Rate helper for bootstrapping over market-to-market cross-currency basis swaps. More...

#include <crosscurrencyratehelpers.hpp>

Inheritance diagram for MtMCrossCurrencyBasisSwapRateHelper:

Collaboration diagram for MtMCrossCurrencyBasisSwapRateHelper:

Public Member Functions
	MtMCrossCurrencyBasisSwapRateHelper (const Handle< Quote > &basis, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const ext::shared_ptr< IborIndex > &baseCurrencyIndex, const ext::shared_ptr< IborIndex > &quoteCurrencyIndex, const Handle< YieldTermStructure > &collateralCurve, bool isFxBaseCurrencyCollateralCurrency, bool isBasisOnFxBaseCurrencyLeg, bool isFxBaseCurrencyLegResettable, Frequency paymentFrequency=NoFrequency, Integer paymentLag=0)

RateHelper interface
Real	impliedQuote () const override

Public Member Functions inherited from CrossCurrencyBasisSwapRateHelperBase
void	setTermStructure (YieldTermStructure *) override

Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)

void	update () override

Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)

	~BootstrapHelper () override=default

const Handle< Quote > &	quote () const

Real	quoteError () const

virtual void	setTermStructure (TS *)
	sets the term structure to be used for pricing More...

virtual Date	earliestDate () const
	earliest relevant date More...

virtual Date	maturityDate () const
	instrument's maturity date More...

virtual Date	latestRelevantDate () const
	latest relevant date More...

virtual Date	pillarDate () const
	pillar date More...

virtual Date	latestDate () const
	latest date More...

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Visitability
bool	isFxBaseCurrencyLegResettable_

void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from CrossCurrencyBasisSwapRateHelperBase
	CrossCurrencyBasisSwapRateHelperBase (const Handle< Quote > &basis, const Period &tenor, Natural fixingDays, Calendar calendar, BusinessDayConvention convention, bool endOfMonth, ext::shared_ptr< IborIndex > baseCurrencyIndex, ext::shared_ptr< IborIndex > quoteCurrencyIndex, Handle< YieldTermStructure > collateralCurve, bool isFxBaseCurrencyCollateralCurrency, bool isBasisOnFxBaseCurrencyLeg, Frequency paymentFrequency=NoFrequency, Integer paymentLag=0)

void	initializeDates () override

const Handle< YieldTermStructure > &	baseCcyLegDiscountHandle () const

const Handle< YieldTermStructure > &	quoteCcyLegDiscountHandle () const

Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from CrossCurrencyBasisSwapRateHelperBase
Period	tenor_

Natural	fixingDays_

Calendar	calendar_

BusinessDayConvention	convention_

bool	endOfMonth_

ext::shared_ptr< IborIndex >	baseCcyIdx_

ext::shared_ptr< IborIndex >	quoteCcyIdx_

Handle< YieldTermStructure >	collateralHandle_

bool	isFxBaseCurrencyCollateralCurrency_

bool	isBasisOnFxBaseCurrencyLeg_

Frequency	paymentFrequency_

Integer	paymentLag_

Leg	baseCcyIborLeg_

Leg	quoteCcyIborLeg_

Date	initialNotionalExchangeDate_

Date	finalNotionalExchangeDate_

RelinkableHandle< YieldTermStructure >	termStructureHandle_

Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_

bool	updateDates_

Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_

TS *	termStructure_

Date	earliestDate_

Date	latestDate_

Date	maturityDate_

Date	latestRelevantDate_

Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over market-to-market cross-currency basis swaps.

Helper for a cross currency swap with resetting notional. This means that at each interest payment the notional on the MtM leg is being reset to reflect the changes in the FX rate - reducing the counterparty and FX risk of the structure.

For more details see: N. Moreni, A. Pallavicini (2015) FX Modelling in Collateralized Markets: foreign measures, basis curves and pricing formulae.

Definition at line 141 of file crosscurrencyratehelpers.hpp.

Constructor & Destructor Documentation

◆ MtMCrossCurrencyBasisSwapRateHelper()

MtMCrossCurrencyBasisSwapRateHelper	(	const Handle< Quote > &	basis,
		const Period &	tenor,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const ext::shared_ptr< IborIndex > &	baseCurrencyIndex,
		const ext::shared_ptr< IborIndex > &	quoteCurrencyIndex,
		const Handle< YieldTermStructure > &	collateralCurve,
		bool	isFxBaseCurrencyCollateralCurrency,
		bool	isBasisOnFxBaseCurrencyLeg,
		bool	isFxBaseCurrencyLegResettable,
		Frequency	paymentFrequency = `NoFrequency`,
		Integer	paymentLag = `0`
	)