bool fixedDiscountOnPayLeg)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
inspectors
QuantLib::ext::shared_ptr< OvernightIndexedCrossCcyBasisSwap >	swap () const

Visitability
Natural	settlementDays_
Period	term_
QuantLib::ext::shared_ptr< OvernightIndex >	payIndex_
Period	payTenor_
QuantLib::ext::shared_ptr< OvernightIndex >	recIndex_
Period	recTenor_
Handle< YieldTermStructure >	fixedDiscountCurve_
bool	spreadQuoteOnPayLeg_
bool	fixedDiscountOnPayLeg_
QuantLib::ext::shared_ptr< OvernightIndexedCrossCcyBasisSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads.

Definition at line 39 of file oiccbasisswaphelper.hpp.

Constructor & Destructor Documentation

OICCBSHelper()

OICCBSHelper	(	Natural	settlementDays,
		const Period &	term,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	payIndex,
		const Period &	payTenor,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	recIndex,
		const Period &	recTenor,
		const Handle< Quote > &	spreadQuote,
		const Handle< YieldTermStructure > &	fixedDiscountCurve,
		bool	spreadQuoteOnPayLeg,
		bool	fixedDiscountOnPayLeg
	)

Definition at line 31 of file oiccbasisswaphelper.cpp.

    : RelativeDateRateHelper(spreadQuote), settlementDays_(settlementDays), term_(term), payIndex_(payIndex),
      payTenor_(payTenor), recIndex_(recIndex), recTenor_(recTenor), fixedDiscountCurve_(fixedDiscountCurve),
      spreadQuoteOnPayLeg_(spreadQuoteOnPayLeg), fixedDiscountOnPayLeg_(fixedDiscountOnPayLeg) {
 
    registerWith(payIndex_);
    registerWith(recIndex_);
    registerWith(fixedDiscountCurve_);
    initializeDates();
}

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 84 of file oiccbasisswaphelper.cpp.

                                      {
    QL_REQUIRE(termStructure_ != 0, "term structure not set");
    // we didn't register as observers - force calculation
    swap_->deepUpdate();
    if (spreadQuoteOnPayLeg_)
        return swap_->fairPayLegSpread();
    else
        return swap_->fairRecLegSpread();
}

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 77 of file oiccbasisswaphelper.cpp.

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

swap()

QuantLib::ext::shared_ptr< OvernightIndexedCrossCcyBasisSwap > swap

(

)

const

Definition at line 54 of file oiccbasisswaphelper.hpp.

{ return swap_; }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 94 of file oiccbasisswaphelper.cpp.

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

initializeDates()

void initializeDates ( )

overrideprotected

Definition at line 48 of file oiccbasisswaphelper.cpp.

                                   {
    Date asof = Settings::instance().evaluationDate();
    Date settlementDate = payIndex_->fixingCalendar().advance(asof, settlementDays_, Days);
    Schedule paySchedule = MakeSchedule().from(settlementDate).to(settlementDate + term_).withTenor(payTenor_);
    Schedule recSchedule = MakeSchedule().from(settlementDate).to(settlementDate + term_).withTenor(recTenor_);
    Currency payCurrency = EURCurrency(); // arbitrary here
    Currency recCurrency = GBPCurrency(); // recCcy != payCcy, but FX=1
    QuantLib::ext::shared_ptr<Quote> fx(new SimpleQuote(1.0));
    swap_ = QuantLib::ext::shared_ptr<OvernightIndexedCrossCcyBasisSwap>(
        new OvernightIndexedCrossCcyBasisSwap(10000.0, // arbitrary payNominal
                                              payCurrency, paySchedule, payIndex_,
                                              0.0,     // zero pay spread
                                              10000.0, // recNominal consistent with FX rate used
                                              recCurrency, recSchedule, recIndex_,
                                              0.0)); // target receive spread
    if (fixedDiscountOnPayLeg_) {
        QuantLib::ext::shared_ptr<PricingEngine> engine(new OvernightIndexedCrossCcyBasisSwapEngine(
            fixedDiscountCurve_, payCurrency, termStructureHandle_, recCurrency, Handle<Quote>(fx)));
        swap_->setPricingEngine(engine);
    } else {
        QuantLib::ext::shared_ptr<PricingEngine> engine(new OvernightIndexedCrossCcyBasisSwapEngine(
            termStructureHandle_, payCurrency, fixedDiscountCurve_, recCurrency, Handle<Quote>(fx)));
        swap_->setPricingEngine(engine);
    }
 
    earliestDate_ = swap_->startDate();
    latestDate_ = swap_->maturityDate();
}

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Member Data Documentation

settlementDays_

Natural settlementDays_

protected

Definition at line 63 of file oiccbasisswaphelper.hpp.

term_

Period term_

protected

Definition at line 64 of file oiccbasisswaphelper.hpp.

payIndex_

QuantLib::ext::shared_ptr<OvernightIndex> payIndex_

protected

Definition at line 65 of file oiccbasisswaphelper.hpp.

payTenor_

Period payTenor_

protected

Definition at line 66 of file oiccbasisswaphelper.hpp.

recIndex_

QuantLib::ext::shared_ptr<OvernightIndex> recIndex_

protected

Definition at line 67 of file oiccbasisswaphelper.hpp.

recTenor_

Period recTenor_

protected

Definition at line 68 of file oiccbasisswaphelper.hpp.

fixedDiscountCurve_

Handle<YieldTermStructure> fixedDiscountCurve_

protected

Definition at line 69 of file oiccbasisswaphelper.hpp.

spreadQuoteOnPayLeg_

bool spreadQuoteOnPayLeg_

protected

Definition at line 70 of file oiccbasisswaphelper.hpp.

fixedDiscountOnPayLeg_

bool fixedDiscountOnPayLeg_

protected

Definition at line 71 of file oiccbasisswaphelper.hpp.

swap_

QuantLib::ext::shared_ptr<OvernightIndexedCrossCcyBasisSwap> swap_

protected

Definition at line 73 of file oiccbasisswaphelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 74 of file oiccbasisswaphelper.hpp.