QuantLib: FraRateHelper Class Reference

Rate helper for bootstrapping over FRA rates. More...

#include <ratehelpers.hpp>

Inheritance diagram for FraRateHelper:

Collaboration diagram for FraRateHelper:

Public Member Functions
	FraRateHelper (const std::variant< Rate, Handle< Quote > > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const std::variant< Rate, Handle< Quote > > &rate, Natural monthsToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const std::variant< Rate, Handle< Quote > > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const std::variant< Rate, Handle< Quote > > &rate, Period periodToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const std::variant< Rate, Handle< Quote > > &rate, Natural immOffsetStart, Natural immOffsetEnd, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

	FraRateHelper (const std::variant< Rate, Handle< Quote > > &rate, Date startDate, Date endDate, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)

RateHelper interface
Real	impliedQuote () const override

void	setTermStructure (YieldTermStructure *) override

Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)

void	update () override

Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)

	~BootstrapHelper () override=default

const Handle< Quote > &	quote () const

Real	quoteError () const

virtual void	setTermStructure (TS *)
	sets the term structure to be used for pricing More...

virtual Date	earliestDate () const
	earliest relevant date More...

virtual Date	maturityDate () const
	instrument's maturity date More...

virtual Date	latestRelevantDate () const
	latest relevant date More...

virtual Date	pillarDate () const
	pillar date More...

virtual Date	latestDate () const
	latest date More...

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Visitability
Date	fixingDate_

ext::optional< Period >	periodToStart_

ext::optional< Natural >	immOffsetStart_

ext::optional< Natural >	immOffsetEnd_

Pillar::Choice	pillarChoice_

ext::shared_ptr< IborIndex >	iborIndex_

RelinkableHandle< YieldTermStructure >	termStructureHandle_

bool	useIndexedCoupon_

Real	spanningTime_

void	accept (AcyclicVisitor &) override

void	initializeDates () override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_

bool	updateDates_

Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_

TS *	termStructure_

Date	earliestDate_

Date	latestDate_

Date	maturityDate_

Date	latestRelevantDate_

Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over FRA rates.

Definition at line 124 of file ratehelpers.hpp.

Constructor & Destructor Documentation

◆ FraRateHelper() [1/6]

FraRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		Natural	monthsToStart,
		Natural	monthsToEnd,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 251 of file ratehelpers.cpp.

◆ FraRateHelper() [2/6]

FraRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		Natural	monthsToStart,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 270 of file ratehelpers.cpp.

◆ FraRateHelper() [3/6]

FraRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		Period	periodToStart,
		Natural	lengthInMonths,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 279 of file ratehelpers.cpp.

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◆ FraRateHelper() [4/6]

FraRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		Period	periodToStart,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 303 of file ratehelpers.cpp.

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◆ FraRateHelper() [5/6]

FraRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		Natural	immOffsetStart,
		Natural	immOffsetEnd,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 322 of file ratehelpers.cpp.

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◆ FraRateHelper() [6/6]

FraRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		Date	startDate,
		Date	endDate,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Pillar::Choice	pillar = `Pillar::LastRelevantDate`,
		Date	customPillarDate = `Date()`,
		bool	useIndexedCoupon = `true`
	)

Definition at line 340 of file ratehelpers.cpp.

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Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 360 of file ratehelpers.cpp.

◆ setTermStructure()

void setTermStructure ( YieldTermStructure * t )

override

Definition at line 371 of file ratehelpers.cpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 452 of file ratehelpers.cpp.

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◆ initializeDates()

void initializeDates ( )

overrideprivatevirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 392 of file ratehelpers.cpp.

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Member Data Documentation

◆ fixingDate_

Date fixingDate_

private

Definition at line 185 of file ratehelpers.hpp.

◆ periodToStart_

ext::optional<Period> periodToStart_

private

Definition at line 186 of file ratehelpers.hpp.

◆ immOffsetStart_

ext::optional<Natural> immOffsetStart_

private

Definition at line 187 of file ratehelpers.hpp.

◆ immOffsetEnd_

ext::optional<Natural> immOffsetEnd_

private

Definition at line 187 of file ratehelpers.hpp.

◆ pillarChoice_

Pillar::Choice pillarChoice_

private

Definition at line 188 of file ratehelpers.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 189 of file ratehelpers.hpp.

◆ termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 190 of file ratehelpers.hpp.

◆ useIndexedCoupon_

bool useIndexedCoupon_

private

Definition at line 191 of file ratehelpers.hpp.

◆ spanningTime_

Real spanningTime_

private

Definition at line 192 of file ratehelpers.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FraRateHelper() [1/6]

◆ FraRateHelper() [2/6]

◆ FraRateHelper() [3/6]

◆ FraRateHelper() [4/6]

◆ FraRateHelper() [5/6]

◆ FraRateHelper() [6/6]

Member Function Documentation

◆ impliedQuote()

◆ setTermStructure()

◆ accept()

◆ initializeDates()

Member Data Documentation

◆ fixingDate_

◆ periodToStart_

◆ immOffsetStart_

◆ immOffsetEnd_

◆ pillarChoice_

◆ iborIndex_

◆ termStructureHandle_

◆ useIndexedCoupon_

◆ spanningTime_