public BasisSwapHelper(Handle <Quote> spreadQuote,
int settlementDays,
Period swapTenor,
Calendar settlementCalendar,
BusinessDayConvention rollConvention,
IborIndex shortIndex,
IborIndex longIndex,
Handle <YieldTermStructure> discount = null,
bool eom = true,
bool spreadOnShort = true)
: base(spreadQuote)
{
settlementDays_ = settlementDays;
settlementCalendar_ = settlementCalendar;
swapTenor_ = swapTenor;
rollConvention_ = rollConvention;
shortIndex_ = shortIndex;
longIndex_ = longIndex;
spreadOnShort_ = spreadOnShort;
eom_ = eom;
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
bool shortIndexHasCurve = !shortIndex_.forwardingTermStructure().empty();
bool longIndexHasCurve = !longIndex_.forwardingTermStructure().empty();
Utils.QL_REQUIRE(!(shortIndexHasCurve && longIndexHasCurve), () => "Have all curves, nothing to solve for.");
/* Link the curve being bootstrapped to the index if the index has
* no projection curve */
if (!shortIndexHasCurve)
{
shortIndex_ = shortIndex_.clone(termStructureHandle_);
//shortIndex_.unregisterWith(termStructureHandle_.link.update);
}
else if (!longIndexHasCurve)
{
longIndex_ = longIndex_.clone(termStructureHandle_);
//longIndex_.unregisterWith(termStructureHandle_.link.update);
}
else
{
Utils.QL_FAIL("Need one leg of the basis swap to have its forward curve.");
}
shortIndex_.registerWith(update);
longIndex_.registerWith(update);
discountHandle_.registerWith(update);
initializeDates();
}
public FraRateHelper(double rate,
Period periodToStart,
IborIndex iborIndex,
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_ = iborIndex.clone(termStructureHandle_);
iborIndex_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}
public FraRateHelper(double rate,
int monthsToStart,
IborIndex i,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
periodToStart_ = new Period(monthsToStart, TimeUnit.Months);
pillarChoice_ = pillarChoice;
iborIndex_ = i.clone(termStructureHandle_);
iborIndex_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}
public FraRateHelper(Handle <Quote> rate,
int monthsToStart, IborIndex i,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
periodToStart_ = new Period(monthsToStart, TimeUnit.Months);
pillarChoice_ = pillarChoice;
iborIndex_ = i.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);
pillarDate_ = customPillarDate;
initializeDates();
}
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 DepositRateHelper(double rate, IborIndex i)
: base(rate)
{
iborIndex_ = i.clone(termStructureHandle_);
initializeDates();
}