AssetSwapHelper Class Reference

#include <ql/experimental/credit/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 &)
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 ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (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< YieldTermStructure >	yieldTS_
Period	integrationStepSize_
Date	evaluationDate_
ext::shared_ptr< RiskyAssetSwap >	asw_
RelinkableHandle< DefaultProbabilityTermStructure >	probability_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_
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_

RelinkableHandle<YieldTermStructure> yieldTS_

private

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_

RelinkableHandle<DefaultProbabilityTermStructure> probability_

private

Definition at line 126 of file riskyassetswap.hpp.