QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
AssetSwapHelper Class Reference

#include <riskyassetswap.hpp>

+ Inheritance diagram for AssetSwapHelper:
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Public Member Functions

 AssetSwapHelper (const Handle< Quote > &spread, const Period &tenor, Natural settlementDays, Calendar calendar, const Period &fixedPeriod, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, const Period &floatPeriod, BusinessDayConvention floatConvention, DayCounter floatDayCount, Real recoveryRate, const RelinkableHandle< YieldTermStructure > &yieldTS, const Period &integrationStepSize=Period())
 
Real impliedQuote () const override
 
void setTermStructure (DefaultProbabilityTermStructure *) override
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (Handle< Quote > quote)
 
 BootstrapHelper (Real 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...
 
void update () override
 
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Private Member Functions

void update () override
 
void initializeDates ()
 

Private Attributes

Period tenor_
 
Natural settlementDays_
 
Calendar calendar_
 
BusinessDayConvention fixedConvention_
 
Period fixedPeriod_
 
DayCounter fixedDayCount_
 
BusinessDayConvention floatConvention_
 
Period floatPeriod_
 
DayCounter floatDayCount_
 
Real recoveryRate_
 
RelinkableHandle< YieldTermStructureyieldTS_
 
Period integrationStepSize_
 
Date evaluationDate_
 
ext::shared_ptr< RiskyAssetSwapasw_
 
RelinkableHandle< DefaultProbabilityTermStructureprobability_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Detailed Description

Definition at line 89 of file riskyassetswap.hpp.

Constructor & Destructor Documentation

◆ AssetSwapHelper()

AssetSwapHelper ( const Handle< Quote > &  spread,
const Period tenor,
Natural  settlementDays,
Calendar  calendar,
const Period fixedPeriod,
BusinessDayConvention  fixedConvention,
DayCounter  fixedDayCount,
const Period floatPeriod,
BusinessDayConvention  floatConvention,
DayCounter  floatDayCount,
Real  recoveryRate,
const RelinkableHandle< YieldTermStructure > &  yieldTS,
const Period integrationStepSize = Period() 
)

Definition at line 181 of file riskyassetswap.cpp.

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Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const
overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 206 of file riskyassetswap.cpp.

◆ setTermStructure()

void setTermStructure ( DefaultProbabilityTermStructure ts)
override

Definition at line 214 of file riskyassetswap.cpp.

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◆ update()

void update ( )
overrideprivatevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 225 of file riskyassetswap.cpp.

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◆ initializeDates()

void initializeDates ( )
private

Definition at line 232 of file riskyassetswap.cpp.

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Member Data Documentation

◆ tenor_

Period tenor_
private

Definition at line 111 of file riskyassetswap.hpp.

◆ settlementDays_

Natural settlementDays_
private

Definition at line 112 of file riskyassetswap.hpp.

◆ calendar_

Calendar calendar_
private

Definition at line 113 of file riskyassetswap.hpp.

◆ fixedConvention_

BusinessDayConvention fixedConvention_
private

Definition at line 114 of file riskyassetswap.hpp.

◆ fixedPeriod_

Period fixedPeriod_
private

Definition at line 115 of file riskyassetswap.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_
private

Definition at line 116 of file riskyassetswap.hpp.

◆ floatConvention_

BusinessDayConvention floatConvention_
private

Definition at line 117 of file riskyassetswap.hpp.

◆ floatPeriod_

Period floatPeriod_
private

Definition at line 118 of file riskyassetswap.hpp.

◆ floatDayCount_

DayCounter floatDayCount_
private

Definition at line 119 of file riskyassetswap.hpp.

◆ recoveryRate_

Real recoveryRate_
private

Definition at line 120 of file riskyassetswap.hpp.

◆ yieldTS_

Definition at line 121 of file riskyassetswap.hpp.

◆ integrationStepSize_

Period integrationStepSize_
private

Definition at line 122 of file riskyassetswap.hpp.

◆ evaluationDate_

Date evaluationDate_
private

Definition at line 124 of file riskyassetswap.hpp.

◆ asw_

ext::shared_ptr<RiskyAssetSwap> asw_
private

Definition at line 125 of file riskyassetswap.hpp.

◆ probability_

Definition at line 126 of file riskyassetswap.hpp.