Reference manual - version qle_version
Cross Ccy Basis Swap Rate Helper. More...
#include <qle/termstructures/crossccybasisswaphelper.hpp>
Public Member Functions | |
| CrossCcyBasisSwapHelper (const Handle< Quote > &spreadQuote, const Handle< Quote > &spotFX, Natural settlementDays, const Calendar &settlementCalendar, const Period &swapTenor, BusinessDayConvention rollConvention, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &flatIndex, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &spreadIndex, const Handle< YieldTermStructure > &flatDiscountCurve, const Handle< YieldTermStructure > &spreadDiscountCurve, const bool flatIndexGiven, const bool spreadIndexGiven, const bool flatDiscountCurveGiven, const bool spreadDiscountCurveGiven, bool eom=false, bool flatIsDomestic=true, QuantLib::ext::optional< QuantLib::Period > flatTenor=QuantLib::ext::nullopt, QuantLib::ext::optional< QuantLib::Period > spreadTenor=QuantLib::ext::nullopt, Real spreadOnFlatLeg=0.0, Real flatGearing=1.0, Real spreadGearing=1.0, const Calendar &flatCalendar=Calendar(), const Calendar &spreadCalendar=Calendar(), const std::vector< Natural > &spotFXSettleDaysVec=std::vector< Natural >(), const std::vector< Calendar > &spotFXSettleCalendar=std::vector< Calendar >(), Size paymentLag=0, Size flatPaymentLag=0, QuantLib::ext::optional< bool > includeSpread=QuantLib::ext::nullopt, QuantLib::ext::optional< Period > lookback=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > fixingDays=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > rateCutoff=QuantLib::ext::nullopt, QuantLib::ext::optional< bool > isAveraged=QuantLib::ext::nullopt, QuantLib::ext::optional< bool > flatIncludeSpread=QuantLib::ext::nullopt, QuantLib::ext::optional< Period > flatLookback=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > flatFixingDays=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > flatRateCutoff=QuantLib::ext::nullopt, QuantLib::ext::optional< bool > flatIsAveraged=QuantLib::ext::nullopt, const bool telescopicValueDates=false, const QuantLib::Pillar::Choice pillarChoice=QuantLib::Pillar::LastRelevantDate) | |
RateHelper interface | |
| Real | impliedQuote () const override |
| void | setTermStructure (YieldTermStructure *) override |
inspectors | |
| QuantLib::ext::shared_ptr< CrossCcyBasisSwap > | swap () const |
Visitability | |
| Handle< Quote > | spotFX_ |
| Natural | settlementDays_ |
| Calendar | settlementCalendar_ |
| Period | swapTenor_ |
| BusinessDayConvention | rollConvention_ |
| QuantLib::ext::shared_ptr< QuantLib::IborIndex > | flatIndex_ |
| QuantLib::ext::shared_ptr< QuantLib::IborIndex > | spreadIndex_ |
| Handle< YieldTermStructure > | flatDiscountCurve_ |
| Handle< YieldTermStructure > | spreadDiscountCurve_ |
| bool | flatIndexGiven_ |
| bool | spreadIndexGiven_ |
| bool | flatDiscountCurveGiven_ |
| bool | spreadDiscountCurveGiven_ |
| bool | eom_ |
| bool | flatIsDomestic_ |
| QuantLib::Period | flatTenor_ |
| QuantLib::Period | spreadTenor_ |
| Real | spreadOnFlatLeg_ |
| Real | flatGearing_ |
| Real | spreadGearing_ |
| Calendar | flatCalendar_ |
| Calendar | spreadCalendar_ |
| std::vector< Natural > | spotFXSettleDaysVec_ |
| std::vector< Calendar > | spotFXSettleCalendarVec_ |
| Size | paymentLag_ |
| Size | flatPaymentLag_ |
| QuantLib::ext::optional< bool > | includeSpread_ |
| QuantLib::ext::optional< QuantLib::Period > | lookback_ |
| QuantLib::ext::optional< QuantLib::Size > | fixingDays_ |
| QuantLib::ext::optional< Size > | rateCutoff_ |
| QuantLib::ext::optional< bool > | isAveraged_ |
| QuantLib::ext::optional< bool > | flatIncludeSpread_ |
| QuantLib::ext::optional< QuantLib::Period > | flatLookback_ |
| QuantLib::ext::optional< QuantLib::Size > | flatFixingDays_ |
| QuantLib::ext::optional< Size > | flatRateCutoff_ |
| QuantLib::ext::optional< bool > | flatIsAveraged_ |
| Currency | flatLegCurrency_ |
| Currency | spreadLegCurrency_ |
| QuantLib::ext::shared_ptr< CrossCcyBasisSwap > | swap_ |
| RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
| RelinkableHandle< YieldTermStructure > | flatDiscountRLH_ |
| RelinkableHandle< YieldTermStructure > | spreadDiscountRLH_ |
| bool | telescopicValueDates_ |
| QuantLib::Pillar::Choice | pillarChoice_ |
| void | accept (AcyclicVisitor &) override |
| void | initializeDates () override |
Cross Ccy Basis Swap Rate Helper.
Rate helper for bootstrapping over cross currency basis swap spreads
Assumes that you have, at a minimum, either:
The other leg is then solved for i.e. index curve (if no YieldTermStructure is attached to its index) or discount curve (if its Handle is empty) or both.
The currencies are deduced from the ibor indexes. The spotFx to be quoted with either of these currencies, this is determined by the flatIsDomestic flag. The settlement date of the spot is assumed to be equal to the settlement date of the swap itself.
\ingroup termstructures
