TenorBasisSwapHelper Class Reference

Rate helper for bootstrapping using Libor tenor basis swaps. More...

#include <qle/termstructures/tenorbasisswaphelper.hpp>

Inheritance diagram for TenorBasisSwapHelper:

Collaboration diagram for TenorBasisSwapHelper:

Public Member Functions
	TenorBasisSwapHelper (Handle< Quote > spread, const Period &swapTenor, const QuantLib::ext::shared_ptr< IborIndex > payIndex, const QuantLib::ext::shared_ptr< IborIndex > receiveIndex, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), bool spreadOnRec=true, bool includeSpread=false, const Period &payFrequency=Period(), const Period &recFrequency=Period(), const bool telescopicValueDates=false, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
TenorBasisSwapHelper inspectors
QuantLib::ext::shared_ptr< TenorBasisSwap >	swap () const

Visitability
Period	swapTenor_
QuantLib::ext::shared_ptr< IborIndex >	payIndex_
QuantLib::ext::shared_ptr< IborIndex >	receiveIndex_
bool	spreadOnRec_
bool	includeSpread_
Period	payFrequency_
Period	recFrequency_
bool	telescopicValueDates_
QuantExt::SubPeriodsCoupon1::Type	type_
bool	setDiscountRelinkableHandle_
QuantLib::ext::shared_ptr< TenorBasisSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping using Libor tenor basis swaps.

Definition at line 37 of file tenorbasisswaphelper.hpp.

Constructor & Destructor Documentation

TenorBasisSwapHelper()

TenorBasisSwapHelper	(	Handle< Quote >	spread,
		const Period &	swapTenor,
		const QuantLib::ext::shared_ptr< IborIndex >	payIndex,
		const QuantLib::ext::shared_ptr< IborIndex >	receiveIndex,
		const Handle< YieldTermStructure > &	discountingCurve = Handle<YieldTermStructure>(),
		bool	spreadOnRec = true,
		bool	includeSpread = false,
		const Period &	payFrequency = Period(),
		const Period &	recFrequency = Period(),
		const bool	telescopicValueDates = false,
		QuantExt::SubPeriodsCoupon1::Type	type = QuantExt::SubPeriodsCoupon1::Compounding
	)

Definition at line 27 of file tenorbasisswaphelper.cpp.

    : RelativeDateRateHelper(spread), swapTenor_(swapTenor), payIndex_(payIndex), receiveIndex_(receiveIndex),
      spreadOnRec_(spreadOnRec), includeSpread_(includeSpread), payFrequency_(payFrequency),
      recFrequency_(recFrequency), telescopicValueDates_(telescopicValueDates), type_(type),
      discountHandle_(discountingCurve) {
 
       /* depending on the given curves we proceed as outlined in the following table
 
       x = curve is given
       . = curve is missing
 
       Case | PAY | REC  | Discount | Action
       =========================================
         0  |  .  |   .  |    .     | throw exception
         1  |  .  |   .  |    x     | throw exception
         2  |  .  |   x  |    .     | imply PAY = Discount
         3  |  .  |   x  |    x     | imply PAY
         4  |  x  |   .  |    .     | imply REC = Discount
         5  |  x  |   .  |    x     | imply REC
         6  |  x  |   x  |    .     | imply Discount
         7  |  x  |   x  |    x     | throw exception
 
        Overnight(ON) vs. IBOR CASE:
        Case 2 from above:
            if REC (given) is ON, REC = Discount = OIS, imply PAY only
            else : PAY (missing) is ON, imply PAY = Discount = OIS (as before)
 
        Case 4 from above:
            if PAY (given) is ON, PAY = Discount = OIS , imply REC only
            else : REC (missing) is ON, then imply REC = Discount = OIS (as before)
 
        */
 
       setDiscountRelinkableHandle_ = false;
 
       bool payGiven = !payIndex_->forwardingTermStructure().empty();
       bool recGiven = !receiveIndex_->forwardingTermStructure().empty();
       bool discountGiven = !discountHandle_.empty();
 
       QuantLib::ext::shared_ptr<OvernightIndex> payIndexON = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(payIndex_);
       QuantLib::ext::shared_ptr<OvernightIndex> recIndexON = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(receiveIndex_);
 
       if (!payGiven && !recGiven && !discountGiven) {
           // case 0
           QL_FAIL("no curve given");
       } else if (!payGiven && !recGiven && discountGiven) {
           // case 1
           QL_FAIL("no index curve given");
       } else if (!payGiven && recGiven && !discountGiven) {
           // case 2
           payIndex_ = QuantLib::ext::static_pointer_cast<IborIndex>(payIndex_->clone(termStructureHandle_));
           payIndex_->unregisterWith(termStructureHandle_);
           if (!payIndexON && recIndexON)
               discountRelinkableHandle_.linkTo(*receiveIndex_->forwardingTermStructure());
           else
               setDiscountRelinkableHandle_ = true;
       } else if (!payGiven && recGiven && discountGiven) {
           // case 3
           payIndex_ = QuantLib::ext::static_pointer_cast<IborIndex>(payIndex_->clone(termStructureHandle_));
           payIndex_->unregisterWith(termStructureHandle_);
       } else if (payGiven && !recGiven && !discountGiven) {
           // case 4
           receiveIndex_ = QuantLib::ext::static_pointer_cast<IborIndex>(receiveIndex_->clone(termStructureHandle_));
           receiveIndex_->unregisterWith(termStructureHandle_);
           if (payIndexON && !recIndexON)
               discountRelinkableHandle_.linkTo(*payIndex_->forwardingTermStructure());
           else
               setDiscountRelinkableHandle_ = true;
       } else if (payGiven && !recGiven && discountGiven) {
           // case 5
           receiveIndex_ = QuantLib::ext::static_pointer_cast<IborIndex>(receiveIndex_->clone(termStructureHandle_));
           receiveIndex_->unregisterWith(termStructureHandle_);
       } else if (payGiven && recGiven && !discountGiven) {
           // case 6
           setDiscountRelinkableHandle_ = true;
       } else if (payGiven && recGiven && discountGiven) {
           // case 7
           QL_FAIL("Both Index and the Discount curves are all given");
       }
 
       payFrequency_ = payFrequency == Period() ? payIndex_->tenor() : payFrequency;
       recFrequency_ = recFrequency == Period() ? receiveIndex_->tenor() : recFrequency;
 
       registerWith(payIndex_);
       registerWith(receiveIndex_);
       registerWith(discountHandle_);
       initializeDates();
}

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 179 of file tenorbasisswaphelper.cpp.

                                              {
    QL_REQUIRE(termStructure_ != 0, "Termstructure not set");
    // we didn't register as observers - force calculation
    swap_->deepUpdate();
    return (spreadOnRec_ ? swap_->fairRecLegSpread() : swap_->fairPayLegSpread());
}

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 164 of file tenorbasisswaphelper.cpp.

                                                                 {
 
    bool observer = false;
 
    QuantLib::ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
    termStructureHandle_.linkTo(temp, observer);
 
    if (setDiscountRelinkableHandle_)
        discountRelinkableHandle_.linkTo(temp, observer);
    else
        discountRelinkableHandle_.linkTo(*discountHandle_, observer);
 
    RelativeDateRateHelper::setTermStructure(t);
}

swap()

QuantLib::ext::shared_ptr< TenorBasisSwap > swap

(

)

const

Definition at line 53 of file tenorbasisswaphelper.hpp.

{ return swap_; }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 186 of file tenorbasisswaphelper.cpp.

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

initializeDates()

void initializeDates ( )

overrideprotected

Definition at line 121 of file tenorbasisswaphelper.cpp.

                                           {
 
    //CHECK : should the spot shift be based on pay ore receive, here we have the pay leg...
    QuantLib::ext::shared_ptr<Libor> payIndexAsLibor = QuantLib::ext::dynamic_pointer_cast<Libor>(payIndex_);
    Calendar spotCalendar = payIndexAsLibor != NULL ? payIndexAsLibor->jointCalendar() : payIndex_->fixingCalendar();
    Natural spotDays = payIndex_->fixingDays();
 
    Date valuationDate = Settings::instance().evaluationDate();
    // if the evaluation date is not a business day
    // then move to the next business day
    valuationDate = spotCalendar.adjust(valuationDate);
 
    Date effectiveDate = spotCalendar.advance(valuationDate, spotDays * Days);
 
    swap_ = QuantLib::ext::shared_ptr<TenorBasisSwap>(new TenorBasisSwap(
        effectiveDate, 1.0, swapTenor_, payIndex_, 0.0, payFrequency_, receiveIndex_, 0.0, recFrequency_,
        DateGeneration::Backward, includeSpread_, spreadOnRec_, type_, telescopicValueDates_));
 
    QuantLib::ext::shared_ptr<PricingEngine> engine(new DiscountingSwapEngine(discountRelinkableHandle_));
    swap_->setPricingEngine(engine);
 
    earliestDate_ = swap_->startDate();
    latestDate_ = swap_->maturityDate();
 
    QuantLib::ext::shared_ptr<FloatingRateCoupon> lastFloating = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(
        termStructureHandle_ == receiveIndex_->forwardingTermStructure() ? swap_->recLeg().back()
                                                                       : swap_->payLeg().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 = receiveIndex_->valueDate(lastFloating->fixingDate());
            Date endValueDate = receiveIndex_->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 = receiveIndex_->valueDate(lastFloating->fixingDate());
        Date endValueDate = receiveIndex_->maturityDate(fixingValueDate);
        latestDate_ = std::max(latestDate_, endValueDate); 
    }
}

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Member Data Documentation

swapTenor_

Period swapTenor_

protected

Definition at line 63 of file tenorbasisswaphelper.hpp.

payIndex_

QuantLib::ext::shared_ptr<IborIndex> payIndex_

protected

Definition at line 64 of file tenorbasisswaphelper.hpp.

receiveIndex_

QuantLib::ext::shared_ptr<IborIndex> receiveIndex_

protected

Definition at line 65 of file tenorbasisswaphelper.hpp.

spreadOnRec_

bool spreadOnRec_

protected

Definition at line 66 of file tenorbasisswaphelper.hpp.

includeSpread_

bool includeSpread_

protected

Definition at line 67 of file tenorbasisswaphelper.hpp.

payFrequency_

Period payFrequency_

protected

Definition at line 68 of file tenorbasisswaphelper.hpp.

recFrequency_

Period recFrequency_

protected

Definition at line 69 of file tenorbasisswaphelper.hpp.

telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 70 of file tenorbasisswaphelper.hpp.

type_

QuantExt::SubPeriodsCoupon1::Type type_

protected

Definition at line 71 of file tenorbasisswaphelper.hpp.

setDiscountRelinkableHandle_

bool setDiscountRelinkableHandle_

protected

Definition at line 72 of file tenorbasisswaphelper.hpp.

swap_

QuantLib::ext::shared_ptr<TenorBasisSwap> swap_

protected

Definition at line 74 of file tenorbasisswaphelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 75 of file tenorbasisswaphelper.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 76 of file tenorbasisswaphelper.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 77 of file tenorbasisswaphelper.hpp.