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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 StatPro Italia 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
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.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 basisswapratehelpers.hpp
\brief ibor-ibor and ois-ibor basis swap rate helpers
*/
#ifndef quantlib_basisswapratehelpers_hpp
#define quantlib_basisswapratehelpers_hpp
#include <ql/termstructures/yield/ratehelpers.hpp>
namespace QuantLib {
//! Rate helper for bootstrapping over ibor-ibor basis swaps
/*! The swap is assumed to pay baseIndex + basis and receive
otherIndex. The helper can be used to bootstrap the forecast
curve for baseIndex (in which case you'll have to pass
bootstrapBaseCurve = true and provide otherIndex with a
forecast curve) or the forecast curve for otherIndex (in which
case bootstrapBaseCurve = false and baseIndex will need a
forecast curve).
In both cases, an exogenous discount curve is required.
*/
class IborIborBasisSwapRateHelper : public RelativeDateRateHelper {
public:
IborIborBasisSwapRateHelper(const Handle<Quote>& basis,
const Period& tenor,
Natural settlementDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
const ext::shared_ptr<IborIndex>& baseIndex,
const ext::shared_ptr<IborIndex>& otherIndex,
Handle<YieldTermStructure> discountHandle,
bool bootstrapBaseCurve);
Real impliedQuote() const override;
void accept(AcyclicVisitor&) override;
// NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
ext::shared_ptr<Swap> swap() const { return swap_; }
private:
void initializeDates() override;
void setTermStructure(YieldTermStructure*) override;
Period tenor_;
Natural settlementDays_;
Calendar calendar_;
BusinessDayConvention convention_;
bool endOfMonth_;
ext::shared_ptr<IborIndex> baseIndex_;
ext::shared_ptr<IborIndex> otherIndex_;
Handle<YieldTermStructure> discountHandle_;
bool bootstrapBaseCurve_;
ext::shared_ptr<Swap> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
//! Rate helper for bootstrapping over overnight-ibor basis swaps
/*! The swap is assumed to pay baseIndex + basis and receive
otherIndex. This helper can be used to bootstrap the forecast
curve for otherIndex; baseIndex will need an existing forecast
curve. An exogenous discount curve can be passed; if not,
the overnight-index curve will be used.
*/
class OvernightIborBasisSwapRateHelper : public RelativeDateRateHelper {
public:
OvernightIborBasisSwapRateHelper(const Handle<Quote>& basis,
const Period& tenor,
Natural settlementDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
const ext::shared_ptr<OvernightIndex>& baseIndex,
const ext::shared_ptr<IborIndex>& otherIndex,
Handle<YieldTermStructure> discountHandle = Handle<YieldTermStructure>());
Real impliedQuote() const override;
void accept(AcyclicVisitor&) override;
// NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
ext::shared_ptr<Swap> swap() const { return swap_; }
private:
void initializeDates() override;
void setTermStructure(YieldTermStructure*) override;
Period tenor_;
Natural settlementDays_;
Calendar calendar_;
BusinessDayConvention convention_;
bool endOfMonth_;
ext::shared_ptr<OvernightIndex> baseIndex_;
ext::shared_ptr<IborIndex> otherIndex_;
Handle<YieldTermStructure> discountHandle_;
ext::shared_ptr<Swap> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
}
#endif
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