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

#include <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 258 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 523 of file ratehelpers.cpp.

◆ 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 538 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 575 of file ratehelpers.cpp.

◆ 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 587 of file ratehelpers.cpp.

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 676 of file ratehelpers.cpp.

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◆ setTermStructure()

void setTermStructure ( YieldTermStructure * t )

override

Definition at line 660 of file ratehelpers.cpp.

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◆ spread()

Spread spread ( ) const

Definition at line 481 of file ratehelpers.hpp.

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◆ swap()

ext::shared_ptr< VanillaSwap > swap ( ) const

Definition at line 486 of file ratehelpers.hpp.

◆ forwardStart()

const Period & forwardStart ( ) const

Definition at line 490 of file ratehelpers.hpp.

◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 690 of file ratehelpers.cpp.

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◆ initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 606 of file ratehelpers.cpp.

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Member Data Documentation

◆ settlementDays_

Natural settlementDays_

protected

Definition at line 334 of file ratehelpers.hpp.

◆ tenor_

Period tenor_

protected

Definition at line 335 of file ratehelpers.hpp.

◆ pillarChoice_

Pillar::Choice pillarChoice_

protected

Definition at line 336 of file ratehelpers.hpp.

◆ calendar_

Calendar calendar_

protected

Definition at line 337 of file ratehelpers.hpp.

◆ fixedConvention_

BusinessDayConvention fixedConvention_

protected

Definition at line 338 of file ratehelpers.hpp.

◆ fixedFrequency_

Frequency fixedFrequency_

protected

Definition at line 339 of file ratehelpers.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_

protected

Definition at line 340 of file ratehelpers.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

protected

Definition at line 341 of file ratehelpers.hpp.

◆ swap_

ext::shared_ptr<VanillaSwap> swap_

protected

Definition at line 342 of file ratehelpers.hpp.

◆ termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 343 of file ratehelpers.hpp.

◆ spread_

Handle<Quote> spread_

protected

Definition at line 344 of file ratehelpers.hpp.

◆ endOfMonth_

bool endOfMonth_

protected

Definition at line 345 of file ratehelpers.hpp.

◆ fwdStart_

Period fwdStart_

protected

Definition at line 346 of file ratehelpers.hpp.

◆ discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 347 of file ratehelpers.hpp.

◆ discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 348 of file ratehelpers.hpp.

◆ useIndexedCoupons_

ext::optional<bool> useIndexedCoupons_

protected

Definition at line 349 of file ratehelpers.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwapRateHelper() [1/4]

◆ SwapRateHelper() [2/4]

◆ SwapRateHelper() [3/4]

◆ SwapRateHelper() [4/4]

Member Function Documentation

◆ impliedQuote()

◆ setTermStructure()

◆ spread()

◆ swap()

◆ forwardStart()

◆ accept()

◆ initializeDates()

Member Data Documentation

◆ settlementDays_

◆ tenor_

◆ pillarChoice_

◆ calendar_

◆ fixedConvention_

◆ fixedFrequency_

◆ fixedDayCount_

◆ iborIndex_

◆ swap_

◆ termStructureHandle_

◆ spread_

◆ endOfMonth_

◆ fwdStart_

◆ discountHandle_

◆ discountRelinkableHandle_

◆ useIndexedCoupons_