Rate helper for bootstrapping over constant-notional cross-currency basis swaps. More...

#include <crosscurrencyratehelpers.hpp>

Inheritance diagram for ConstNotionalCrossCurrencyBasisSwapRateHelper:

Collaboration diagram for ConstNotionalCrossCurrencyBasisSwapRateHelper:

Public Member Functions
	ConstNotionalCrossCurrencyBasisSwapRateHelper (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, Frequency paymentFrequency=NoFrequency, Integer paymentLag=0)

RateHelper interface
Real	impliedQuote () const override

Visitability
void	accept (AcyclicVisitor &) 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 ()

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 constant-notional cross-currency basis swaps.

Unlike marked-to-market cross currency swaps, both notionals expressed in base and quote currency remain constant throughout the lifetime of the swap.

Note on used conventions. Consider a currency pair EUR-USD. EUR is the base currency, while USD is the quote currency. The quote currency indicates the amount to be paid in that currency for one unit of base currency. Hence, for a cross currency swap we define a base currency leg and a quote currency leg. The parameters of the instrument, e.g. collateral currency, basis, resetting or constant notional legs are defined relative to what base and quote currencies are. For example, in case of EUR-USD basis swaps the collateral is paid in quote currency (USD), the basis is given on the base currency leg (EUR), etc.

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

Definition at line 102 of file crosscurrencyratehelpers.hpp.

Constructor & Destructor Documentation

◆ ConstNotionalCrossCurrencyBasisSwapRateHelper()

ConstNotionalCrossCurrencyBasisSwapRateHelper	(	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,
		Frequency	paymentFrequency = `NoFrequency`,
		Integer	paymentLag = `0`
	)