OISRateHelper Class Reference

Rate helper for bootstrapping using Overnight Indexed Swaps. More...

#include <qle/termstructures/oisratehelper.hpp>

Inheritance diagram for OISRateHelper:

Collaboration diagram for OISRateHelper:

Public Member Functions
	OISRateHelper (Natural settlementDays, const Period &swapTenor, const Handle< Quote > &fixedRate, const QuantLib::ext::shared_ptr< OvernightIndex > &overnightIndex, const DayCounter &fixedDayCounter, const Calendar &fixedCalendar, Natural paymentLag=0, bool endOfMonth=false, Frequency paymentFrequency=Annual, BusinessDayConvention fixedConvention=Following, BusinessDayConvention paymentAdjustment=Following, DateGeneration::Rule rule=DateGeneration::Backward, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), bool telescopicValueDates=false, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
inspectors
QuantLib::ext::shared_ptr< OvernightIndexedSwap >	swap () const

Visitability
Natural	settlementDays_
Period	swapTenor_
QuantLib::ext::shared_ptr< OvernightIndex >	overnightIndex_
DayCounter	fixedDayCounter_
Calendar	fixedCalendar_
Natural	paymentLag_
bool	endOfMonth_
Frequency	paymentFrequency_
BusinessDayConvention	fixedConvention_
BusinessDayConvention	paymentAdjustment_
DateGeneration::Rule	rule_
QuantLib::ext::shared_ptr< OvernightIndexedSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
bool	telescopicValueDates_
Pillar::Choice	pillarChoice_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping using Overnight Indexed Swaps.

Definition at line 36 of file oisratehelper.hpp.

Constructor & Destructor Documentation

OISRateHelper()

OISRateHelper	(	Natural	settlementDays,
		const Period &	swapTenor,
		const Handle< Quote > &	fixedRate,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	overnightIndex,
		const DayCounter &	fixedDayCounter,
		const Calendar &	fixedCalendar,
		Natural	paymentLag = 0,
		bool	endOfMonth = false,
		Frequency	paymentFrequency = Annual,
		BusinessDayConvention	fixedConvention = Following,
		BusinessDayConvention	paymentAdjustment = Following,
		DateGeneration::Rule	rule = DateGeneration::Backward,
		const Handle< YieldTermStructure > &	discountingCurve = Handle<YieldTermStructure>(),
		bool	telescopicValueDates = false,
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date()
	)

Definition at line 28 of file oisratehelper.cpp.

    : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), swapTenor_(swapTenor),
      overnightIndex_(overnightIndex), fixedDayCounter_(fixedDayCounter), fixedCalendar_(fixedCalendar),
      paymentLag_(paymentLag), endOfMonth_(endOfMonth), paymentFrequency_(paymentFrequency),
      fixedConvention_(fixedConvention), paymentAdjustment_(paymentAdjustment), rule_(rule),
      discountHandle_(discountingCurve), telescopicValueDates_(telescopicValueDates), pillarChoice_(pillar) {
 
    pillarDate_ = customPillarDate;
 
    bool onIndexHasCurve = !overnightIndex_->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(overnightIndex_->clone(termStructureHandle_));
        overnightIndex_ = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
        overnightIndex_->unregisterWith(termStructureHandle_);
    }
 
    registerWith(overnightIndex_);
    registerWith(discountHandle_);
    initializeDates();
}

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 126 of file oisratehelper.cpp.

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

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 110 of file oisratehelper.cpp.

                                                          {
    // do not set the relinkable handle as an observer
    // force recalculation when needed
    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);
}

swap()

QuantLib::ext::shared_ptr< OvernightIndexedSwap > swap

(

)

const

Definition at line 54 of file oisratehelper.hpp.

{ return swap_; }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 133 of file oisratehelper.cpp.

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

initializeDates()

void initializeDates ( )

overrideprotected

Definition at line 58 of file oisratehelper.cpp.

                                    {
 
    Calendar paymentCalendar_ = overnightIndex_->fixingCalendar();
 
    swap_ = MakeOIS(swapTenor_, overnightIndex_, 0.0)
                .withSettlementDays(settlementDays_)
                .withFixedLegDayCount(fixedDayCounter_)
                .withEndOfMonth(endOfMonth_)
                .withPaymentFrequency(paymentFrequency_)
                .withRule(rule_)
                .withPaymentCalendar(paymentCalendar_)
                .withPaymentAdjustment(paymentAdjustment_)
                .withPaymentLag(paymentLag_)
                .withDiscountingTermStructure(discountRelinkableHandle_)
                .withTelescopicValueDates(telescopicValueDates_);
    // TODO: patch QL?
    //.withFixedAccrualConvention(fixedConvention_)
    //..withFixedCalendar(fixedCalendar_)
 
    earliestDate_ = swap_->startDate();
    maturityDate_ = swap_->maturityDate();
 
    Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(), swap_->fixedLeg().back()->date());
    latestRelevantDate_ = std::max(maturityDate_, lastPaymentDate);
 
    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_) << ")");
    }
 
    // for backwards compatibility
    latestDate_ = pillarDate_;
}

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Member Data Documentation

settlementDays_

Natural settlementDays_

protected

Definition at line 63 of file oisratehelper.hpp.

swapTenor_

Period swapTenor_

protected

Definition at line 64 of file oisratehelper.hpp.

overnightIndex_

QuantLib::ext::shared_ptr<OvernightIndex> overnightIndex_

protected

Definition at line 65 of file oisratehelper.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

protected

Definition at line 66 of file oisratehelper.hpp.

fixedCalendar_

Calendar fixedCalendar_

protected

Definition at line 67 of file oisratehelper.hpp.

paymentLag_

Natural paymentLag_

protected

Definition at line 68 of file oisratehelper.hpp.

endOfMonth_

bool endOfMonth_

protected

Definition at line 69 of file oisratehelper.hpp.

paymentFrequency_

Frequency paymentFrequency_

protected

Definition at line 70 of file oisratehelper.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

protected

Definition at line 71 of file oisratehelper.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_

protected

Definition at line 72 of file oisratehelper.hpp.

rule_

DateGeneration::Rule rule_

protected

Definition at line 73 of file oisratehelper.hpp.

swap_

QuantLib::ext::shared_ptr<OvernightIndexedSwap> swap_

protected

Definition at line 75 of file oisratehelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 76 of file oisratehelper.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 77 of file oisratehelper.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 78 of file oisratehelper.hpp.

telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 79 of file oisratehelper.hpp.

pillarChoice_

Pillar::Choice pillarChoice_

protected

Definition at line 80 of file oisratehelper.hpp.