Rate helper for bootstrapping over ibor-ibor basis swaps. More...

#include <basisswapratehelpers.hpp>

Inheritance diagram for IborIborBasisSwapRateHelper:

Collaboration diagram for IborIborBasisSwapRateHelper:

Public Member Functions
	IborIborBasisSwapRateHelper (const Handle< Quote > &basis, const Period &tenor, Natural settlementDays, Calendar calendar, BusinessDayConvention convention, bool endOfMonth, const ext::shared_ptr< IborIndex > &baseIndex, const ext::shared_ptr< IborIndex > &otherIndex, Handle< YieldTermStructure > discountHandle, bool bootstrapBaseCurve)

Real	impliedQuote () const override

void	accept (AcyclicVisitor &) override

ext::shared_ptr< Swap >	swap () const

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 ()

Private Member Functions
void	initializeDates () override

void	setTermStructure (YieldTermStructure *) override

Private Attributes
Period	tenor_

Natural	settlementDays_

Calendar	calendar_

BusinessDayConvention	convention_

bool	endOfMonth_

ext::shared_ptr< IborIndex >	baseIndex_

ext::shared_ptr< IborIndex >	otherIndex_

Handle< YieldTermStructure >	discountHandle_

bool	bootstrapBaseCurve_

ext::shared_ptr< Swap >	swap_

RelinkableHandle< YieldTermStructure >	termStructureHandle_

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_

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 ibor-ibor basis swaps.

The swap is assumed to pay baseIndex + basis and receive otherIndex. The helper can be used to bootstrap the forecast curve for baseIndex (in which case you'll have to pass bootstrapBaseCurve = true and provide otherIndex with a forecast curve) or the forecast curve for otherIndex (in which case bootstrapBaseCurve = false and baseIndex will need a forecast curve). In both cases, an exogenous discount curve is required.

Definition at line 41 of file basisswapratehelpers.hpp.

Constructor & Destructor Documentation

◆ IborIborBasisSwapRateHelper()

IborIborBasisSwapRateHelper	(	const Handle< Quote > &	basis,
		const Period &	tenor,
		Natural	settlementDays,
		Calendar	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const ext::shared_ptr< IborIndex > &	baseIndex,
		const ext::shared_ptr< IborIndex > &	otherIndex,
		Handle< YieldTermStructure >	discountHandle,
		bool	bootstrapBaseCurve
	)

Definition at line 29 of file basisswapratehelpers.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 106 of file basisswapratehelpers.cpp.

◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 111 of file basisswapratehelpers.cpp.

Here is the call graph for this function:

◆ swap()

ext::shared_ptr< Swap > swap ( ) const

Definition at line 57 of file basisswapratehelpers.hpp.

◆ initializeDates()

void initializeDates ( )

overrideprivatevirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 63 of file basisswapratehelpers.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ setTermStructure()

void setTermStructure ( YieldTermStructure * t )

overrideprivate

Definition at line 97 of file basisswapratehelpers.cpp.

Here is the call graph for this function:

Member Data Documentation

◆ tenor_

Period tenor_

private

Definition at line 62 of file basisswapratehelpers.hpp.

◆ settlementDays_

Natural settlementDays_

private

Definition at line 63 of file basisswapratehelpers.hpp.

◆ calendar_

Calendar calendar_

private

Definition at line 64 of file basisswapratehelpers.hpp.

◆ convention_

BusinessDayConvention convention_

private

Definition at line 65 of file basisswapratehelpers.hpp.

◆ endOfMonth_

bool endOfMonth_

private

Definition at line 66 of file basisswapratehelpers.hpp.

◆ baseIndex_

ext::shared_ptr<IborIndex> baseIndex_

private

Definition at line 67 of file basisswapratehelpers.hpp.

◆ otherIndex_

ext::shared_ptr<IborIndex> otherIndex_

private

Definition at line 68 of file basisswapratehelpers.hpp.

◆ discountHandle_

Handle<YieldTermStructure> discountHandle_

private

Definition at line 69 of file basisswapratehelpers.hpp.

◆ bootstrapBaseCurve_

bool bootstrapBaseCurve_

private

Definition at line 70 of file basisswapratehelpers.hpp.

◆ swap_

ext::shared_ptr<Swap> swap_

private

Definition at line 72 of file basisswapratehelpers.hpp.

◆ termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 74 of file basisswapratehelpers.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ IborIborBasisSwapRateHelper()

Member Function Documentation

◆ impliedQuote()

◆ accept()

◆ swap()

◆ initializeDates()

◆ setTermStructure()

Member Data Documentation

◆ tenor_

◆ settlementDays_

◆ calendar_

◆ convention_

◆ endOfMonth_

◆ baseIndex_

◆ otherIndex_

◆ discountHandle_

◆ bootstrapBaseCurve_

◆ swap_

◆ termStructureHandle_