/usr/include/ql/termstructures/yield/ratehelpers.hpp is in libquantlib0-dev 1.1-2build1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008 StatPro Italia srl
Copyright (C) 2007, 2008, 2009 Ferdinando Ametrano
Copyright (C) 2007, 2009 Roland Lichters
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 ratehelpers.hpp
\brief deposit, FRA, futures, and swap rate helpers
*/
#ifndef quantlib_ratehelpers_hpp
#define quantlib_ratehelpers_hpp
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/instruments/bmaswap.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
namespace QuantLib {
class SwapIndex;
class Quote;
typedef BootstrapHelper<YieldTermStructure> RateHelper;
typedef RelativeDateBootstrapHelper<YieldTermStructure>
RelativeDateRateHelper;
//! Rate helper for bootstrapping over IborIndex futures prices
class FuturesRateHelper : public RateHelper {
public:
FuturesRateHelper(const Handle<Quote>& price,
const Date& immDate,
Natural lengthInMonths,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
const Handle<Quote>& convexityAdjustment = Handle<Quote>());
FuturesRateHelper(Real price,
const Date& immDate,
Natural lengthInMonths,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Rate convexityAdjustment = 0.0);
FuturesRateHelper(const Handle<Quote>& price,
const Date& immStartDate,
const Date& endDate,
const DayCounter& dayCounter,
const Handle<Quote>& convexityAdjustment = Handle<Quote>());
FuturesRateHelper(Real price,
const Date& immStartDate,
const Date& endDate,
const DayCounter& dayCounter,
Rate convexityAdjustment = 0.0);
FuturesRateHelper(const Handle<Quote>& price,
const Date& immDate,
const boost::shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& convexityAdjustment = Handle<Quote>());
FuturesRateHelper(Real price,
const Date& immDate,
const boost::shared_ptr<IborIndex>& iborIndex,
Rate convexityAdjustment = 0.0);
//! \name RateHelper interface
//@{
Real impliedQuote() const;
//@}
//! \name FuturesRateHelper inspectors
//@{
Real convexityAdjustment() const;
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
private:
Time yearFraction_;
Handle<Quote> convAdj_;
};
//! Rate helper for bootstrapping over deposit rates
class DepositRateHelper : public RelativeDateRateHelper {
public:
DepositRateHelper(const Handle<Quote>& rate,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter);
DepositRateHelper(Rate rate,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter);
DepositRateHelper(const Handle<Quote>& rate,
const boost::shared_ptr<IborIndex>& iborIndex);
DepositRateHelper(Rate rate,
const boost::shared_ptr<IborIndex>& iborIndex);
//! \name RateHelper interface
//@{
Real impliedQuote() const;
void setTermStructure(YieldTermStructure*);
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
private:
void initializeDates();
Date fixingDate_;
boost::shared_ptr<IborIndex> iborIndex_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
//! Rate helper for bootstrapping over %FRA rates
class FraRateHelper : public RelativeDateRateHelper {
public:
FraRateHelper(const Handle<Quote>& rate,
Natural monthsToStart,
Natural monthsToEnd,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter);
FraRateHelper(Rate rate,
Natural monthsToStart,
Natural monthsToEnd,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter);
FraRateHelper(const Handle<Quote>& rate,
Natural monthsToStart,
const boost::shared_ptr<IborIndex>& iborIndex);
FraRateHelper(Rate rate,
Natural monthsToStart,
const boost::shared_ptr<IborIndex>& iborIndex);
FraRateHelper(const Handle<Quote>& rate,
Period periodToStart,
Natural lengthInMonths,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter);
FraRateHelper(Rate rate,
Period periodToStart,
Natural lengthInMonths,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter);
FraRateHelper(const Handle<Quote>& rate,
Period periodToStart,
const boost::shared_ptr<IborIndex>& iborIndex);
FraRateHelper(Rate rate,
Period periodToStart,
const boost::shared_ptr<IborIndex>& iborIndex);
//! \name RateHelper interface
//@{
Real impliedQuote() const;
void setTermStructure(YieldTermStructure*);
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
private:
void initializeDates();
Date fixingDate_;
Period periodToStart_;
boost::shared_ptr<IborIndex> iborIndex_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
//! Rate helper for bootstrapping over swap rates
/*! \todo use input SwapIndex to create the swap */
class SwapRateHelper : public RelativeDateRateHelper {
public:
SwapRateHelper(const Handle<Quote>& rate,
const boost::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread = Handle<Quote>(),
const Period& fwdStart = 0*Days,
// exogenous discounting curve
const Handle<YieldTermStructure>& discountingCurve
= Handle<YieldTermStructure>());
SwapRateHelper(const Handle<Quote>& rate,
const Period& tenor,
const Calendar& calendar,
// fixed leg
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
// floating leg
const boost::shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread = Handle<Quote>(),
const Period& fwdStart = 0*Days,
// exogenous discounting curve
const Handle<YieldTermStructure>& discountingCurve
= Handle<YieldTermStructure>());
SwapRateHelper(Rate rate,
const Period& tenor,
const Calendar& calendar,
// fixed leg
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
// floating leg
const boost::shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread = Handle<Quote>(),
const Period& fwdStart = 0*Days,
// exogenous discounting curve
const Handle<YieldTermStructure>& discountingCurve
= Handle<YieldTermStructure>());
SwapRateHelper(Rate rate,
const boost::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread = Handle<Quote>(),
const Period& fwdStart = 0*Days,
// exogenous discounting curve
const Handle<YieldTermStructure>& discountingCurve
= Handle<YieldTermStructure>());
//! \name RateHelper interface
//@{
Real impliedQuote() const;
void setTermStructure(YieldTermStructure*);
//@}
//! \name SwapRateHelper inspectors
//@{
Spread spread() const;
boost::shared_ptr<VanillaSwap> swap() const;
const Period& forwardStart() const;
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
protected:
void initializeDates();
Period tenor_;
Calendar calendar_;
BusinessDayConvention fixedConvention_;
Frequency fixedFrequency_;
DayCounter fixedDayCount_;
boost::shared_ptr<IborIndex> iborIndex_;
boost::shared_ptr<VanillaSwap> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
Handle<Quote> spread_;
Period fwdStart_;
Handle<YieldTermStructure> discountHandle_;
RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;
};
//! Rate helper for bootstrapping over BMA swap rates
class BMASwapRateHelper : public RelativeDateRateHelper {
public:
BMASwapRateHelper(const Handle<Quote>& liborFraction,
const Period& tenor, // swap maturity
Natural settlementDays,
const Calendar& calendar,
// bma leg
const Period& bmaPeriod,
BusinessDayConvention bmaConvention,
const DayCounter& bmaDayCount,
const boost::shared_ptr<BMAIndex>& bmaIndex,
// ibor leg
const boost::shared_ptr<IborIndex>& index);
//! \name RateHelper interface
//@{
Real impliedQuote() const;
void setTermStructure(YieldTermStructure*);
//@}
//! \name Visitability
//@{
void accept(AcyclicVisitor&);
//@}
protected:
void initializeDates();
Period tenor_;
Natural settlementDays_;
Calendar calendar_;
Period bmaPeriod_;
BusinessDayConvention bmaConvention_;
DayCounter bmaDayCount_;
boost::shared_ptr<BMAIndex> bmaIndex_;
boost::shared_ptr<IborIndex> iborIndex_;
boost::shared_ptr<BMASwap> swap_;
RelinkableHandle<YieldTermStructure> termStructureHandle_;
};
}
#endif
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