YoYSwapHelper Class Reference

#include <qle/models/yoyswaphelper.hpp>

Inheritance diagram for YoYSwapHelper:

Collaboration diagram for YoYSwapHelper:

Public Member Functions
	YoYSwapHelper (const QuantLib::Handle< QuantLib::Quote > &rate, QuantLib::Natural settlementDays, const QuantLib::Period &tenor, const QuantLib::ext::shared_ptr< QuantLib::YoYInflationIndex > &yoyIndex, const QuantLib::Handle< QuantLib::YieldTermStructure > &rateCurve, const QuantLib::Period &observationLag, const QuantLib::Calendar &yoyCalendar, QuantLib::BusinessDayConvention yoyConvention, const QuantLib::DayCounter &yoyDayCount, const QuantLib::Calendar &fixedCalendar, QuantLib::BusinessDayConvention fixedConvention, const QuantLib::DayCounter &fixedDayCount, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const QuantLib::Period &fixedTenor=1 *QuantLib::Years, const QuantLib::Period &yoyTenor=1 *QuantLib::Years)
	Year on year helper constructor. More...
CalibrationHelper interface
QuantLib::Real	calibrationError () override
Observer interface
void	update () override

YoYSwapHelper inspectors
QuantLib::Handle< QuantLib::Quote >	rate_
	The YoY market swap quote. More...
QuantLib::ext::shared_ptr< QuantLib::YearOnYearInflationSwap >	yoySwap_
	The underlying YoY swap. More...
QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engine_
	The pricing engine used to value the YoY swap. More...
QuantLib::Date	evaluationDate_
QuantLib::Natural	settlementDays_
QuantLib::Period	tenor_
QuantLib::ext::shared_ptr< QuantLib::YoYInflationIndex >	yoyIndex_
QuantLib::Handle< QuantLib::YieldTermStructure >	rateCurve_
QuantLib::Period	observationLag_
QuantLib::Calendar	yoyCalendar_
QuantLib::BusinessDayConvention	yoyConvention_
QuantLib::DayCounter	yoyDayCount_
QuantLib::Calendar	fixedCalendar_
QuantLib::BusinessDayConvention	fixedConvention_
QuantLib::DayCounter	fixedDayCount_
QuantLib::Calendar	paymentCalendar_
QuantLib::BusinessDayConvention	paymentConvention_
QuantLib::Period	fixedTenor_
QuantLib::Period	yoyTenor_
QuantLib::ext::shared_ptr< QuantLib::YearOnYearInflationSwap >	yoySwap () const
void	setPricingEngine (const QuantLib::ext::shared_ptr< QuantLib::PricingEngine > &engine)
	Set the pricing engine to be used by the underlying YoY swap. More...
QuantLib::Real	marketRate () const
	Return the market fair year on year rate. More...
QuantLib::Real	modelRate () const
	Return the model implied fair year on year rate. More...
void	createSwap ()
	Create the underlying YoY swap. More...

Detailed Description

Year on year (YoY) inflation swap calibration helper.

Definition at line 35 of file yoyswaphelper.hpp.

Constructor & Destructor Documentation

YoYSwapHelper()

YoYSwapHelper	(	const QuantLib::Handle< QuantLib::Quote > &	rate,
		QuantLib::Natural	settlementDays,
		const QuantLib::Period &	tenor,
		const QuantLib::ext::shared_ptr< QuantLib::YoYInflationIndex > &	yoyIndex,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	rateCurve,
		const QuantLib::Period &	observationLag,
		const QuantLib::Calendar &	yoyCalendar,
		QuantLib::BusinessDayConvention	yoyConvention,
		const QuantLib::DayCounter &	yoyDayCount,
		const QuantLib::Calendar &	fixedCalendar,
		QuantLib::BusinessDayConvention	fixedConvention,
		const QuantLib::DayCounter &	fixedDayCount,
		const QuantLib::Calendar &	paymentCalendar,
		QuantLib::BusinessDayConvention	paymentConvention,
		const QuantLib::Period &	fixedTenor = 1 * QuantLib::Years,
		const QuantLib::Period &	yoyTenor = 1 * QuantLib::Years
	)

Year on year helper constructor.

Definition at line 44 of file yoyswaphelper.cpp.

    : rate_(rate),
      evaluationDate_(Settings::instance().evaluationDate()),
      settlementDays_(settlementDays),
      tenor_(tenor),
      yoyIndex_(yoyIndex),
      rateCurve_(rateCurve),
      observationLag_(observationLag),
      yoyCalendar_(yoyCalendar),
      yoyConvention_(yoyConvention),
      yoyDayCount_(yoyDayCount),
      fixedCalendar_(fixedCalendar),
      fixedConvention_(fixedConvention),
      fixedDayCount_(fixedDayCount),
      paymentCalendar_(paymentCalendar),
      paymentConvention_(paymentConvention),
      fixedTenor_(fixedTenor),
      yoyTenor_(yoyTenor) {
 
    registerWith(rate_);
    registerWith(Settings::instance().evaluationDate());
    registerWith(yoyIndex_);
 
    createSwap();
}

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Member Function Documentation

calibrationError()

Real calibrationError ( )

override

Definition at line 85 of file yoyswaphelper.cpp.

                                     {
    yoySwap_->setPricingEngine(engine_);
    return rate_->value() - yoySwap_->fairRate();
}

update()

void update ( )

override

Definition at line 90 of file yoyswaphelper.cpp.

                           {
    if (evaluationDate_ != Settings::instance().evaluationDate()) {
        evaluationDate_ = Settings::instance().evaluationDate();
        createSwap();
    }
    notifyObservers();
}

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yoySwap()

QuantLib::ext::shared_ptr< YearOnYearInflationSwap > yoySwap

(

)

const

Definition at line 98 of file yoyswaphelper.cpp.

                                                                            {
    return yoySwap_;
}

setPricingEngine()

void setPricingEngine

(

const QuantLib::ext::shared_ptr< QuantLib::PricingEngine > &

engine

)

Set the pricing engine to be used by the underlying YoY swap.

Definition at line 102 of file yoyswaphelper.cpp.

                                                                                       {
    engine_ = engine;
}

marketRate()

Real marketRate

(

)

const

Return the market fair year on year rate.

Definition at line 106 of file yoyswaphelper.cpp.

                                     {
    return rate_->value();
}

modelRate()

Real modelRate

(

)

const

Return the model implied fair year on year rate.

Definition at line 110 of file yoyswaphelper.cpp.

                                    {
    yoySwap_->setPricingEngine(engine_);
    return yoySwap_->fairRate();
}

createSwap()

void createSwap ( )

private

Create the underlying YoY swap.

Definition at line 115 of file yoyswaphelper.cpp.

                               {
 
    // YoY swap start date and end date.
    JointCalendar jc(yoyCalendar_, fixedCalendar_);
    auto start = jc.advance(evaluationDate_, settlementDays_ * Days);
    auto end = start + tenor_;
 
    // YoY fixed leg schedule.
    Schedule fixedSchedule(start, end, fixedTenor_, fixedCalendar_, fixedConvention_,
        fixedConvention_, DateGeneration::Backward, false);
 
    // YoY leg schedule.
    Schedule yoySchedule(start, end, yoyTenor_, yoyCalendar_, yoyConvention_,
        yoyConvention_, DateGeneration::Backward, false);
 
    // YoY swap
    yoySwap_ = QuantLib::ext::make_shared<YearOnYearInflationSwap>(YearOnYearInflationSwap::Payer, 1.0,
        fixedSchedule, 0.01, fixedDayCount_, yoySchedule, yoyIndex_, observationLag_, 0.0, yoyDayCount_,
        paymentCalendar_, paymentConvention_);
 
    // set coupon pricer
    auto pricer = QuantLib::ext::make_shared<QuantLib::YoYInflationCouponPricer>(rateCurve_);
    for (auto& c : yoySwap_->yoyLeg()) {
        if (auto cpn = QuantLib::ext::dynamic_pointer_cast<QuantLib::YoYInflationCoupon>(c))
            cpn->setPricer(pricer);
    }
}

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Member Data Documentation

rate_

QuantLib::Handle<QuantLib::Quote> rate_

private

The YoY market swap quote.

Definition at line 84 of file yoyswaphelper.hpp.

yoySwap_

QuantLib::ext::shared_ptr<QuantLib::YearOnYearInflationSwap> yoySwap_

private

The underlying YoY swap.

Definition at line 87 of file yoyswaphelper.hpp.

engine_

QuantLib::ext::shared_ptr<QuantLib::PricingEngine> engine_

private

The pricing engine used to value the YoY swap.

Definition at line 90 of file yoyswaphelper.hpp.

evaluationDate_

QuantLib::Date evaluationDate_

private

Definition at line 93 of file yoyswaphelper.hpp.

settlementDays_

QuantLib::Natural settlementDays_

private

Definition at line 94 of file yoyswaphelper.hpp.

tenor_

QuantLib::Period tenor_

private

Definition at line 95 of file yoyswaphelper.hpp.

yoyIndex_

QuantLib::ext::shared_ptr<QuantLib::YoYInflationIndex> yoyIndex_

private

Definition at line 96 of file yoyswaphelper.hpp.

rateCurve_

QuantLib::Handle<QuantLib::YieldTermStructure> rateCurve_

private

Definition at line 97 of file yoyswaphelper.hpp.

observationLag_

QuantLib::Period observationLag_

private

Definition at line 98 of file yoyswaphelper.hpp.

yoyCalendar_

QuantLib::Calendar yoyCalendar_

private

Definition at line 99 of file yoyswaphelper.hpp.

yoyConvention_

QuantLib::BusinessDayConvention yoyConvention_

private

Definition at line 100 of file yoyswaphelper.hpp.

yoyDayCount_

QuantLib::DayCounter yoyDayCount_

private

Definition at line 101 of file yoyswaphelper.hpp.

fixedCalendar_

QuantLib::Calendar fixedCalendar_

private

Definition at line 102 of file yoyswaphelper.hpp.

fixedConvention_

QuantLib::BusinessDayConvention fixedConvention_

private

Definition at line 103 of file yoyswaphelper.hpp.

fixedDayCount_

QuantLib::DayCounter fixedDayCount_

private

Definition at line 104 of file yoyswaphelper.hpp.

paymentCalendar_

QuantLib::Calendar paymentCalendar_

private

Definition at line 105 of file yoyswaphelper.hpp.

paymentConvention_

QuantLib::BusinessDayConvention paymentConvention_

private

Definition at line 106 of file yoyswaphelper.hpp.

fixedTenor_

QuantLib::Period fixedTenor_

private

Definition at line 107 of file yoyswaphelper.hpp.

yoyTenor_

QuantLib::Period yoyTenor_

private

Definition at line 108 of file yoyswaphelper.hpp.