SubPeriodsSwapHelper Class Reference

Rate helper for bootstrapping using Sub Periods Swaps. More...

#include <qle/termstructures/subperiodsswaphelper.hpp>

Inheritance diagram for SubPeriodsSwapHelper:

Collaboration diagram for SubPeriodsSwapHelper:

Public Member Functions
	SubPeriodsSwapHelper (Handle< Quote > spread, const Period &swapTenor, const Period &fixedTenor, const Calendar &fixedCalendar, const DayCounter &fixedDayCount, BusinessDayConvention fixedConvention, const Period &floatPayTenor, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &floatDayCount, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
SubPeriodsSwapHelper inspectors
QuantLib::ext::shared_ptr< SubPeriodsSwap >	swap () const

Visitability
QuantLib::ext::shared_ptr< SubPeriodsSwap >	swap_
QuantLib::ext::shared_ptr< IborIndex >	iborIndex_
Period	swapTenor_
Period	fixedTenor_
Calendar	fixedCalendar_
DayCounter	fixedDayCount_
BusinessDayConvention	fixedConvention_
Period	floatPayTenor_
DayCounter	floatDayCount_
QuantExt::SubPeriodsCoupon1::Type	type_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping using Sub Periods Swaps.

Definition at line 37 of file subperiodsswaphelper.hpp.

Constructor & Destructor Documentation

SubPeriodsSwapHelper()

SubPeriodsSwapHelper	(	Handle< Quote >	spread,
		const Period &	swapTenor,
		const Period &	fixedTenor,
		const Calendar &	fixedCalendar,
		const DayCounter &	fixedDayCount,
		BusinessDayConvention	fixedConvention,
		const Period &	floatPayTenor,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex,
		const DayCounter &	floatDayCount,
		const Handle< YieldTermStructure > &	discountingCurve = Handle<YieldTermStructure>(),
		QuantExt::SubPeriodsCoupon1::Type	type = QuantExt::SubPeriodsCoupon1::Compounding
	)

Definition at line 26 of file subperiodsswaphelper.cpp.

    : RelativeDateRateHelper(spread), iborIndex_(iborIndex), swapTenor_(swapTenor), fixedTenor_(fixedTenor),
      fixedCalendar_(fixedCalendar), fixedDayCount_(fixedDayCount), fixedConvention_(fixedConvention),
      floatPayTenor_(floatPayTenor), floatDayCount_(floatDayCount), type_(type), discountHandle_(discountingCurve) {
 
    iborIndex_ = iborIndex_->clone(termStructureHandle_);
    iborIndex_->unregisterWith(termStructureHandle_);
 
    registerWith(iborIndex_);
    registerWith(spread);
    registerWith(discountHandle_);
 
    initializeDates();
}

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 101 of file subperiodsswaphelper.cpp.

                                              {
    QL_REQUIRE(termStructure_ != 0, "Termstructure not set");
    swap_->deepUpdate();
    return swap_->fairRate();
}

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 86 of file subperiodsswaphelper.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);
 
    RelativeDateRateHelper::setTermStructure(t);
}

swap()

QuantLib::ext::shared_ptr< SubPeriodsSwap > swap

(

)

const

Definition at line 53 of file subperiodsswaphelper.hpp.

{ return swap_; }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 107 of file subperiodsswaphelper.cpp.

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

initializeDates()

void initializeDates ( )

overrideprotected

Definition at line 47 of file subperiodsswaphelper.cpp.

                                           {
 
    // build swap
    Date valuationDate = Settings::instance().evaluationDate();
    Calendar spotCalendar = iborIndex_->fixingCalendar();
    Natural spotDays = iborIndex_->fixingDays();
    // move val date forward in case it is a holiday
    valuationDate = spotCalendar.adjust(valuationDate);
    Date effectiveDate = spotCalendar.advance(valuationDate, spotDays * Days);
 
    swap_ = QuantLib::ext::shared_ptr<SubPeriodsSwap>(new SubPeriodsSwap(
        effectiveDate, 1.0, swapTenor_, true, fixedTenor_, 0.0, fixedCalendar_, fixedDayCount_, fixedConvention_,
        floatPayTenor_, iborIndex_, floatDayCount_, DateGeneration::Backward, type_));
 
    QuantLib::ext::shared_ptr<PricingEngine> engine(new DiscountingSwapEngine(discountRelinkableHandle_));
    swap_->setPricingEngine(engine);
 
    // set earliest and latest
    earliestDate_ = swap_->startDate();
    latestDate_ = swap_->maturityDate();
 
    QuantLib::ext::shared_ptr<FloatingRateCoupon> lastFloating =
        QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(swap_->floatLeg().back());
    if (IborCoupon::Settings::instance().usingAtParCoupons()) {
        /* Subperiods coupons do not have a par approximation either... */
        if (QuantLib::ext::dynamic_pointer_cast<QuantExt::SubPeriodsCoupon1>(lastFloating)) {
            Date fixingValueDate = iborIndex_->valueDate(lastFloating->fixingDate());
            Date endValueDate = iborIndex_->maturityDate(fixingValueDate);
            latestDate_ = std::max(latestDate_, endValueDate);
        }
    } else {
        /* May need to adjust latestDate_ if you are projecting libor based
        on tenor length rather than from accrual date to accrual date. */
        Date fixingValueDate = iborIndex_->valueDate(lastFloating->fixingDate());
        Date endValueDate = iborIndex_->maturityDate(fixingValueDate);
        latestDate_ = std::max(latestDate_, endValueDate);
    }
}

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Member Data Documentation

swap_

QuantLib::ext::shared_ptr<SubPeriodsSwap> swap_

private

Definition at line 64 of file subperiodsswaphelper.hpp.

iborIndex_

QuantLib::ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 65 of file subperiodsswaphelper.hpp.

swapTenor_

Period swapTenor_

private

Definition at line 66 of file subperiodsswaphelper.hpp.

fixedTenor_

Period fixedTenor_

private

Definition at line 67 of file subperiodsswaphelper.hpp.

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 68 of file subperiodsswaphelper.hpp.

fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 69 of file subperiodsswaphelper.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 70 of file subperiodsswaphelper.hpp.

floatPayTenor_

Period floatPayTenor_

private

Definition at line 71 of file subperiodsswaphelper.hpp.

floatDayCount_

DayCounter floatDayCount_

private

Definition at line 72 of file subperiodsswaphelper.hpp.

type_

QuantExt::SubPeriodsCoupon1::Type type_

private

Definition at line 73 of file subperiodsswaphelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 75 of file subperiodsswaphelper.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

private

Definition at line 76 of file subperiodsswaphelper.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

private

Definition at line 77 of file subperiodsswaphelper.hpp.