Rate helper for bootstrapping over FRA rates. More...

#include <ratehelpers.hpp>

Inheritance diagram for FraRateHelper:

Collaboration diagram for FraRateHelper:

Public Member Functions
	FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (Rate rate, Natural monthsToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const Handle< Quote > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (Rate rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const Handle< Quote > &rate, Period periodToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (Rate rate, Period periodToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const Handle< Quote > &rate, Natural immOffsetStart, Natural immOffsetEnd, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (Rate rate, Natural immOffsetStart, Natural immOffsetEnd, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

RateHelper interface
Real	impliedQuote () const override

void	setTermStructure (YieldTermStructure *) override

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

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
Date	fixingDate_

ext::optional< Period >	periodToStart_

ext::optional< Natural >	immOffsetStart_

ext::optional< Natural >	immOffsetEnd_

Pillar::Choice	pillarChoice_

ext::shared_ptr< IborIndex >	iborIndex_

RelinkableHandle< YieldTermStructure >	termStructureHandle_

bool	useIndexedCoupon_

Real	spanningTime_

void	accept (AcyclicVisitor &) override

void	initializeDates () override

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

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

Rate helper for bootstrapping over FRA rates.

Definition at line 150 of file ratehelpers.hpp.

Constructor & Destructor Documentation

◆ FraRateHelper() [1/10]

FraRateHelper	(	const Handle< Quote > &	rate,
		Natural	monthsToStart,
		Natural	monthsToEnd,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 281 of file ratehelpers.cpp.

◆ FraRateHelper() [2/10]

FraRateHelper	(	Rate	rate,
		Natural	monthsToStart,
		Natural	monthsToEnd,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 300 of file ratehelpers.cpp.

◆ FraRateHelper() [3/10]

FraRateHelper	(	const Handle< Quote > &	rate,
		Natural	monthsToStart,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 314 of file ratehelpers.cpp.

◆ FraRateHelper() [4/10]

FraRateHelper	(	Rate	rate,
		Natural	monthsToStart,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 323 of file ratehelpers.cpp.

◆ FraRateHelper() [5/10]

FraRateHelper	(	const Handle< Quote > &	rate,
		Period	periodToStart,
		Natural	lengthInMonths,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 331 of file ratehelpers.cpp.

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◆ FraRateHelper() [6/10]

FraRateHelper	(	Rate	rate,
		Period	periodToStart,
		Natural	lengthInMonths,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 355 of file ratehelpers.cpp.

◆ FraRateHelper() [7/10]

FraRateHelper	(	const Handle< Quote > &	rate,
		Period	periodToStart,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 369 of file ratehelpers.cpp.

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◆ FraRateHelper() [8/10]

FraRateHelper	(	Rate	rate,
		Period	periodToStart,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 388 of file ratehelpers.cpp.

◆ FraRateHelper() [9/10]

FraRateHelper	(	const Handle< Quote > &	rate,
		Natural	immOffsetStart,
		Natural	immOffsetEnd,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 396 of file ratehelpers.cpp.

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◆ FraRateHelper() [10/10]

FraRateHelper	(	Rate	rate,
		Natural	immOffsetStart,
		Natural	immOffsetEnd,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 414 of file ratehelpers.cpp.

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 424 of file ratehelpers.cpp.

◆ setTermStructure()

void setTermStructure ( YieldTermStructure * t )

override

Definition at line 435 of file ratehelpers.cpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 514 of file ratehelpers.cpp.

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◆ initializeDates()

void initializeDates ( )

overrideprivatevirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 456 of file ratehelpers.cpp.

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Member Data Documentation

◆ fixingDate_

Date fixingDate_

private

Definition at line 245 of file ratehelpers.hpp.

◆ periodToStart_

ext::optional<Period> periodToStart_

private

Definition at line 246 of file ratehelpers.hpp.

◆ immOffsetStart_

ext::optional<Natural> immOffsetStart_

private

Definition at line 247 of file ratehelpers.hpp.

◆ immOffsetEnd_

ext::optional<Natural> immOffsetEnd_

private

Definition at line 247 of file ratehelpers.hpp.

◆ pillarChoice_

Pillar::Choice pillarChoice_

private

Definition at line 248 of file ratehelpers.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 249 of file ratehelpers.hpp.

◆ termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 250 of file ratehelpers.hpp.

◆ useIndexedCoupon_

bool useIndexedCoupon_

private

Definition at line 251 of file ratehelpers.hpp.

◆ spanningTime_

Real spanningTime_

private

Definition at line 252 of file ratehelpers.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FraRateHelper() [1/10]

◆ FraRateHelper() [2/10]

◆ FraRateHelper() [3/10]

◆ FraRateHelper() [4/10]

◆ FraRateHelper() [5/10]

◆ FraRateHelper() [6/10]

◆ FraRateHelper() [7/10]

◆ FraRateHelper() [8/10]

◆ FraRateHelper() [9/10]

◆ FraRateHelper() [10/10]

Member Function Documentation

◆ impliedQuote()

◆ setTermStructure()

◆ accept()

◆ initializeDates()

Member Data Documentation

◆ fixingDate_

◆ periodToStart_

◆ immOffsetStart_

◆ immOffsetEnd_

◆ pillarChoice_

◆ iborIndex_

◆ termStructureHandle_

◆ useIndexedCoupon_

◆ spanningTime_