SwapRateHelper Class Reference

Rate helper for bootstrapping over swap rates. More...

#include <ql/termstructures/yield/ratehelpers.hpp>

Inheritance diagram for SwapRateHelper:

Collaboration diagram for SwapRateHelper:

Public Member Functions
	SwapRateHelper (const Handle< Quote > &rate, const ext::shared_ptr< SwapIndex > &swapIndex, Handle< Quote > spread={}, const Period &fwdStart=0 *Days, Handle< YieldTermStructure > discountingCurve={}, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false, const ext::optional< bool > &useIndexedCoupons=ext::nullopt)
	SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, const ext::shared_ptr< IborIndex > &iborIndex, Handle< Quote > spread={}, const Period &fwdStart=0 *Days, Handle< YieldTermStructure > discountingCurve={}, Natural settlementDays=Null< Natural >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false, const ext::optional< bool > &useIndexedCoupons=ext::nullopt)
	SwapRateHelper (Rate rate, const ext::shared_ptr< SwapIndex > &swapIndex, Handle< Quote > spread={}, const Period &fwdStart=0 *Days, Handle< YieldTermStructure > discountingCurve={}, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false, const ext::optional< bool > &useIndexedCoupons=ext::nullopt)
	SwapRateHelper (Rate rate, const Period &tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, const ext::shared_ptr< IborIndex > &iborIndex, Handle< Quote > spread={}, const Period &fwdStart=0 *Days, Handle< YieldTermStructure > discountingCurve={}, Natural settlementDays=Null< Natural >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false, const ext::optional< bool > &useIndexedCoupons=ext::nullopt)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
SwapRateHelper inspectors
Spread	spread () const
ext::shared_ptr< VanillaSwap >	swap () const
const Period &	forwardStart () 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
Natural	settlementDays_
Period	tenor_
Pillar::Choice	pillarChoice_
Calendar	calendar_
BusinessDayConvention	fixedConvention_
Frequency	fixedFrequency_
DayCounter	fixedDayCount_
ext::shared_ptr< IborIndex >	iborIndex_
ext::shared_ptr< VanillaSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< Quote >	spread_
bool	endOfMonth_
Period	fwdStart_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
ext::optional< bool >	useIndexedCoupons_
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 swap rates.

Definition at line 259 of file ratehelpers.hpp.

Constructor & Destructor Documentation

SwapRateHelper() [1/4]

SwapRateHelper	(	const Handle< Quote > &	rate,
		const ext::shared_ptr< SwapIndex > &	swapIndex,
		Handle< Quote >	spread = {},
		const Period &	fwdStart = 0 * Days,
		Handle< YieldTermStructure >	discountingCurve = {},
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date(),
		bool	endOfMonth = false,
		const ext::optional< bool > &	useIndexedCoupons = ext::nullopt
	)

Definition at line 683 of file ratehelpers.cpp.

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SwapRateHelper() [2/4]

SwapRateHelper	(	const Handle< Quote > &	rate,
		const Period &	tenor,
		Calendar	calendar,
		Frequency	fixedFrequency,
		BusinessDayConvention	fixedConvention,
		DayCounter	fixedDayCount,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Handle< Quote >	spread = {},
		const Period &	fwdStart = 0 * Days,
		Handle< YieldTermStructure >	discountingCurve = {},
		Natural	settlementDays = Null<Natural>(),
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date(),
		bool	endOfMonth = false,
		const ext::optional< bool > &	useIndexedCoupons = ext::nullopt
	)

Definition at line 713 of file ratehelpers.cpp.

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SwapRateHelper() [3/4]

SwapRateHelper	(	Rate	rate,
		const ext::shared_ptr< SwapIndex > &	swapIndex,
		Handle< Quote >	spread = {},
		const Period &	fwdStart = 0 * Days,
		Handle< YieldTermStructure >	discountingCurve = {},
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date(),
		bool	endOfMonth = false,
		const ext::optional< bool > &	useIndexedCoupons = ext::nullopt
	)

Definition at line 750 of file ratehelpers.cpp.

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SwapRateHelper() [4/4]

SwapRateHelper	(	Rate	rate,
		const Period &	tenor,
		Calendar	calendar,
		Frequency	fixedFrequency,
		BusinessDayConvention	fixedConvention,
		DayCounter	fixedDayCount,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Handle< Quote >	spread = {},
		const Period &	fwdStart = 0 * Days,
		Handle< YieldTermStructure >	discountingCurve = {},
		Natural	settlementDays = Null<Natural>(),
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date(),
		bool	endOfMonth = false,
		const ext::optional< bool > &	useIndexedCoupons = ext::nullopt
	)

Definition at line 781 of file ratehelpers.cpp.

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 888 of file ratehelpers.cpp.

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setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 872 of file ratehelpers.cpp.

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spread()

Spread spread

(

)

const

Definition at line 482 of file ratehelpers.hpp.

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swap()

ext::shared_ptr< VanillaSwap > swap

(

)

const

Definition at line 487 of file ratehelpers.hpp.

forwardStart()

const Period & forwardStart

(

)

const

Definition at line 491 of file ratehelpers.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 902 of file ratehelpers.cpp.

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initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 818 of file ratehelpers.cpp.

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Member Data Documentation

settlementDays_

Natural settlementDays_

protected

Definition at line 335 of file ratehelpers.hpp.

tenor_

Period tenor_

protected

Definition at line 336 of file ratehelpers.hpp.

pillarChoice_

Pillar::Choice pillarChoice_

protected

Definition at line 337 of file ratehelpers.hpp.

calendar_

Calendar calendar_

protected

Definition at line 338 of file ratehelpers.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

protected

Definition at line 339 of file ratehelpers.hpp.

fixedFrequency_

Frequency fixedFrequency_

protected

Definition at line 340 of file ratehelpers.hpp.

fixedDayCount_

DayCounter fixedDayCount_

protected

Definition at line 341 of file ratehelpers.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

protected

Definition at line 342 of file ratehelpers.hpp.

swap_

ext::shared_ptr<VanillaSwap> swap_

protected

Definition at line 343 of file ratehelpers.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 344 of file ratehelpers.hpp.

spread_

Handle<Quote> spread_

protected

Definition at line 345 of file ratehelpers.hpp.

endOfMonth_

bool endOfMonth_

protected

Definition at line 346 of file ratehelpers.hpp.

fwdStart_

Period fwdStart_

protected

Definition at line 347 of file ratehelpers.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 348 of file ratehelpers.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 349 of file ratehelpers.hpp.

useIndexedCoupons_

ext::optional<bool> useIndexedCoupons_

protected

Definition at line 350 of file ratehelpers.hpp.