Base class for cross-currency basis swap rate helpers. More...

#include <ql/experimental/termstructures/crosscurrencyratehelpers.hpp>

Inheritance diagram for CrossCurrencyBasisSwapRateHelperBase:

Collaboration diagram for CrossCurrencyBasisSwapRateHelperBase:

RateHelper interface
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_

Leg	baseCcyIborLeg_

Leg	quoteCcyIborLeg_

RelinkableHandle< YieldTermStructure >	termStructureHandle_

void	setTermStructure (YieldTermStructure *) override

	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)

void	initializeDates () override

const Handle< YieldTermStructure > &	baseCcyLegDiscountHandle () const

const Handle< YieldTermStructure > &	quoteCcyLegDiscountHandle () const

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

Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const Handle< Quote > &quote)

	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

virtual Real	impliedQuote () const =0

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...

virtual void	accept (AcyclicVisitor &)

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 ()

Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_

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

TS *	termStructure_

Date	earliestDate_

Date	latestDate_

Date	maturityDate_

Date	latestRelevantDate_

Date	pillarDate_

Detailed Description

Base class for cross-currency basis swap rate helpers.

Definition at line 32 of file crosscurrencyratehelpers.hpp.

Constructor & Destructor Documentation

◆ 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
	)