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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 2012 Roland Lichters
Copyright (C) 2009, 2012 Ferdinando Ametrano
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 oisratehelper.hpp
\brief Overnight Indexed Swap (aka OIS) rate helpers
*/
#ifndef quantlib_oisratehelper_hpp
#define quantlib_oisratehelper_hpp
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/instruments/overnightindexedswap.hpp>
#include <ql/optional.hpp>
#include <variant>
namespace QuantLib {
class FloatingRateCouponPricer;
//! Rate helper for bootstrapping over Overnight Indexed Swap rates
class OISRateHelper : public RelativeDateRateHelper {
public:
OISRateHelper(
Natural settlementDays,
const Period& tenor, // swap maturity
const std::variant<Rate, Handle<Quote>>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
// exogenous discounting curve
Handle<YieldTermStructure> discountingCurve = {},
bool telescopicValueDates = false,
Integer paymentLag = 0,
BusinessDayConvention paymentConvention = Following,
Frequency paymentFrequency = Annual,
Calendar paymentCalendar = Calendar(),
const Period& forwardStart = 0 * Days,
const std::variant<Spread, Handle<Quote>>& overnightSpread = Spread(0.0),
Pillar::Choice pillar = Pillar::LastRelevantDate,
Date customPillarDate = Date(),
RateAveraging::Type averagingMethod = RateAveraging::Compound,
ext::optional<bool> endOfMonth = ext::nullopt,
ext::optional<Frequency> fixedPaymentFrequency = ext::nullopt,
Calendar fixedCalendar = Calendar(),
Natural lookbackDays = Null<Natural>(),
Natural lockoutDays = 0,
bool applyObservationShift = false,
ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
DateGeneration::Rule rule = DateGeneration::Backward,
Calendar overnightCalendar = Calendar(),
BusinessDayConvention convention = ModifiedFollowing);
OISRateHelper(
const Date& startDate,
const Date& endDate,
const std::variant<Rate, Handle<Quote>>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
// exogenous discounting curve
Handle<YieldTermStructure> discountingCurve = {},
bool telescopicValueDates = false,
Integer paymentLag = 0,
BusinessDayConvention paymentConvention = Following,
Frequency paymentFrequency = Annual,
Calendar paymentCalendar = Calendar(),
const std::variant<Spread, Handle<Quote>>& overnightSpread = Spread(0.0),
Pillar::Choice pillar = Pillar::LastRelevantDate,
Date customPillarDate = Date(),
RateAveraging::Type averagingMethod = RateAveraging::Compound,
ext::optional<bool> endOfMonth = ext::nullopt,
ext::optional<Frequency> fixedPaymentFrequency = ext::nullopt,
Calendar fixedCalendar = Calendar(),
Natural lookbackDays = Null<Natural>(),
Natural lockoutDays = 0,
bool applyObservationShift = false,
ext::shared_ptr<FloatingRateCouponPricer> pricer = {},
DateGeneration::Rule rule = DateGeneration::Backward,
Calendar overnightCalendar = Calendar(),
BusinessDayConvention convention = ModifiedFollowing);
//! \name RateHelper interface
//@{
Real impliedQuote() const override;
void setTermStructure(YieldTermStructure*) override;
//@}
//! \name inspectors
//@{
// NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)
ext::shared_ptr<OvernightIndexedSwap> swap() const { return swap_; }
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&) override;
//@}
protected:
void initialize(const ext::shared_ptr<OvernightIndex>& overnightIndex,
Date customPillarDate);
void initializeDates() override;
Natural settlementDays_;
Period tenor_;
Date startDate_, endDate_;
ext::shared_ptr<OvernightIndex> overnightIndex_;
ext::shared_ptr<OvernightIndexedSwap> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
Handle<YieldTermStructure> discountHandle_;
bool telescopicValueDates_;
RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
Integer paymentLag_;
BusinessDayConvention paymentConvention_;
Frequency paymentFrequency_;
Calendar paymentCalendar_;
Period forwardStart_;
Handle<Quote> overnightSpread_;
Pillar::Choice pillarChoice_;
RateAveraging::Type averagingMethod_;
ext::optional<bool> endOfMonth_;
ext::optional<Frequency> fixedPaymentFrequency_;
Calendar fixedCalendar_;
Calendar overnightCalendar_;
BusinessDayConvention convention_;
Natural lookbackDays_;
Natural lockoutDays_;
bool applyObservationShift_;
ext::shared_ptr<FloatingRateCouponPricer> pricer_;
DateGeneration::Rule rule_ = DateGeneration::Backward;
};
/*! \deprecated Use OISRateHelper instead.
Deprecated in version 1.37.
*/
class [[deprecated("Use OISRateHelper instead")]] DatedOISRateHelper : public OISRateHelper {
public:
DatedOISRateHelper(const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
// exogenous discounting curve
Handle<YieldTermStructure> discountingCurve = {},
bool telescopicValueDates = false,
RateAveraging::Type averagingMethod = RateAveraging::Compound,
Integer paymentLag = 0,
BusinessDayConvention paymentConvention = Following,
Frequency paymentFrequency = Annual,
const Calendar& paymentCalendar = Calendar(),
Spread overnightSpread = {},
ext::optional<bool> endOfMonth = ext::nullopt,
ext::optional<Frequency> fixedPaymentFrequency = ext::nullopt,
const Calendar& fixedCalendar = Calendar(),
Natural lookbackDays = Null<Natural>(),
Natural lockoutDays = 0,
bool applyObservationShift = false,
const ext::shared_ptr<FloatingRateCouponPricer>& pricer = {});
};
}
#endif
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