crosscurrencyratehelpers.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2021 Marcin Rybacki
 
 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_crosscurrencyratehelpers_hpp
#define quantlib_crosscurrencyratehelpers_hpp
 
#include <ql/termstructures/yield/ratehelpers.hpp>
 
namespace QuantLib {
 
    class CrossCurrencyBasisSwapRateHelperBase : public RelativeDateRateHelper {
      public:
 
        void setTermStructure(YieldTermStructure*) override;
      protected:
        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;
 
        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_;
    };
 
 
    class ConstNotionalCrossCurrencyBasisSwapRateHelper : public CrossCurrencyBasisSwapRateHelperBase {
      public:
        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);
 
        Real impliedQuote() const override;
 
        void accept(AcyclicVisitor&) override;
    };
 
 
 
    class MtMCrossCurrencyBasisSwapRateHelper : public CrossCurrencyBasisSwapRateHelperBase {
      public:
        MtMCrossCurrencyBasisSwapRateHelper(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,
                                            bool isFxBaseCurrencyLegResettable);
 
        Real impliedQuote() const override;
 
        void accept(AcyclicVisitor&) override;
      private:
        bool isFxBaseCurrencyLegResettable_;
    };
}
 
#endif