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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Roy Zywina
Copyright (C) 2019 Eisuke Tani
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 overnightindexfutureratehelper.hpp
\brief Overnight Index Future bootstrap helper
*/
#ifndef quantlib_overnightindexfutureratehelper_hpp
#define quantlib_overnightindexfutureratehelper_hpp
#include <ql/instruments/overnightindexfuture.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
namespace QuantLib {
//! RateHelper for bootstrapping over overnight compounding futures
class OvernightIndexFutureRateHelper : public RateHelper {
public:
OvernightIndexFutureRateHelper(const Handle<Quote>& price,
// first day of reference period
const Date& valueDate,
// delivery date
const Date& maturityDate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<Quote>& convexityAdjustment = {},
RateAveraging::Type averagingMethod = RateAveraging::Compound);
//! \name RateHelper interface
//@{
Real impliedQuote() const override;
void setTermStructure(YieldTermStructure*) override;
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&) override;
//@}
Real convexityAdjustment() const;
private:
ext::shared_ptr<OvernightIndexFuture> future_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
//! RateHelper for bootstrapping over CME SOFR futures
/*! It compounds overnight SOFR rates from the third Wednesday
of the reference month/year (inclusive) to the third Wednesday
of the month one Month/Quarter later (exclusive).
It requires the index history to be populated when the
reference period starts in the past.
*/
class SofrFutureRateHelper : public OvernightIndexFutureRateHelper {
public:
SofrFutureRateHelper(const Handle<Quote>& price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const Handle<Quote>& convexityAdjustment = {});
SofrFutureRateHelper(Real price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
Real convexityAdjustment = 0.0);
};
}
#endif
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