QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Rate helper for bootstrapping over market-to-market cross-currency basis swaps. More...
#include <crosscurrencyratehelpers.hpp>
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 > "eCurrencyIndex, const Handle< YieldTermStructure > &collateralCurve, bool isFxBaseCurrencyCollateralCurrency, bool isBasisOnFxBaseCurrencyLeg, bool isFxBaseCurrencyLegResettable) | |
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 Handle< Quote > "e) | |
RelativeDateBootstrapHelper (Real quote) | |
void | update () override |
Public Member Functions inherited from BootstrapHelper< TS > | |
BootstrapHelper (Handle< Quote > quote) | |
BootstrapHelper (Real 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 () | |
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 |
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 132 of file crosscurrencyratehelpers.hpp.
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 | ||
) |
Definition at line 250 of file crosscurrencyratehelpers.cpp.
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overridevirtual |
Implements BootstrapHelper< TS >.
Definition at line 276 of file crosscurrencyratehelpers.cpp.
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overridevirtual |
Reimplemented from BootstrapHelper< TS >.
Definition at line 298 of file crosscurrencyratehelpers.cpp.
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private |
Definition at line 155 of file crosscurrencyratehelpers.hpp.