FxSwapRateHelper Class Reference

Rate helper for bootstrapping over Fx Swap rates. More...

#include <ratehelpers.hpp>

Inheritance diagram for FxSwapRateHelper:

Collaboration diagram for FxSwapRateHelper:

Public Member Functions
	FxSwapRateHelper (const Handle< Quote > &fwdPoint, Handle< Quote > spotFx, const Period &tenor, Natural fixingDays, Calendar calendar, BusinessDayConvention convention, bool endOfMonth, bool isFxBaseCurrencyCollateralCurrency, Handle< YieldTermStructure > collateralCurve, Calendar tradingCalendar=Calendar())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
FxSwapRateHelper inspectors
Real	spot () const
Period	tenor () const
Natural	fixingDays () const
Calendar	calendar () const
BusinessDayConvention	businessDayConvention () const
bool	endOfMonth () const
bool	isFxBaseCurrencyCollateralCurrency () const
Calendar	tradingCalendar () const
Calendar	adjustmentCalendar () const
Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const Handle< Quote > &quote)
	RelativeDateBootstrapHelper (Real quote)
void	update () 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...
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 ()

Visitability
Handle< Quote >	spot_
Period	tenor_
Natural	fixingDays_
Calendar	cal_
BusinessDayConvention	conv_
bool	eom_
bool	isFxBaseCurrencyCollateralCurrency_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	collHandle_
RelinkableHandle< YieldTermStructure >	collRelinkableHandle_
Calendar	tradingCalendar_
Calendar	jointCalendar_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

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_
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 Fx Swap rates.

The forward is given by fwdFx = spotFx + fwdPoint.

isFxBaseCurrencyCollateralCurrency indicates if the base currency of the FX currency pair is the one used as collateral.

calendar is usually the joint calendar of the two currencies in the pair.

tradingCalendar can be used when the cross pairs don't include the currency of the business center (usually USD; the corresponding calendar is UnitedStates). If given, it will be used for adjusting the earliest settlement date and for setting the latest date. Due to FX spot market conventions, it is not sufficient to pass a JointCalendar with UnitedStates included as calendar; with regard the earliest date, this calendar is only used in case the spot date of the two currencies is not a US business day.

Warning:

The ON fx swaps can be achieved by setting fixingDays to 0 and using a tenor of '1d'. The same tenor should be used for TN swaps, with fixingDays set to 1. However, handling ON and TN swaps for cross rates without USD is not trivial and should be treated with caution. If today is a US holiday, ON trade is not possible. If tomorrow is a US Holiday, the ON trade will be at least two business days long in the other countries and the TN trade will not exist. In such cases, if this helper is used for curve construction, probably it is safer not to pass a trading calendar to the ON and TN helpers and provide fwdPoints that will yield proper level of discount factors.

Definition at line 426 of file ratehelpers.hpp.

Constructor & Destructor Documentation

FxSwapRateHelper()

FxSwapRateHelper	(	const Handle< Quote > &	fwdPoint,
		Handle< Quote >	spotFx,
		const Period &	tenor,
		Natural	fixingDays,
		Calendar	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		bool	isFxBaseCurrencyCollateralCurrency,
		Handle< YieldTermStructure >	collateralCurve,
		Calendar	tradingCalendar = Calendar()
	)

Definition at line 794 of file ratehelpers.cpp.

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 835 of file ratehelpers.cpp.

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setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 854 of file ratehelpers.cpp.

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spot()

Real spot

(

)

const

Definition at line 445 of file ratehelpers.hpp.

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tenor()

Period tenor

(

)

const

Definition at line 446 of file ratehelpers.hpp.

fixingDays()

Natural fixingDays

(

)

const

Definition at line 447 of file ratehelpers.hpp.

calendar()

Calendar calendar

(

)

const

Definition at line 448 of file ratehelpers.hpp.

businessDayConvention()

BusinessDayConvention businessDayConvention

(

)

const

Definition at line 449 of file ratehelpers.hpp.

endOfMonth()

bool endOfMonth

(

)

const

Definition at line 450 of file ratehelpers.hpp.

isFxBaseCurrencyCollateralCurrency()

bool isFxBaseCurrencyCollateralCurrency

(

)

const

Definition at line 451 of file ratehelpers.hpp.

tradingCalendar()

Calendar tradingCalendar

(

)

const

Definition at line 453 of file ratehelpers.hpp.

adjustmentCalendar()

Calendar adjustmentCalendar

(

)

const

Definition at line 454 of file ratehelpers.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 867 of file ratehelpers.cpp.

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initializeDates()

void initializeDates ( )

overrideprivatevirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 819 of file ratehelpers.cpp.

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Member Data Documentation

spot_

Handle<Quote> spot_

private

Definition at line 462 of file ratehelpers.hpp.

tenor_

Period tenor_

private

Definition at line 463 of file ratehelpers.hpp.

fixingDays_

Natural fixingDays_

private

Definition at line 464 of file ratehelpers.hpp.

cal_

Calendar cal_

private

Definition at line 465 of file ratehelpers.hpp.

conv_

BusinessDayConvention conv_

private

Definition at line 466 of file ratehelpers.hpp.

eom_

bool eom_

private

Definition at line 467 of file ratehelpers.hpp.

isFxBaseCurrencyCollateralCurrency_

bool isFxBaseCurrencyCollateralCurrency_

private

Definition at line 468 of file ratehelpers.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 470 of file ratehelpers.hpp.

collHandle_

Handle<YieldTermStructure> collHandle_

private

Definition at line 472 of file ratehelpers.hpp.

collRelinkableHandle_

RelinkableHandle<YieldTermStructure> collRelinkableHandle_

private

Definition at line 473 of file ratehelpers.hpp.

tradingCalendar_

Calendar tradingCalendar_

private

Definition at line 475 of file ratehelpers.hpp.

jointCalendar_

Calendar jointCalendar_

private

Definition at line 476 of file ratehelpers.hpp.