public SwapRateHelper(double rate,
Period tenor,
Calendar calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
DayCounter fixedDayCount,
IborIndex iborIndex,
Handle <Quote> spread = null,
Period fwdStart = null,
// exogenous discounting curve
Handle <YieldTermStructure> discount = null,
int?settlementDays = null,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
settlementDays_ = settlementDays;
tenor_ = tenor;
pillarChoice_ = pillarChoice;
calendar_ = calendar;
fixedConvention_ = fixedConvention;
fixedFrequency_ = fixedFrequency;
fixedDayCount_ = fixedDayCount;
spread_ = spread ?? new Handle <Quote>();
fwdStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
if (settlementDays_ == null)
{
settlementDays_ = iborIndex.fixingDays();
}
// take fixing into account
iborIndex_ = iborIndex.clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_.registerWith(update);
spread_.registerWith(update);
discountHandle_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}
public FraRateHelper(double rate,
int monthsToStart,
int monthsToEnd,
int fixingDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
DayCounter dayCounter,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
periodToStart_ = new Period(monthsToStart, TimeUnit.Months);
pillarChoice_ = pillarChoice;
Utils.QL_REQUIRE(monthsToEnd > monthsToStart, () =>
"monthsToEnd (" + monthsToEnd + ") must be grater than monthsToStart (" + monthsToStart + ")");
iborIndex_ = new IborIndex("no-fix", new Period(monthsToEnd - monthsToStart, TimeUnit.Months), fixingDays,
new Currency(), calendar, convention, endOfMonth, dayCounter, termStructureHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
public SwapRateHelper(Handle <Quote> rate,
SwapIndex swapIndex,
Handle <Quote> spread = null,
Period fwdStart = null,
// exogenous discounting curve
Handle <YieldTermStructure> discount = null,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
spread_ = spread ?? new Handle <Quote>();
fwdStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = swapIndex.fixingDays();
tenor_ = swapIndex.tenor();
pillarChoice_ = pillarChoice;
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
iborIndex_ = swapIndex.iborIndex();
fwdStart_ = fwdStart;
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
// take fixing into account
iborIndex_ = swapIndex.iborIndex().clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_.registerWith(update);
spread_.registerWith(update);
discountHandle_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}
public FraRateHelper(double rate,
Period periodToStart,
int lengthInMonths,
int fixingDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
DayCounter dayCounter,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
periodToStart_ = periodToStart;
pillarChoice_ = pillarChoice;
// no way to take fixing into account,
// even if we would like to for FRA over today
iborIndex_ = new IborIndex("no-fix", // correct family name would be needed
new Period(lengthInMonths, TimeUnit.Months),
fixingDays,
new Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
public FraRateHelper(double rate, uint monthsToStart, uint monthsToEnd, uint fixingDays, Calendar calendar, BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter, Pillar.Choice pillar) : this(NQuantLibcPINVOKE.new_FraRateHelper__SWIG_4(rate, monthsToStart, monthsToEnd, fixingDays, Calendar.getCPtr(calendar), (int)convention, endOfMonth, DayCounter.getCPtr(dayCounter), (int)pillar), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, uint settlementDays, Pillar.Choice pillar) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_1(QuoteHandle.getCPtr(rate), Period.getCPtr(tenor), Calendar.getCPtr(calendar), (int)fixedFrequency, (int)fixedConvention, DayCounter.getCPtr(fixedDayCount), IborIndex.getCPtr(index), QuoteHandle.getCPtr(spread), Period.getCPtr(fwdStart), YieldTermStructureHandle.getCPtr(discountingCurve), settlementDays, (int)pillar), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, Pillar.Choice pillar) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_21(rate, SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread), Period.getCPtr(fwdStart), YieldTermStructureHandle.getCPtr(discountingCurve), (int)pillar), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
