File: _multicurve_bootstrapping_8cpp-example.html

package info (click to toggle)
quantlib-refman-html 1.20-1
  • links: PTS, VCS
  • area: main
  • in suites: bookworm, bullseye, sid, trixie
  • size: 103,140 kB
  • sloc: javascript: 13,408; makefile: 35
file content (1000 lines) | stat: -rw-r--r-- 112,204 bytes parent folder | download
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: MulticurveBootstrapping.cpp</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
  MathJax.Hub.Config({
    extensions: ["tex2jax.js"],
    jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
 <tbody>
 <tr style="height: 56px;">
  <td id="projectalign" style="padding-left: 0.5em;">
   <div id="projectname"><a href="http://quantlib.org">
       <img alt="QuantLib" src="QL-title.jpg"></a>
   <div id="projectbrief">A free/open-source library for quantitative finance</div>
   <div id="projectnumber">Reference manual - version 1.20</div>
   </div>
  </td>
 </tr>
 </tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&amp;dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&amp;dn=gpl-2.0.txt GPL-v2 */
$(function() {
  initMenu('',true,false,'search.php','Search');
  $(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
</div><!-- top -->
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
     onmouseover="return searchBox.OnSearchSelectShow()"
     onmouseout="return searchBox.OnSearchSelectHide()"
     onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>

<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0" 
        name="MSearchResults" id="MSearchResults">
</iframe>
</div>

<div class="header">
  <div class="headertitle">
<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 &lt;ql/qldefines.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor">#  include &lt;ql/auto_link.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/termstructures/yield/piecewiseyieldcurve.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/termstructures/yieldtermstructure.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/termstructures/yield/ratehelpers.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/termstructures/yield/oisratehelper.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/pricingengines/swap/discountingswapengine.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/indexes/ibor/eonia.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/indexes/ibor/euribor.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/time/imm.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/time/calendars/target.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/time/daycounters/actual360.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/time/daycounters/thirty360.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/time/daycounters/actualactual.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/math/interpolations/cubicinterpolation.hpp&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;ql/math/interpolations/loginterpolation.hpp&gt;</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include &lt;iostream&gt;</span></div>
<div class="line"><span class="preprocessor">#include &lt;iomanip&gt;</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 &lt;&lt; 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 &lt;&lt; <span class="stringliteral">&quot;Today: &quot;</span> &lt;&lt; todaysDate.<a name="a7"></a>weekday()</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;, &quot;</span> &lt;&lt; todaysDate &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line">        std::cout &lt;&lt; <span class="stringliteral">&quot;Settlement date: &quot;</span> &lt;&lt; settlementDate.weekday()</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;, &quot;</span> &lt;&lt; settlementDate &lt;&lt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Eonia&gt; 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&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois1WRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois2WRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois3WRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(oisDated1Rate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(oisDated2Rate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(oisDated3Rate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(oisDated4Rate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(oisDated5Rate), eonia));</div>
<div class="line"> </div>
<div class="line">        <span class="comment">// OIS</span></div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois15MRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois18MRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois21MRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois2YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois3YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois4YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois5YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois6YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois7YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois8YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois9YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois10YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois11YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois12YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois15YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois20YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(ois25YRate), eonia));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;ext::shared_ptr&lt;RateHelper&gt; &gt; 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&lt;YieldTermStructure&gt; 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&lt;Discount, Cubic&gt;</a>(</div>
<div class="line">                todaysDate, eoniaInstruments,</div>
<div class="line">                termStructureDayCounter) );</div>
<div class="line"> </div>
<div class="line">        eoniaTermStructure-&gt;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&lt;YieldTermStructure&gt;</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&lt;YieldTermStructure&gt;</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&lt;IborIndex&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;Quote&gt; 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&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra1Rate),</div>
<div class="line">            1, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra2Rate),</div>
<div class="line">            2, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra3Rate),</div>
<div class="line">            3, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra4Rate),</div>
<div class="line">            4, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra5Rate),</div>
<div class="line">            5, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra6Rate),</div>
<div class="line">            6, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra7Rate),</div>
<div class="line">            7, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra8Rate),</div>
<div class="line">            8, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra9Rate),</div>
<div class="line">            9, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra10Rate),</div>
<div class="line">            10, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra11Rate),</div>
<div class="line">            11, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra12Rate),</div>
<div class="line">            12, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra13Rate),</div>
<div class="line">            13, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra14Rate),</div>
<div class="line">            14, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra15Rate),</div>
<div class="line">            15, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra16Rate),</div>
<div class="line">            16, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</a>(fra17Rate),</div>
<div class="line">            17, euribor6M));</div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;IborIndex&gt; 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&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</a>(), 0 * Days, discountingTermStructure));</div>
<div class="line"> </div>
<div class="line">        ext::shared_ptr&lt;RateHelper&gt; 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&lt;Quote&gt;</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&lt;Quote&gt;</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&lt;ext::shared_ptr&lt;RateHelper&gt; &gt; 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&#39;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&#39;s possible to pass other parameters.</span></div>
<div class="line">        ext::shared_ptr&lt;YieldTermStructure&gt; 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&lt;Discount, Cubic&gt;</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&lt;Discount, Cubic&gt;::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&lt;IborIndex&gt; 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&lt;std::string&gt; headers(4);</div>
<div class="line">        headers[0] = <span class="stringliteral">&quot;term structure&quot;</span>;</div>
<div class="line">        headers[1] = <span class="stringliteral">&quot;net present value&quot;</span>;</div>
<div class="line">        headers[2] = <span class="stringliteral">&quot;fair spread&quot;</span>;</div>
<div class="line">        headers[3] = <span class="stringliteral">&quot;fair fixed rate&quot;</span>;</div>
<div class="line">        std::string separator = <span class="stringliteral">&quot; | &quot;</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">&#39;-&#39;</span>), dblrule(width, <span class="charliteral">&#39;=&#39;</span>);</div>
<div class="line">        std::string tab(8, <span class="charliteral">&#39; &#39;</span>);</div>
<div class="line"> </div>
<div class="line">        <span class="comment">// calculations</span></div>
<div class="line">        std::cout &lt;&lt; dblrule &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt;  <span class="stringliteral">&quot;5-year market swap-rate = &quot;</span></div>
<div class="line">                  &lt;&lt; std::setprecision(2) &lt;&lt; <a name="a37"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(s5yRate-&gt;value())</div>
<div class="line">                  &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; dblrule &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line">        std::cout &lt;&lt; tab &lt;&lt; <span class="stringliteral">&quot;5-years swap paying &quot;</span></div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; headers[0] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[1] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[2] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[3] &lt;&lt; separator &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; rule &lt;&lt; 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&lt;PricingEngine&gt; 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&#39;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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;eonia disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">                  &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line">        <span class="comment">// let&#39;s check that the 5 years swap has been correctly re-priced</span></div>
<div class="line">        QL_REQUIRE(std::fabs(fairRate-s5yRate-&gt;value())&lt;1e-8,</div>
<div class="line">                   <span class="stringliteral">&quot;5-years swap mispriced by &quot;</span></div>
<div class="line">                   &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(std::fabs(fairRate-s5yRate-&gt;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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;euribor disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">                  &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line">        QL_REQUIRE(std::fabs(fairRate-s5yRate-&gt;value())&lt;1e-8,</div>
<div class="line">                  <span class="stringliteral">&quot;5-years swap mispriced!&quot;</span>);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line">        std::cout &lt;&lt; rule &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line">        <span class="comment">// now let&#39;s price the 1Y forward 5Y swap</span></div>
<div class="line"> </div>
<div class="line">        std::cout &lt;&lt; tab &lt;&lt; <span class="stringliteral">&quot;5-years, 1-year forward swap paying &quot;</span></div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; headers[0] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[1] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[2] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[3] &lt;&lt; separator &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; rule &lt;&lt; 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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;eonia disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">                  &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; 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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">            &lt;&lt; <span class="stringliteral">&quot;euribor disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">            &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">            &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">            &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line">        <span class="comment">// now let&#39;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&#39;re using SimpleQuotes,</span></div>
<div class="line">        <span class="comment">// we&#39;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&lt;SimpleQuote&gt; fiveYearsRate =</div>
<div class="line">            ext::dynamic_pointer_cast&lt;SimpleQuote&gt;(s5yRate);</div>
<div class="line">        fiveYearsRate-&gt;setValue(0.0090);</div>
<div class="line"> </div>
<div class="line">        std::cout &lt;&lt; dblrule &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt;  <span class="stringliteral">&quot;5-year market swap-rate = &quot;</span></div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(s5yRate-&gt;value()) &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; dblrule &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line">        std::cout &lt;&lt; tab &lt;&lt; <span class="stringliteral">&quot;5-years swap paying &quot;</span></div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; headers[0] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[1] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[2] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[3] &lt;&lt; separator &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; rule &lt;&lt; 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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;eonia disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">                  &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line">        QL_REQUIRE(std::fabs(fairRate-s5yRate-&gt;value())&lt;1e-8,</div>
<div class="line">                   <span class="stringliteral">&quot;5-years swap mispriced!&quot;</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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;euribor disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">                  &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line">        QL_REQUIRE(std::fabs(fairRate-s5yRate-&gt;value())&lt;1e-8,</div>
<div class="line">                   <span class="stringliteral">&quot;5-years swap mispriced!&quot;</span>);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line">        std::cout &lt;&lt; rule &lt;&lt; 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 &lt;&lt; tab &lt;&lt; <span class="stringliteral">&quot;5-years, 1-year forward swap paying &quot;</span></div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; headers[0] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[1] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[2] &lt;&lt; separator</div>
<div class="line">                  &lt;&lt; headers[3] &lt;&lt; separator &lt;&lt; std::endl;</div>
<div class="line">        std::cout &lt;&lt; rule &lt;&lt; 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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;eonia disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">                  &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; 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 &lt;&lt; std::setw(headers[0].size())</div>
<div class="line">                  &lt;&lt; <span class="stringliteral">&quot;euribor disc&quot;</span> &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[1].size())</div>
<div class="line">                  &lt;&lt; std::fixed &lt;&lt; std::setprecision(2) &lt;&lt; NPV &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[2].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; std::setw(headers[3].size())</div>
<div class="line">                  &lt;&lt; <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) &lt;&lt; separator;</div>
<div class="line">        std::cout &lt;&lt; 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&amp; e) {</div>
<div class="line">        std::cerr &lt;&lt; e.what() &lt;&lt; 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 &lt;&lt; <span class="stringliteral">&quot;unknown error&quot;</span> &lt;&lt; std::endl;</div>
<div class="line">        <span class="keywordflow">return</span> 1;</div>
<div class="line">    }</div>
<div class="line">}</div>
</div><!-- fragment --> </div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>