Rate helper for bootstrapping over overnight-ibor basis swaps. More...
#include <basisswapratehelpers.hpp>
Inheritance diagram for OvernightIborBasisSwapRateHelper:
Collaboration diagram for OvernightIborBasisSwapRateHelper:
Public Member Functions | |
| OvernightIborBasisSwapRateHelper (const Handle< Quote > &basis, const Period &tenor, Natural settlementDays, Calendar calendar, BusinessDayConvention convention, bool endOfMonth, const ext::shared_ptr< OvernightIndex > &baseIndex, const ext::shared_ptr< IborIndex > &otherIndex, Handle< YieldTermStructure > discountHandle=Handle< YieldTermStructure >()) | |
| Real | impliedQuote () const override |
| void | accept (AcyclicVisitor &) override |
| ext::shared_ptr< Swap > | swap () const |
| Public Member Functions inherited from RelativeDateBootstrapHelper< TS > | |
| RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > "e, bool updateDates=true) | |
| void | update () override |
| Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (const std::variant< Spread, Handle< Quote > > "e) | |
| ~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 () |
Private Member Functions | |
| void | initializeDates () override |
| void | setTermStructure (YieldTermStructure *) override |
Private Attributes | |
| Period | tenor_ |
| Natural | settlementDays_ |
| Calendar | calendar_ |
| BusinessDayConvention | convention_ |
| bool | endOfMonth_ |
| ext::shared_ptr< OvernightIndex > | baseIndex_ |
| ext::shared_ptr< IborIndex > | otherIndex_ |
| Handle< YieldTermStructure > | discountHandle_ |
| ext::shared_ptr< Swap > | swap_ |
| RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
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 overnight-ibor basis swaps.
The swap is assumed to pay baseIndex + basis and receive otherIndex. This helper can be used to bootstrap the forecast curve for otherIndex; baseIndex will need an existing forecast curve. An exogenous discount curve can be passed; if not, the overnight-index curve will be used.
Definition at line 85 of file basisswapratehelpers.hpp.
Constructor & Destructor Documentation
◆ OvernightIborBasisSwapRateHelper()
| OvernightIborBasisSwapRateHelper | ( | const Handle< Quote > & | basis, |
| const Period & | tenor, | ||
| Natural | settlementDays, | ||
| Calendar | calendar, | ||
| BusinessDayConvention | convention, | ||
| bool | endOfMonth, | ||
| const ext::shared_ptr< OvernightIndex > & | baseIndex, | ||
| const ext::shared_ptr< IborIndex > & | otherIndex, | ||
| Handle< YieldTermStructure > | discountHandle = Handle<YieldTermStructure>() |
||
| ) |
Member Function Documentation
◆ impliedQuote()
|
overridevirtual |
Implements BootstrapHelper< TS >.
Definition at line 185 of file basisswapratehelpers.cpp.
◆ accept()
|
overridevirtual |
Reimplemented from BootstrapHelper< TS >.
Definition at line 190 of file basisswapratehelpers.cpp.
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◆ swap()
| ext::shared_ptr< Swap > swap | ( | ) | const |
Definition at line 100 of file basisswapratehelpers.hpp.
◆ initializeDates()
|
overrideprivatevirtual |
Implements RelativeDateBootstrapHelper< TS >.
Definition at line 148 of file basisswapratehelpers.cpp.
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◆ setTermStructure()
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overrideprivate |
Member Data Documentation
◆ tenor_
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private |
Definition at line 105 of file basisswapratehelpers.hpp.
◆ settlementDays_
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private |
Definition at line 106 of file basisswapratehelpers.hpp.
◆ calendar_
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private |
Definition at line 107 of file basisswapratehelpers.hpp.
◆ convention_
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private |
Definition at line 108 of file basisswapratehelpers.hpp.
◆ endOfMonth_
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private |
Definition at line 109 of file basisswapratehelpers.hpp.
◆ baseIndex_
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private |
Definition at line 110 of file basisswapratehelpers.hpp.
◆ otherIndex_
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private |
Definition at line 111 of file basisswapratehelpers.hpp.
◆ discountHandle_
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private |
Definition at line 112 of file basisswapratehelpers.hpp.
◆ swap_
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private |
Definition at line 114 of file basisswapratehelpers.hpp.
◆ termStructureHandle_
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private |
Definition at line 116 of file basisswapratehelpers.hpp.