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<div class="title">MulticurveBootstrapping.cpp</div> </div>
</div><!--header-->
<div class="contents">
<p>This example prices an interest rate swap over a term structure and calculates its fair fixed rate and floating spread.</p>
<div class="fragment"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/* This example shows how to set up a term structure with OIS discounting</span></div>
<div class="line"><span class="comment"> and then price a simple 5 year swap.</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> Example based on market data in paper by F. M. Ametrano and M. Bianchetti,</span></div>
<div class="line"><span class="comment"> Everything You Always Wanted to Know About Multiple Interest Rate Curve Boostrapping</span></div>
<div class="line"><span class="comment"> but Were Afraid to Ask (April 2, 2013).</span></div>
<div class="line"><span class="comment"> http://ssrn.com/abstract=2219548</span></div>
<div class="line"><span class="comment"> Eonia curve was taken from Figure 25 and Euribor 6m from figure 31.</span></div>
<div class="line"><span class="comment">*/</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/piecewiseyieldcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yieldtermstructure.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/ratehelpers.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/oisratehelper.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/pricingengines/swap/discountingswapengine.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/indexes/ibor/eonia.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/indexes/ibor/euribor.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/imm.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/target.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actual360.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/thirty360.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actualactual.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/math/interpolations/cubicinterpolation.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/math/interpolations/loginterpolation.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"><span class="preprocessor">#include <iomanip></span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> </div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** MARKET DATA ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <a name="_a0"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();</div>
<div class="line"> </div>
<div class="line"> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate(11, December, 2012);</div>
<div class="line"> <a name="a3"></a><a class="code" href="class_quant_lib_1_1_singleton.html#ab7455b7e1235d292c444095842349291" title="access to the unique instance">Settings::instance</a>().evaluationDate() = todaysDate;</div>
<div class="line"> todaysDate = <a class="code" href="class_quant_lib_1_1_singleton.html#ab7455b7e1235d292c444095842349291" title="access to the unique instance">Settings::instance</a>().evaluationDate();</div>
<div class="line"> </div>
<div class="line"> <a name="a4"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> fixingDays = 2;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate = calendar.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(todaysDate, fixingDays, Days);</div>
<div class="line"> <span class="comment">// must be a business day</span></div>
<div class="line"> settlementDate = calendar.<a name="a6"></a><a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(settlementDate);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Today: "</span> << todaysDate.<a name="a7"></a>weekday()</div>
<div class="line"> << <span class="stringliteral">", "</span> << todaysDate << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Settlement date: "</span> << settlementDate.weekday()</div>
<div class="line"> << <span class="stringliteral">", "</span> << settlementDate << std::endl;</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /********************</span></div>
<div class="line"><span class="comment"> *** QUOTES ***</span></div>
<div class="line"><span class="comment"> ********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// SimpleQuote stores a value which can be manually changed;</span></div>
<div class="line"> <span class="comment">// other Quote subclasses could read the value from a database</span></div>
<div class="line"> <span class="comment">// or some kind of data feed.</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// deposits</span></div>
<div class="line"> ext::shared_ptr<Quote> dONRate(<span class="keyword">new</span> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.0004));</div>
<div class="line"> ext::shared_ptr<Quote> dTNRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.0004));</div>
<div class="line"> ext::shared_ptr<Quote> dSNRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.0004));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// OIS</span></div>
<div class="line"> ext::shared_ptr<Quote> ois1WRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00070));</div>
<div class="line"> ext::shared_ptr<Quote> ois2WRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00069));</div>
<div class="line"> ext::shared_ptr<Quote> ois3WRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00078));</div>
<div class="line"> ext::shared_ptr<Quote> ois1MRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00074));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Dated OIS</span></div>
<div class="line"> ext::shared_ptr<Quote> oisDated1Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>( 0.000460));</div>
<div class="line"> ext::shared_ptr<Quote> oisDated2Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>( 0.000160));</div>
<div class="line"> ext::shared_ptr<Quote> oisDated3Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(-0.000070));</div>
<div class="line"> ext::shared_ptr<Quote> oisDated4Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(-0.000130));</div>
<div class="line"> ext::shared_ptr<Quote> oisDated5Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(-0.000140));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// OIS</span></div>
<div class="line"> ext::shared_ptr<Quote> ois15MRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00002));</div>
<div class="line"> ext::shared_ptr<Quote> ois18MRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00008));</div>
<div class="line"> ext::shared_ptr<Quote> ois21MRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00021));</div>
<div class="line"> ext::shared_ptr<Quote> ois2YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00036));</div>
<div class="line"> ext::shared_ptr<Quote> ois3YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00127));</div>
<div class="line"> ext::shared_ptr<Quote> ois4YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00274));</div>
<div class="line"> ext::shared_ptr<Quote> ois5YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00456));</div>
<div class="line"> ext::shared_ptr<Quote> ois6YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00647));</div>
<div class="line"> ext::shared_ptr<Quote> ois7YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00827));</div>
<div class="line"> ext::shared_ptr<Quote> ois8YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00996));</div>
<div class="line"> ext::shared_ptr<Quote> ois9YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.01147));</div>
<div class="line"> ext::shared_ptr<Quote> ois10YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.0128));</div>
<div class="line"> ext::shared_ptr<Quote> ois11YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.01404));</div>
<div class="line"> ext::shared_ptr<Quote> ois12YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.01516));</div>
<div class="line"> ext::shared_ptr<Quote> ois15YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.01764));</div>
<div class="line"> ext::shared_ptr<Quote> ois20YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.01939));</div>
<div class="line"> ext::shared_ptr<Quote> ois25YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.02003));</div>
<div class="line"> ext::shared_ptr<Quote> ois30YRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.02038));</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** RATE HELPERS ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// RateHelpers are built from the above quotes together with</span></div>
<div class="line"> <span class="comment">// other instrument dependant infos. Quotes are passed in</span></div>
<div class="line"> <span class="comment">// relinkable handles which could be relinked to some other</span></div>
<div class="line"> <span class="comment">// data source later.</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// deposits</span></div>
<div class="line"> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> depositDayCounter = <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> dON(<span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(</div>
<div class="line"> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(dONRate),</div>
<div class="line"> 1 * Days, 0,</div>
<div class="line"> calendar, <a name="a13"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> <span class="keyword">false</span>, depositDayCounter));</div>
<div class="line"> ext::shared_ptr<RateHelper> dTN(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(dTNRate),</div>
<div class="line"> 1 * Days, 1,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> <span class="keyword">false</span>, depositDayCounter));</div>
<div class="line"> ext::shared_ptr<RateHelper> dSN(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(dSNRate),</div>
<div class="line"> 1 * Days, 2,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> <span class="keyword">false</span>, depositDayCounter));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// OIS</span></div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<Eonia> eonia(<span class="keyword">new</span> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_eonia.html" title="Eonia (Euro Overnight Index Average) rate fixed by the ECB.">Eonia</a>);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> ois1W(<span class="keyword">new</span> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 1 * Weeks,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois1WRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois2W(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 2 * Weeks,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois2WRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois3W(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 3 * Weeks,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois3WRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois1M(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 1 * Months,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois1MRate), eonia));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Dated OIS</span></div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> oisDated1(<span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_dated_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">DatedOISRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(16, January, 2013), <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(13, February, 2013),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(oisDated1Rate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> oisDated2(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_dated_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">DatedOISRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(13, February, 2013), <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(13, March, 2013),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(oisDated2Rate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> oisDated3(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_dated_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">DatedOISRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(13, March, 2013), <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(10, April, 2013),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(oisDated3Rate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> oisDated4(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_dated_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">DatedOISRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(10, April, 2013), <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(8, May, 2013),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(oisDated4Rate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> oisDated5(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_dated_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">DatedOISRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(8, May, 2013), <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(12, June, 2013),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(oisDated5Rate), eonia));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// OIS</span></div>
<div class="line"> ext::shared_ptr<RateHelper> ois15M(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 15*Months,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois15MRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois18M(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 18*Months,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois18MRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois21M(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 21*Months,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois21MRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois2Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 2*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois2YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois3Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 3*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois3YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois4Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 4*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois4YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois5Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 5*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois5YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois6Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 6*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois6YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois7Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 7*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois7YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois8Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 8*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois8YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois9Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 9*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois9YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois10Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 10*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois10YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois11Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 11*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois11YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois12Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 12*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois12YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois15Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 15*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois15YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois20Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 20*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois20YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois25Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 25*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois25YRate), eonia));</div>
<div class="line"> ext::shared_ptr<RateHelper> ois30Y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates.">OISRateHelper</a>(</div>
<div class="line"> 2, 30*Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ois30YRate), eonia));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> ** CURVE BUILDING **</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> ** EONIA CURVE **</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> termStructureDayCounter = <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>();</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Eonia curve</span></div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > eoniaInstruments;</div>
<div class="line"> eoniaInstruments.push_back(dON);</div>
<div class="line"> eoniaInstruments.push_back(dTN);</div>
<div class="line"> eoniaInstruments.push_back(dSN);</div>
<div class="line"> eoniaInstruments.push_back(ois1W);</div>
<div class="line"> eoniaInstruments.push_back(ois2W);</div>
<div class="line"> eoniaInstruments.push_back(ois3W);</div>
<div class="line"> eoniaInstruments.push_back(ois1M);</div>
<div class="line"> eoniaInstruments.push_back(oisDated1);</div>
<div class="line"> eoniaInstruments.push_back(oisDated2);</div>
<div class="line"> eoniaInstruments.push_back(oisDated3);</div>
<div class="line"> eoniaInstruments.push_back(oisDated4);</div>
<div class="line"> eoniaInstruments.push_back(oisDated5);</div>
<div class="line"> eoniaInstruments.push_back(ois15M);</div>
<div class="line"> eoniaInstruments.push_back(ois18M);</div>
<div class="line"> eoniaInstruments.push_back(ois21M);</div>
<div class="line"> eoniaInstruments.push_back(ois2Y);</div>
<div class="line"> eoniaInstruments.push_back(ois3Y);</div>
<div class="line"> eoniaInstruments.push_back(ois4Y);</div>
<div class="line"> eoniaInstruments.push_back(ois5Y);</div>
<div class="line"> eoniaInstruments.push_back(ois6Y);</div>
<div class="line"> eoniaInstruments.push_back(ois7Y);</div>
<div class="line"> eoniaInstruments.push_back(ois8Y);</div>
<div class="line"> eoniaInstruments.push_back(ois9Y);</div>
<div class="line"> eoniaInstruments.push_back(ois10Y);</div>
<div class="line"> eoniaInstruments.push_back(ois11Y);</div>
<div class="line"> eoniaInstruments.push_back(ois12Y);</div>
<div class="line"> eoniaInstruments.push_back(ois15Y);</div>
<div class="line"> eoniaInstruments.push_back(ois20Y);</div>
<div class="line"> eoniaInstruments.push_back(ois25Y);</div>
<div class="line"> eoniaInstruments.push_back(ois30Y);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<YieldTermStructure> eoniaTermStructure(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount, Cubic></a>(</div>
<div class="line"> todaysDate, eoniaInstruments,</div>
<div class="line"> termStructureDayCounter) );</div>
<div class="line"> </div>
<div class="line"> eoniaTermStructure->enableExtrapolation();</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Term structures that will be used for pricing:</span></div>
<div class="line"> <span class="comment">// the one used for discounting cash flows</span></div>
<div class="line"> <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> discountingTermStructure;</div>
<div class="line"> <span class="comment">// the one used for forward rate forecasting</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> forecastingTermStructure;</div>
<div class="line"> </div>
<div class="line"> discountingTermStructure.<a name="a20"></a>linkTo(eoniaTermStructure);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> ** EURIBOR 6M **</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> ext::shared_ptr<IborIndex> euribor6M(<span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// deposits</span></div>
<div class="line"> ext::shared_ptr<Quote> d6MRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.00312));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// FRAs</span></div>
<div class="line"> ext::shared_ptr<Quote> fra1Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002930));</div>
<div class="line"> ext::shared_ptr<Quote> fra2Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002720));</div>
<div class="line"> ext::shared_ptr<Quote> fra3Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002600));</div>
<div class="line"> ext::shared_ptr<Quote> fra4Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002560));</div>
<div class="line"> ext::shared_ptr<Quote> fra5Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002520));</div>
<div class="line"> ext::shared_ptr<Quote> fra6Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002480));</div>
<div class="line"> ext::shared_ptr<Quote> fra7Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002540));</div>
<div class="line"> ext::shared_ptr<Quote> fra8Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002610));</div>
<div class="line"> ext::shared_ptr<Quote> fra9Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002670));</div>
<div class="line"> ext::shared_ptr<Quote> fra10Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002790));</div>
<div class="line"> ext::shared_ptr<Quote> fra11Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.002910));</div>
<div class="line"> ext::shared_ptr<Quote> fra12Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.003030));</div>
<div class="line"> ext::shared_ptr<Quote> fra13Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.003180));</div>
<div class="line"> ext::shared_ptr<Quote> fra14Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.003350));</div>
<div class="line"> ext::shared_ptr<Quote> fra15Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.003520));</div>
<div class="line"> ext::shared_ptr<Quote> fra16Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.003710));</div>
<div class="line"> ext::shared_ptr<Quote> fra17Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.003890));</div>
<div class="line"> ext::shared_ptr<Quote> fra18Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.004090));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">//swaps</span></div>
<div class="line"> ext::shared_ptr<Quote> s3yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.004240));</div>
<div class="line"> ext::shared_ptr<Quote> s4yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.005760));</div>
<div class="line"> ext::shared_ptr<Quote> s5yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.007620));</div>
<div class="line"> ext::shared_ptr<Quote> s6yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.009540));</div>
<div class="line"> ext::shared_ptr<Quote> s7yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.011350));</div>
<div class="line"> ext::shared_ptr<Quote> s8yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.013030));</div>
<div class="line"> ext::shared_ptr<Quote> s9yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.014520));</div>
<div class="line"> ext::shared_ptr<Quote> s10yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.015840));</div>
<div class="line"> ext::shared_ptr<Quote> s12yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.018090));</div>
<div class="line"> ext::shared_ptr<Quote> s15yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.020370));</div>
<div class="line"> ext::shared_ptr<Quote> s20yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.021870));</div>
<div class="line"> ext::shared_ptr<Quote> s25yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.022340));</div>
<div class="line"> ext::shared_ptr<Quote> s30yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.022560));</div>
<div class="line"> ext::shared_ptr<Quote> s35yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.022950));</div>
<div class="line"> ext::shared_ptr<Quote> s40yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.023480));</div>
<div class="line"> ext::shared_ptr<Quote> s50yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.024210));</div>
<div class="line"> ext::shared_ptr<Quote> s60yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.024630));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> d6M(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d6MRate),</div>
<div class="line"> 6 * Months, 3,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> <span class="keyword">false</span>, depositDayCounter));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> fra1(<span class="keyword">new</span> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra1Rate),</div>
<div class="line"> 1, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra2(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra2Rate),</div>
<div class="line"> 2, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra3(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra3Rate),</div>
<div class="line"> 3, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra4(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra4Rate),</div>
<div class="line"> 4, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra5(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra5Rate),</div>
<div class="line"> 5, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra6(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra6Rate),</div>
<div class="line"> 6, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra7(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra7Rate),</div>
<div class="line"> 7, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra8(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra8Rate),</div>
<div class="line"> 8, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra9(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra9Rate),</div>
<div class="line"> 9, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra10(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra10Rate),</div>
<div class="line"> 10, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra11(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra11Rate),</div>
<div class="line"> 11, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra12(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra12Rate),</div>
<div class="line"> 12, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra13(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra13Rate),</div>
<div class="line"> 13, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra14(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra14Rate),</div>
<div class="line"> 14, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra15(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra15Rate),</div>
<div class="line"> 15, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra16(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra16Rate),</div>
<div class="line"> 16, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra17(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra17Rate),</div>
<div class="line"> 17, euribor6M));</div>
<div class="line"> ext::shared_ptr<RateHelper> fra18(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra18Rate),</div>
<div class="line"> 18, euribor6M));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// setup swaps</span></div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> swFixedLegFrequency = <a name="a23"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> swFixedLegConvention = <a name="a24"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> swFixedLegDayCounter = <a name="_a25"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<IborIndex> swFloatingLegIndex(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s3y(<span class="keyword">new</span> <a name="_a26"></a><a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s3yRate), 3 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s4y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s4yRate), 4 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s5y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s5yRate), 5 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s6y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s6yRate), 6 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s7y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s7yRate), 7 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s8y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s8yRate), 8 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s9y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s9yRate), 9 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s10y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s10yRate), 10 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s12y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s12yRate), 12 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s15y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s15yRate), 15 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s20y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s20yRate), 20 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s25y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s25yRate), 25 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s30y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s30yRate), 30 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s35y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s35yRate), 35 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s40y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s40yRate), 40 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s50y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s50yRate), 50 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s60y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s60yRate), 60 * Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Euribor 6M curve</span></div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > euribor6MInstruments;</div>
<div class="line"> euribor6MInstruments.push_back(d6M);</div>
<div class="line"> euribor6MInstruments.push_back(fra1);</div>
<div class="line"> euribor6MInstruments.push_back(fra2);</div>
<div class="line"> euribor6MInstruments.push_back(fra3);</div>
<div class="line"> euribor6MInstruments.push_back(fra4);</div>
<div class="line"> euribor6MInstruments.push_back(fra5);</div>
<div class="line"> euribor6MInstruments.push_back(fra6);</div>
<div class="line"> euribor6MInstruments.push_back(fra7);</div>
<div class="line"> euribor6MInstruments.push_back(fra8);</div>
<div class="line"> euribor6MInstruments.push_back(fra9);</div>
<div class="line"> euribor6MInstruments.push_back(fra10);</div>
<div class="line"> euribor6MInstruments.push_back(fra11);</div>
<div class="line"> euribor6MInstruments.push_back(fra12);</div>
<div class="line"> euribor6MInstruments.push_back(fra13);</div>
<div class="line"> euribor6MInstruments.push_back(fra14);</div>
<div class="line"> euribor6MInstruments.push_back(fra15);</div>
<div class="line"> euribor6MInstruments.push_back(fra16);</div>
<div class="line"> euribor6MInstruments.push_back(fra17);</div>
<div class="line"> euribor6MInstruments.push_back(fra18);</div>
<div class="line"> euribor6MInstruments.push_back(s3y);</div>
<div class="line"> euribor6MInstruments.push_back(s4y);</div>
<div class="line"> euribor6MInstruments.push_back(s5y);</div>
<div class="line"> euribor6MInstruments.push_back(s6y);</div>
<div class="line"> euribor6MInstruments.push_back(s7y);</div>
<div class="line"> euribor6MInstruments.push_back(s8y);</div>
<div class="line"> euribor6MInstruments.push_back(s9y);</div>
<div class="line"> euribor6MInstruments.push_back(s10y);</div>
<div class="line"> euribor6MInstruments.push_back(s12y);</div>
<div class="line"> euribor6MInstruments.push_back(s15y);</div>
<div class="line"> euribor6MInstruments.push_back(s20y);</div>
<div class="line"> euribor6MInstruments.push_back(s25y);</div>
<div class="line"> euribor6MInstruments.push_back(s30y);</div>
<div class="line"> euribor6MInstruments.push_back(s35y);</div>
<div class="line"> euribor6MInstruments.push_back(s40y);</div>
<div class="line"> euribor6MInstruments.push_back(s50y);</div>
<div class="line"> euribor6MInstruments.push_back(s60y);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// If needed, it's possible to change the tolerance; the default is 1.0e-12.</span></div>
<div class="line"> <span class="keywordtype">double</span> tolerance = 1.0e-15;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// The tolerance is passed in an explicit bootstrap object. Depending on</span></div>
<div class="line"> <span class="comment">// the bootstrap algorithm, it's possible to pass other parameters.</span></div>
<div class="line"> ext::shared_ptr<YieldTermStructure> euribor6MTermStructure(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount, Cubic></a>(</div>
<div class="line"> settlementDate, euribor6MInstruments,</div>
<div class="line"> termStructureDayCounter,</div>
<div class="line"> <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_iterative_bootstrap.html" title="Universal piecewise-term-structure boostrapper.">PiecewiseYieldCurve<Discount, Cubic>::bootstrap_type</a>(tolerance)));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> * SWAPS TO BE PRICED *</span></div>
<div class="line"><span class="comment"> **********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// constant nominal 1,000,000 Euro</span></div>
<div class="line"> <a name="a28"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> nominal = 1000000.0;</div>
<div class="line"> <span class="comment">// fixed leg</span></div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> fixedLegFrequency = <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> fixedLegConvention = <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> floatingLegConvention = <a name="a29"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fixedLegDayCounter = <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);</div>
<div class="line"> <a name="a30"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedRate = 0.007;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> floatingLegDayCounter = <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// floating leg</span></div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> floatingLegFrequency = <a name="a31"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>;</div>
<div class="line"> ext::shared_ptr<IborIndex> euriborIndex(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>(forecastingTermStructure));</div>
<div class="line"> <a name="a32"></a><a class="code" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d" title="spreads on interest rates">Spread</a> spread = 0.0;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> lengthInYears = 5;</div>
<div class="line"> VanillaSwap::Type swapType = VanillaSwap::Payer;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity = settlementDate + lengthInYears*Years;</div>
<div class="line"> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fixedSchedule(settlementDate, maturity,</div>
<div class="line"> <a name="_a34"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),</div>
<div class="line"> calendar, fixedLegConvention,</div>
<div class="line"> fixedLegConvention,</div>
<div class="line"> <a name="a35"></a><a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5">DateGeneration::Forward</a>, <span class="keyword">false</span>);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> floatSchedule(settlementDate, maturity,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),</div>
<div class="line"> calendar, floatingLegConvention,</div>
<div class="line"> floatingLegConvention,</div>
<div class="line"> <a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5">DateGeneration::Forward</a>, <span class="keyword">false</span>);</div>
<div class="line"> <a name="_a36"></a><a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap: fix vs floating leg.">VanillaSwap</a> spot5YearSwap(swapType, nominal,</div>
<div class="line"> fixedSchedule, fixedRate, fixedLegDayCounter,</div>
<div class="line"> floatSchedule, euriborIndex, spread,</div>
<div class="line"> floatingLegDayCounter);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fwdStart = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate, 1, Years);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fwdMaturity = fwdStart + lengthInYears*Years;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fwdFixedSchedule(fwdStart, fwdMaturity,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),</div>
<div class="line"> calendar, fixedLegConvention,</div>
<div class="line"> fixedLegConvention,</div>
<div class="line"> <a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5">DateGeneration::Forward</a>, <span class="keyword">false</span>);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fwdFloatSchedule(fwdStart, fwdMaturity,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),</div>
<div class="line"> calendar, floatingLegConvention,</div>
<div class="line"> floatingLegConvention,</div>
<div class="line"> <a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5">DateGeneration::Forward</a>, <span class="keyword">false</span>);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap: fix vs floating leg.">VanillaSwap</a> oneYearForward5YearSwap(swapType, nominal,</div>
<div class="line"> fwdFixedSchedule, fixedRate, fixedLegDayCounter,</div>
<div class="line"> fwdFloatSchedule, euriborIndex, spread,</div>
<div class="line"> floatingLegDayCounter);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /***************</span></div>
<div class="line"><span class="comment"> * SWAP PRICING *</span></div>
<div class="line"><span class="comment"> ****************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// utilities for reporting</span></div>
<div class="line"> std::vector<std::string> headers(4);</div>
<div class="line"> headers[0] = <span class="stringliteral">"term structure"</span>;</div>
<div class="line"> headers[1] = <span class="stringliteral">"net present value"</span>;</div>
<div class="line"> headers[2] = <span class="stringliteral">"fair spread"</span>;</div>
<div class="line"> headers[3] = <span class="stringliteral">"fair fixed rate"</span>;</div>
<div class="line"> std::string separator = <span class="stringliteral">" | "</span>;</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> width = headers[0].size() + separator.size()</div>
<div class="line"> + headers[1].size() + separator.size()</div>
<div class="line"> + headers[2].size() + separator.size()</div>
<div class="line"> + headers[3].size() + separator.size() - 1;</div>
<div class="line"> std::string rule(width, <span class="charliteral">'-'</span>), dblrule(width, <span class="charliteral">'='</span>);</div>
<div class="line"> std::string tab(8, <span class="charliteral">' '</span>);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// calculations</span></div>
<div class="line"> std::cout << dblrule << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"5-year market swap-rate = "</span></div>
<div class="line"> << std::setprecision(2) << <a name="a37"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(s5yRate->value())</div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << dblrule << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << tab << <span class="stringliteral">"5-years swap paying "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;</div>
<div class="line"> std::cout << headers[0] << separator</div>
<div class="line"> << headers[1] << separator</div>
<div class="line"> << headers[2] << separator</div>
<div class="line"> << headers[3] << separator << std::endl;</div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> NPV;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fairRate;</div>
<div class="line"> <a class="code" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d" title="spreads on interest rates">Spread</a> fairSpread;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<PricingEngine> swapEngine(</div>
<div class="line"> <span class="keyword">new</span> DiscountingSwapEngine(discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> spot5YearSwap.setPricingEngine(swapEngine);</div>
<div class="line"> oneYearForward5YearSwap.setPricingEngine(swapEngine);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Of course, you're not forced to really use different curves</span></div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(eoniaTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = spot5YearSwap.NPV();</div>
<div class="line"> fairSpread = spot5YearSwap.fairSpread();</div>
<div class="line"> fairRate = spot5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"eonia disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// let's check that the 5 years swap has been correctly re-priced</span></div>
<div class="line"> QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,</div>
<div class="line"> <span class="stringliteral">"5-years swap mispriced by "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(std::fabs(fairRate-s5yRate->value())));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = spot5YearSwap.NPV();</div>
<div class="line"> fairSpread = spot5YearSwap.fairSpread();</div>
<div class="line"> fairRate = spot5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"euribor disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,</div>
<div class="line"> <span class="stringliteral">"5-years swap mispriced!"</span>);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// now let's price the 1Y forward 5Y swap</span></div>
<div class="line"> </div>
<div class="line"> std::cout << tab << <span class="stringliteral">"5-years, 1-year forward swap paying "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;</div>
<div class="line"> std::cout << headers[0] << separator</div>
<div class="line"> << headers[1] << separator</div>
<div class="line"> << headers[2] << separator</div>
<div class="line"> << headers[3] << separator << std::endl;</div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(eoniaTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = oneYearForward5YearSwap.NPV();</div>
<div class="line"> fairSpread = oneYearForward5YearSwap.fairSpread();</div>
<div class="line"> fairRate = oneYearForward5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"eonia disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = oneYearForward5YearSwap.NPV();</div>
<div class="line"> fairSpread = oneYearForward5YearSwap.fairSpread();</div>
<div class="line"> fairRate = oneYearForward5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"euribor disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// now let's say that the 5-years swap rate goes up to 0.009%.</span></div>
<div class="line"> <span class="comment">// A smarter market element--say, connected to a data source-- would</span></div>
<div class="line"> <span class="comment">// notice the change itself. Since we're using SimpleQuotes,</span></div>
<div class="line"> <span class="comment">// we'll have to change the value manually--which forces us to</span></div>
<div class="line"> <span class="comment">// downcast the handle and use the SimpleQuote</span></div>
<div class="line"> <span class="comment">// interface. In any case, the point here is that a change in the</span></div>
<div class="line"> <span class="comment">// value contained in the Quote triggers a new bootstrapping</span></div>
<div class="line"> <span class="comment">// of the curve and a repricing of the swap.</span></div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<SimpleQuote> fiveYearsRate =</div>
<div class="line"> ext::dynamic_pointer_cast<SimpleQuote>(s5yRate);</div>
<div class="line"> fiveYearsRate->setValue(0.0090);</div>
<div class="line"> </div>
<div class="line"> std::cout << dblrule << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"5-year market swap-rate = "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(s5yRate->value()) << std::endl;</div>
<div class="line"> std::cout << dblrule << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << tab << <span class="stringliteral">"5-years swap paying "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;</div>
<div class="line"> std::cout << headers[0] << separator</div>
<div class="line"> << headers[1] << separator</div>
<div class="line"> << headers[2] << separator</div>
<div class="line"> << headers[3] << separator << std::endl;</div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// now get the updated results</span></div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(eoniaTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = spot5YearSwap.NPV();</div>
<div class="line"> fairSpread = spot5YearSwap.fairSpread();</div>
<div class="line"> fairRate = spot5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"eonia disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,</div>
<div class="line"> <span class="stringliteral">"5-years swap mispriced!"</span>);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = spot5YearSwap.NPV();</div>
<div class="line"> fairSpread = spot5YearSwap.fairSpread();</div>
<div class="line"> fairRate = spot5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"euribor disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,</div>
<div class="line"> <span class="stringliteral">"5-years swap mispriced!"</span>);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// the 1Y forward 5Y swap changes as well</span></div>
<div class="line"> </div>
<div class="line"> std::cout << tab << <span class="stringliteral">"5-years, 1-year forward swap paying "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;</div>
<div class="line"> std::cout << headers[0] << separator</div>
<div class="line"> << headers[1] << separator</div>
<div class="line"> << headers[2] << separator</div>
<div class="line"> << headers[3] << separator << std::endl;</div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(eoniaTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = oneYearForward5YearSwap.NPV();</div>
<div class="line"> fairSpread = oneYearForward5YearSwap.fairSpread();</div>
<div class="line"> fairRate = oneYearForward5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"eonia disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> forecastingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(euribor6MTermStructure);</div>
<div class="line"> </div>
<div class="line"> NPV = oneYearForward5YearSwap.NPV();</div>
<div class="line"> fairSpread = oneYearForward5YearSwap.fairSpread();</div>
<div class="line"> fairRate = oneYearForward5YearSwap.fairRate();</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(headers[0].size())</div>
<div class="line"> << <span class="stringliteral">"euribor disc"</span> << separator;</div>
<div class="line"> std::cout << std::setw(headers[1].size())</div>
<div class="line"> << std::fixed << std::setprecision(2) << NPV << separator;</div>
<div class="line"> std::cout << std::setw(headers[2].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;</div>
<div class="line"> std::cout << std::setw(headers[3].size())</div>
<div class="line"> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> </div>
<div class="line"> } <span class="keywordflow">catch</span> (std::exception& e) {</div>
<div class="line"> std::cerr << e.what() << std::endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> std::cerr << <span class="stringliteral">"unknown error"</span> << std::endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line">}</div>
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