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

#include <ratehelpers.hpp>

Inheritance diagram for SwapRateHelper:

Collaboration diagram for SwapRateHelper:

Public Member Functions
	SwapRateHelper (const std::variant< Rate, 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 std::variant< Rate, 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 (const std::variant< Rate, Handle< Quote > > &rate, const Date &startDate, const Date &endDate, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, const ext::shared_ptr< IborIndex > &iborIndex, Handle< Quote > spread={}, Handle< YieldTermStructure > discountingCurve={}, 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 std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)

void	update () override

Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &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 ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Visitability
Natural	settlementDays_

Period	tenor_

Date	startDate_

Date	endDate_

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	initialize (const ext::shared_ptr< IborIndex > &iborIndex, Date customPillarDate)

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_

bool	updateDates_

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 198 of file ratehelpers.hpp.

Constructor & Destructor Documentation

◆ SwapRateHelper() [1/3]

SwapRateHelper	(	const std::variant< Rate, 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 461 of file ratehelpers.cpp.

◆ SwapRateHelper() [2/3]

SwapRateHelper	(	const std::variant< Rate, 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 476 of file ratehelpers.cpp.

Here is the call graph for this function:

◆ SwapRateHelper() [3/3]

SwapRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		const Date &	startDate,
		const Date &	endDate,
		Calendar	calendar,
		Frequency	fixedFrequency,
		BusinessDayConvention	fixedConvention,
		DayCounter	fixedDayCount,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Handle< Quote >	spread = `{}`,
		Handle< YieldTermStructure >	discountingCurve = `{}`,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	endOfMonth = `false`,
		const ext::optional< bool > &	useIndexedCoupons = `ext::nullopt`
	)

Definition at line 500 of file ratehelpers.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 614 of file ratehelpers.cpp.

Here is the call graph for this function:

◆ setTermStructure()

void setTermStructure ( YieldTermStructure * t )

override

Definition at line 598 of file ratehelpers.cpp.

Here is the call graph for this function:

◆ spread()

Spread spread ( ) const

Definition at line 413 of file ratehelpers.hpp.

Here is the caller graph for this function:

◆ swap()

ext::shared_ptr< VanillaSwap > swap ( ) const

Definition at line 418 of file ratehelpers.hpp.

◆ forwardStart()

const Period & forwardStart ( ) const

Definition at line 422 of file ratehelpers.hpp.

◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 628 of file ratehelpers.cpp.

Here is the call graph for this function:

◆ initialize()

void initialize	(	const ext::shared_ptr< IborIndex > &	iborIndex,
		Date	customPillarDate
	)

protected

Definition at line 525 of file ratehelpers.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 542 of file ratehelpers.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

◆ settlementDays_

Natural settlementDays_

protected

Definition at line 265 of file ratehelpers.hpp.

◆ tenor_

Period tenor_

protected

Definition at line 266 of file ratehelpers.hpp.

◆ startDate_

Date startDate_

protected

Definition at line 267 of file ratehelpers.hpp.

◆ endDate_

Date endDate_

protected

Definition at line 267 of file ratehelpers.hpp.

◆ pillarChoice_

Pillar::Choice pillarChoice_

protected

Definition at line 268 of file ratehelpers.hpp.

◆ calendar_

Calendar calendar_

protected

Definition at line 269 of file ratehelpers.hpp.

◆ fixedConvention_

BusinessDayConvention fixedConvention_

protected

Definition at line 270 of file ratehelpers.hpp.

◆ fixedFrequency_

Frequency fixedFrequency_

protected

Definition at line 271 of file ratehelpers.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_

protected

Definition at line 272 of file ratehelpers.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

protected

Definition at line 273 of file ratehelpers.hpp.

◆ swap_

ext::shared_ptr<VanillaSwap> swap_

protected

Definition at line 274 of file ratehelpers.hpp.

◆ termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 275 of file ratehelpers.hpp.

◆ spread_

Handle<Quote> spread_

protected

Definition at line 276 of file ratehelpers.hpp.

◆ endOfMonth_

bool endOfMonth_

protected

Definition at line 277 of file ratehelpers.hpp.

◆ fwdStart_

Period fwdStart_

protected

Definition at line 278 of file ratehelpers.hpp.

◆ discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 279 of file ratehelpers.hpp.

◆ discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 280 of file ratehelpers.hpp.

◆ useIndexedCoupons_

ext::optional<bool> useIndexedCoupons_

protected

Definition at line 281 of file ratehelpers.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwapRateHelper() [1/3]

◆ SwapRateHelper() [2/3]

◆ SwapRateHelper() [3/3]

Member Function Documentation

◆ impliedQuote()

◆ setTermStructure()

◆ spread()

◆ swap()

◆ forwardStart()

◆ accept()

◆ initialize()

◆ initializeDates()

Member Data Documentation

◆ settlementDays_

◆ tenor_

◆ startDate_

◆ endDate_

◆ pillarChoice_

◆ calendar_

◆ fixedConvention_

◆ fixedFrequency_

◆ fixedDayCount_

◆ iborIndex_

◆ swap_

◆ termStructureHandle_

◆ spread_

◆ endOfMonth_

◆ fwdStart_

◆ discountHandle_

◆ discountRelinkableHandle_

◆ useIndexedCoupons_