24#ifndef quantlib_crosscurrencyratehelpers_hpp
25#define quantlib_crosscurrencyratehelpers_hpp
45 ext::shared_ptr<IborIndex> baseCurrencyIndex,
46 ext::shared_ptr<IborIndex> quoteCurrencyIndex,
48 bool isFxBaseCurrencyCollateralCurrency,
49 bool isBasisOnFxBaseCurrencyLeg);
104 const ext::shared_ptr<IborIndex>& baseCurrencyIndex,
105 const ext::shared_ptr<IborIndex>& quoteCurrencyIndex,
107 bool isFxBaseCurrencyCollateralCurrency,
108 bool isBasisOnFxBaseCurrencyLeg);
140 const ext::shared_ptr<IborIndex>& baseCurrencyIndex,
141 const ext::shared_ptr<IborIndex>& quoteCurrencyIndex,
143 bool isFxBaseCurrencyCollateralCurrency,
144 bool isBasisOnFxBaseCurrencyLeg,
145 bool isFxBaseCurrencyLegResettable);
degenerate base class for the Acyclic Visitor pattern
Rate helper for bootstrapping over constant-notional cross-currency basis swaps.
void accept(AcyclicVisitor &) override
Real impliedQuote() const override
Base class for cross-currency basis swap rate helpers.
void setTermStructure(YieldTermStructure *) override
RelinkableHandle< YieldTermStructure > termStructureHandle_
ext::shared_ptr< IborIndex > baseCcyIdx_
const Handle< YieldTermStructure > & baseCcyLegDiscountHandle() const
ext::shared_ptr< IborIndex > quoteCcyIdx_
BusinessDayConvention convention_
Handle< YieldTermStructure > collateralHandle_
void initializeDates() override
const Handle< YieldTermStructure > & quoteCcyLegDiscountHandle() const
bool isFxBaseCurrencyCollateralCurrency_
bool isBasisOnFxBaseCurrencyLeg_
Shared handle to an observable.
Rate helper for bootstrapping over market-to-market cross-currency basis swaps.
bool isFxBaseCurrencyLegResettable_
void accept(AcyclicVisitor &) override
Real impliedQuote() const override
Bootstrap helper with date schedule relative to global evaluation date.
Relinkable handle to an observable.
Interest-rate term structure.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.
deposit, FRA, futures, and various swap rate helpers