ratehelpers.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008 StatPro Italia srl
 Copyright (C) 2007, 2008, 2009, 2015 Ferdinando Ametrano
 Copyright (C) 2007, 2009 Roland Lichters
 Copyright (C) 2015 Maddalena Zanzi
 Copyright (C) 2015 Paolo Mazzocchi
 Copyright (C) 2018 Matthias Lungwitz
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_ratehelpers_hpp
#define quantlib_ratehelpers_hpp
 
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/instruments/bmaswap.hpp>
#include <ql/instruments/futures.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/optional.hpp>
 
namespace QuantLib {
 
    class SwapIndex;
    class Quote;
 
    typedef BootstrapHelper<YieldTermStructure> RateHelper;
    typedef RelativeDateBootstrapHelper<YieldTermStructure>
                                                        RelativeDateRateHelper;
 
    class FuturesRateHelper : public RateHelper {
      public:
        FuturesRateHelper(const Handle<Quote>& price,
                          const Date& iborStartDate,
                          Natural lengthInMonths,
                          const Calendar& calendar,
                          BusinessDayConvention convention,
                          bool endOfMonth,
                          const DayCounter& dayCounter,
                          Handle<Quote> convexityAdjustment = {},
                          Futures::Type type = Futures::IMM);
        FuturesRateHelper(Real price,
                          const Date& iborStartDate,
                          Natural lengthInMonths,
                          const Calendar& calendar,
                          BusinessDayConvention convention,
                          bool endOfMonth,
                          const DayCounter& dayCounter,
                          Rate convexityAdjustment = 0.0,
                          Futures::Type type = Futures::IMM);
        FuturesRateHelper(const Handle<Quote>& price,
                          const Date& iborStartDate,
                          const Date& iborEndDate,
                          const DayCounter& dayCounter,
                          Handle<Quote> convexityAdjustment = {},
                          Futures::Type type = Futures::IMM);
        FuturesRateHelper(Real price,
                          const Date& iborStartDate,
                          const Date& endDate,
                          const DayCounter& dayCounter,
                          Rate convexityAdjustment = 0.0,
                          Futures::Type type = Futures::IMM);
        FuturesRateHelper(const Handle<Quote>& price,
                          const Date& iborStartDate,
                          const ext::shared_ptr<IborIndex>& iborIndex,
                          const Handle<Quote>& convexityAdjustment = {},
                          Futures::Type type = Futures::IMM);
        FuturesRateHelper(Real price,
                          const Date& iborStartDate,
                          const ext::shared_ptr<IborIndex>& iborIndex,
                          Rate convexityAdjustment = 0.0,
                          Futures::Type type = Futures::IMM);
 
        Real impliedQuote() const override;
 
        Real convexityAdjustment() const;
 
        void accept(AcyclicVisitor&) override;
      private:
        Time yearFraction_;
        Handle<Quote> convAdj_;
    };
 
 
    class DepositRateHelper : public RelativeDateRateHelper {
      public:
        DepositRateHelper(const Handle<Quote>& rate,
                          const Period& tenor,
                          Natural fixingDays,
                          const Calendar& calendar,
                          BusinessDayConvention convention,
                          bool endOfMonth,
                          const DayCounter& dayCounter);
        DepositRateHelper(Rate rate,
                          const Period& tenor,
                          Natural fixingDays,
                          const Calendar& calendar,
                          BusinessDayConvention convention,
                          bool endOfMonth,
                          const DayCounter& dayCounter);
        DepositRateHelper(const Handle<Quote>& rate,
                          const ext::shared_ptr<IborIndex>& iborIndex);
        DepositRateHelper(Rate rate,
                          const ext::shared_ptr<IborIndex>& iborIndex);
 
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
 
        void accept(AcyclicVisitor&) override;
      private:
        void initializeDates() override;
        Date fixingDate_;
        ext::shared_ptr<IborIndex> iborIndex_;
        RelinkableHandle<YieldTermStructure> termStructureHandle_;
    };
 
 
    class FraRateHelper : public RelativeDateRateHelper {
      public:
        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);
 
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
 
        void accept(AcyclicVisitor&) override;
      private:
        void initializeDates() override;
        Date fixingDate_;
        ext::optional<Period> periodToStart_;
        ext::optional<Natural> immOffsetStart_, immOffsetEnd_;
        Pillar::Choice pillarChoice_;
        ext::shared_ptr<IborIndex> iborIndex_;
        RelinkableHandle<YieldTermStructure> termStructureHandle_;
        bool useIndexedCoupon_;
        Real spanningTime_;
    };
 
 
 
    class SwapRateHelper : public RelativeDateRateHelper {
      public:
        SwapRateHelper(const Handle<Quote>& rate,
                       const ext::shared_ptr<SwapIndex>& swapIndex,
                       Handle<Quote> spread = {},
                       const Period& fwdStart = 0 * Days,
                       // exogenous discounting curve
                       Handle<YieldTermStructure> discountingCurve = {},
                       Pillar::Choice pillar = Pillar::LastRelevantDate,
                       Date customPillarDate = Date(),
                       bool endOfMonth = false,
                       const ext::optional<bool>& useIndexedCoupons = ext::nullopt);
        SwapRateHelper(const Handle<Quote>& rate,
                       const Period& tenor,
                       Calendar calendar,
                       // fixed leg
                       Frequency fixedFrequency,
                       BusinessDayConvention fixedConvention,
                       DayCounter fixedDayCount,
                       // floating leg
                       const ext::shared_ptr<IborIndex>& iborIndex,
                       Handle<Quote> spread = {},
                       const Period& fwdStart = 0 * Days,
                       // exogenous discounting curve
                       Handle<YieldTermStructure> discountingCurve = {},
                       Natural settlementDays = Null<Natural>(),
                       Pillar::Choice pillar = Pillar::LastRelevantDate,
                       Date customPillarDate = Date(),
                       bool endOfMonth = false,
                       const ext::optional<bool>& useIndexedCoupons = ext::nullopt);
        SwapRateHelper(Rate rate,
                       const ext::shared_ptr<SwapIndex>& swapIndex,
                       Handle<Quote> spread = {},
                       const Period& fwdStart = 0 * Days,
                       // exogenous discounting curve
                       Handle<YieldTermStructure> discountingCurve = {},
                       Pillar::Choice pillar = Pillar::LastRelevantDate,
                       Date customPillarDate = Date(),
                       bool endOfMonth = false,
                       const ext::optional<bool>& useIndexedCoupons = ext::nullopt);
        SwapRateHelper(Rate rate,
                       const Period& tenor,
                       Calendar calendar,
                       // fixed leg
                       Frequency fixedFrequency,
                       BusinessDayConvention fixedConvention,
                       DayCounter fixedDayCount,
                       // floating leg
                       const ext::shared_ptr<IborIndex>& iborIndex,
                       Handle<Quote> spread = {},
                       const Period& fwdStart = 0 * Days,
                       // exogenous discounting curve
                       Handle<YieldTermStructure> discountingCurve = {},
                       Natural settlementDays = Null<Natural>(),
                       Pillar::Choice pillar = Pillar::LastRelevantDate,
                       Date customPillarDate = Date(),
                       bool endOfMonth = false,
                       const ext::optional<bool>& useIndexedCoupons = ext::nullopt);
 
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
 
        Spread spread() const;
        // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
        ext::shared_ptr<VanillaSwap> swap() const;
        const Period& forwardStart() const;
 
        void accept(AcyclicVisitor&) override;
      protected:
        void initializeDates() override;
        Natural settlementDays_;
        Period tenor_;
        Pillar::Choice pillarChoice_;
        Calendar calendar_;
        BusinessDayConvention fixedConvention_;
        Frequency fixedFrequency_;
        DayCounter fixedDayCount_;
        ext::shared_ptr<IborIndex> iborIndex_;
        ext::shared_ptr<VanillaSwap> swap_;
        RelinkableHandle<YieldTermStructure> termStructureHandle_;
        Handle<Quote> spread_;
        bool endOfMonth_;
        Period fwdStart_;
        Handle<YieldTermStructure> discountHandle_;
        RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
        ext::optional<bool> useIndexedCoupons_;
    };
 
 
    class BMASwapRateHelper : public RelativeDateRateHelper {
      public:
        BMASwapRateHelper(const Handle<Quote>& liborFraction,
                          const Period& tenor, // swap maturity
                          Natural settlementDays,
                          Calendar calendar,
                          // bma leg
                          const Period& bmaPeriod,
                          BusinessDayConvention bmaConvention,
                          DayCounter bmaDayCount,
                          ext::shared_ptr<BMAIndex> bmaIndex,
                          // ibor leg
                          ext::shared_ptr<IborIndex> index);
 
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
 
        void accept(AcyclicVisitor&) override;
    protected:
      void initializeDates() override;
      Period tenor_;
      Natural settlementDays_;
      Calendar calendar_;
      Period bmaPeriod_;
      BusinessDayConvention bmaConvention_;
      DayCounter bmaDayCount_;
      ext::shared_ptr<BMAIndex> bmaIndex_;
      ext::shared_ptr<IborIndex> iborIndex_;
 
      ext::shared_ptr<BMASwap> swap_;
      RelinkableHandle<YieldTermStructure> termStructureHandle_;
    };
 
 
 
    class FxSwapRateHelper : public RelativeDateRateHelper {
      public:
        FxSwapRateHelper(const Handle<Quote>& fwdPoint,
                         Handle<Quote> spotFx,
                         const Period& tenor,
                         Natural fixingDays,
                         Calendar calendar,
                         BusinessDayConvention convention,
                         bool endOfMonth,
                         bool isFxBaseCurrencyCollateralCurrency,
                         Handle<YieldTermStructure> collateralCurve,
                         Calendar tradingCalendar = Calendar());
 
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
 
        Real spot() const { return spot_->value(); }
        Period tenor() const { return tenor_; }
        Natural fixingDays() const { return fixingDays_; }
        Calendar calendar() const { return cal_; }
        BusinessDayConvention businessDayConvention() const { return conv_; }
        bool endOfMonth() const { return eom_; }
        bool isFxBaseCurrencyCollateralCurrency() const {
                                return isFxBaseCurrencyCollateralCurrency_; }
        Calendar tradingCalendar() const { return tradingCalendar_; }
        Calendar adjustmentCalendar() const { return jointCalendar_; }
 
        void accept(AcyclicVisitor&) override;
    private:
      void initializeDates() override;
      Handle<Quote> spot_;
      Period tenor_;
      Natural fixingDays_;
      Calendar cal_;
      BusinessDayConvention conv_;
      bool eom_;
      bool isFxBaseCurrencyCollateralCurrency_;
 
      RelinkableHandle<YieldTermStructure> termStructureHandle_;
 
      Handle<YieldTermStructure> collHandle_;
      RelinkableHandle<YieldTermStructure> collRelinkableHandle_;
 
      Calendar tradingCalendar_;
      Calendar jointCalendar_;
    };
 
    // inline
 
    inline Spread SwapRateHelper::spread() const {
        return spread_.empty() ? 0.0 : spread_->value();
    }
 
    // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
    inline ext::shared_ptr<VanillaSwap> SwapRateHelper::swap() const {
        return swap_;
    }
 
    inline const Period& SwapRateHelper::forwardStart() const {
        return fwdStart_;
    }
 
}
 
#endif