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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file ratehelpers.hpp
\brief rate helpers base class
\fullpath
ql/TermStructures/%ratehelpers.hpp
*/
// $Id: ratehelpers.hpp,v 1.19 2002/03/05 16:58:03 lballabio Exp $
#ifndef quantlib_ratehelper_h
#define quantlib_ratehelper_h
#include <ql/Instruments/simpleswap.hpp>
namespace QuantLib {
namespace TermStructures {
//! base class for rate helpers
/*! This class provides an abstraction for the instruments used to
bootstrap a term structure.
It is advised that a rate helper for an instrument contains an
instance of the actual instrument class to ensure consistancy
between the algorithms used during bootstrapping and later
instrument pricing. This is not yet fully enforced in the
available rate helpers, though - only SwapRateHelper contains a
Swap instrument for the time being.
*/
class RateHelper : public Patterns::Observer,
public Patterns::Observable {
public:
RateHelper(const RelinkableHandle<MarketElement>& quote);
RateHelper(double quote);
virtual ~RateHelper() {}
//! \name RateHelper interface
//@{
double quoteError() const;
virtual double impliedQuote() const = 0;
virtual DiscountFactor discountGuess() const {
return Null<double>();
}
//! sets the term structure to be used for pricing
/*! \warning Being a pointer and not a Handle, the term structure
is not guaranteed to remain allocated for the whole life of
the rate helper. It is responsibility of the programmer to
ensure that the pointer remains valid. It is advised that
rate helpers be used only in term structure constructors,
setting the term structure to <b>this</b>, i.e., the one
being constructed.
*/
virtual void setTermStructure(TermStructure*);
//! maturity date
virtual Date maturity() const = 0;
//@}
//! \name Observer interface
//@{
void update() { notifyObservers(); }
//@}
protected:
RelinkableHandle<MarketElement> quote_;
TermStructure* termStructure_;
};
//! Deposit rate
/*! \warning This class assumes that today's date does not change
between calls of setTermStructure().
*/
class DepositRateHelper : public RateHelper {
public:
DepositRateHelper(const RelinkableHandle<MarketElement>& rate,
int settlementDays,
int n, TimeUnit units,
const Calendar& calendar,
RollingConvention convention,
const DayCounter& dayCounter);
DepositRateHelper(double rate,
int settlementDays,
int n, TimeUnit units,
const Calendar& calendar,
RollingConvention convention,
const DayCounter& dayCounter);
double impliedQuote() const;
DiscountFactor discountGuess() const;
void setTermStructure(TermStructure*);
Date maturity() const;
private:
int settlementDays_;
int n_;
TimeUnit units_;
Calendar calendar_;
RollingConvention convention_;
DayCounter dayCounter_;
Date settlement_, maturity_;
double yearFraction_;
};
//! Forward rate agreement
/*! \warning This class assumes that today's date does not change
between calls of setTermStructure().
\todo convexity adjustment should be implemented.
*/
class FraRateHelper : public RateHelper {
public:
FraRateHelper(const RelinkableHandle<MarketElement>& rate,
int settlementDays,
int monthsToStart, int monthsToEnd,
const Calendar& calendar,
RollingConvention convention,
const DayCounter& dayCounter);
FraRateHelper(double rate,
int settlementDays,
int monthsToStart, int monthsToEnd,
const Calendar& calendar,
RollingConvention convention,
const DayCounter& dayCounter);
double impliedQuote() const;
DiscountFactor discountGuess() const;
void setTermStructure(TermStructure*);
Date maturity() const;
private:
int settlementDays_;
int monthsToStart_, monthsToEnd_;
TimeUnit units_;
Calendar calendar_;
RollingConvention convention_;
DayCounter dayCounter_;
Date settlement_, start_, maturity_;
double yearFraction_;
};
//! Interest Rate Futures
/*! \warning This class assumes that today's date does not change
between calls of setTermStructure().
*/
class FuturesRateHelper : public RateHelper {
public:
FuturesRateHelper(const RelinkableHandle<MarketElement>& price,
const Date& ImmDate,
int settlementDays,
int nMonths,
const Calendar& calendar,
RollingConvention convention,
const DayCounter& dayCounter);
FuturesRateHelper(double price,
const Date& ImmDate,
int settlementDays,
int nMonths,
const Calendar& calendar,
RollingConvention convention,
const DayCounter& dayCounter);
double impliedQuote() const;
DiscountFactor discountGuess() const;
Date maturity() const;
private:
Date ImmDate_;
int settlementDays_;
int nMonths_;
Calendar calendar_;
RollingConvention convention_;
DayCounter dayCounter_;
Date maturity_;
double yearFraction_;
};
//! swap rate
/*! \warning This class assumes that today's date does not change
between calls of setTermStructure().
*/
class SwapRateHelper : public RateHelper {
public:
SwapRateHelper(const RelinkableHandle<MarketElement>& rate,
int settlementDays,
int lengthInYears,
const Calendar& calendar,
RollingConvention convention,
// fixed leg
int fixedFrequency,
bool fixedIsAdjusted,
const DayCounter& fixedDayCount,
// floating leg
int floatingFrequency);
SwapRateHelper(double rate,
int settlementDays,
int lengthInYears,
const Calendar& calendar,
RollingConvention convention,
// fixed leg
int fixedFrequency,
bool fixedIsAdjusted,
const DayCounter& fixedDayCount,
// floating leg
int floatingFrequency);
double impliedQuote() const;
// implementing discountGuess() is not worthwhile,
// and may not avoid the root-finding process
Date maturity() const;
void setTermStructure(TermStructure*);
protected:
int settlementDays_;
int lengthInYears_;
Calendar calendar_;
RollingConvention convention_;
int fixedFrequency_, floatingFrequency_;
bool fixedIsAdjusted_;
DayCounter fixedDayCount_;
Date settlement_;
Handle<Instruments::SimpleSwap> swap_;
RelinkableHandle<TermStructure> termStructureHandle_;
};
}
}
#endif
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