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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 Marcin Rybacki
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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 crosscurrencyratehelpers.hpp
\brief FX and cross currency basis swaps rate helpers
*/
#ifndef quantlib_crosscurrencyratehelpers_hpp
#define quantlib_crosscurrencyratehelpers_hpp
#include <ql/termstructures/yield/ratehelpers.hpp>
namespace QuantLib {
//! Base class for cross-currency basis swap rate helpers
class CrossCurrencyBasisSwapRateHelperBase : public RelativeDateRateHelper {
public:
//! \name RateHelper interface
//@{
void setTermStructure(YieldTermStructure*) override;
//@}
protected:
CrossCurrencyBasisSwapRateHelperBase(const Handle<Quote>& basis,
const Period& tenor,
Natural fixingDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
ext::shared_ptr<IborIndex> baseCurrencyIndex,
ext::shared_ptr<IborIndex> quoteCurrencyIndex,
Handle<YieldTermStructure> collateralCurve,
bool isFxBaseCurrencyCollateralCurrency,
bool isBasisOnFxBaseCurrencyLeg);
void initializeDates() override;
const Handle<YieldTermStructure>& baseCcyLegDiscountHandle() const;
const Handle<YieldTermStructure>& quoteCcyLegDiscountHandle() const;
Period tenor_;
Natural fixingDays_;
Calendar calendar_;
BusinessDayConvention convention_;
bool endOfMonth_;
ext::shared_ptr<IborIndex> baseCcyIdx_;
ext::shared_ptr<IborIndex> quoteCcyIdx_;
Handle<YieldTermStructure> collateralHandle_;
bool isFxBaseCurrencyCollateralCurrency_;
bool isBasisOnFxBaseCurrencyLeg_;
Leg baseCcyIborLeg_;
Leg quoteCcyIborLeg_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
//! Rate helper for bootstrapping over constant-notional cross-currency basis swaps
/*!
Unlike marked-to-market cross currency swaps, both notionals
expressed in base and quote currency remain constant throughout
the lifetime of the swap.
Note on used conventions. Consider a currency pair EUR-USD.
EUR is the base currency, while USD is the quote currency.
The quote currency indicates the amount to be paid in that
currency for one unit of base currency.
Hence, for a cross currency swap we define a base currency
leg and a quote currency leg. The parameters of the instrument,
e.g. collateral currency, basis, resetting or constant notional
legs are defined relative to what base and quote currencies are.
For example, in case of EUR-USD basis swaps the collateral is paid
in quote currency (USD), the basis is given on the base currency
leg (EUR), etc.
For more details see:
N. Moreni, A. Pallavicini (2015)
FX Modelling in Collateralized Markets: foreign measures, basis curves
and pricing formulae.
*/
class ConstNotionalCrossCurrencyBasisSwapRateHelper : public CrossCurrencyBasisSwapRateHelperBase {
public:
ConstNotionalCrossCurrencyBasisSwapRateHelper(
const Handle<Quote>& basis,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const ext::shared_ptr<IborIndex>& baseCurrencyIndex,
const ext::shared_ptr<IborIndex>& quoteCurrencyIndex,
const Handle<YieldTermStructure>& collateralCurve,
bool isFxBaseCurrencyCollateralCurrency,
bool isBasisOnFxBaseCurrencyLeg);
//! \name RateHelper interface
//@{
Real impliedQuote() const override;
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&) override;
//@}
};
//! Rate helper for bootstrapping over market-to-market cross-currency basis swaps
/*!
Helper for a cross currency swap with resetting notional.
This means that at each interest payment the notional on the MtM
leg is being reset to reflect the changes in the FX rate - reducing
the counterparty and FX risk of the structure.
For more details see:
N. Moreni, A. Pallavicini (2015)
FX Modelling in Collateralized Markets: foreign measures, basis curves
and pricing formulae.
*/
class MtMCrossCurrencyBasisSwapRateHelper : public CrossCurrencyBasisSwapRateHelperBase {
public:
MtMCrossCurrencyBasisSwapRateHelper(const Handle<Quote>& basis,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const ext::shared_ptr<IborIndex>& baseCurrencyIndex,
const ext::shared_ptr<IborIndex>& quoteCurrencyIndex,
const Handle<YieldTermStructure>& collateralCurve,
bool isFxBaseCurrencyCollateralCurrency,
bool isBasisOnFxBaseCurrencyLeg,
bool isFxBaseCurrencyLegResettable);
//! \name RateHelper interface
//@{
Real impliedQuote() const override;
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&) override;
//@}
private:
bool isFxBaseCurrencyLegResettable_;
};
}
#endif
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