Reference manual - version qle_version
Cross Ccy Fix Float MtM Reset Swap Rate Helper. More...
#include <qle/termstructures/crossccyfixfloatmtmresetswaphelper.hpp>
Inheritance diagram for CrossCcyFixFloatMtMResetSwapHelper:Public Member Functions | |
| CrossCcyFixFloatMtMResetSwapHelper (const QuantLib::Handle< QuantLib::Quote > &rate, const QuantLib::Handle< QuantLib::Quote > &spotFx, QuantLib::Natural settlementDays, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const QuantLib::Period &tenor, const QuantLib::Currency &fixedCurrency, QuantLib::Frequency fixedFrequency, QuantLib::BusinessDayConvention fixedConvention, const QuantLib::DayCounter &fixedDayCount, const boost::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &floatDiscount, const Handle< Quote > &spread=Handle< Quote >(), bool endOfMonth=false, bool resetsOnFloatLeg=true) | |
RateHelper interface | |
| Real | impliedQuote () const override |
| void | setTermStructure (YieldTermStructure *) override |
Observer interface | |
| void | update () override |
inspectors | |
| boost::shared_ptr< CrossCcyFixFloatMtMResetSwap > | swap () const |
Visitability | |
| QuantLib::Handle< QuantLib::Quote > | spotFx_ |
| QuantLib::Natural | settlementDays_ |
| QuantLib::Calendar | paymentCalendar_ |
| QuantLib::BusinessDayConvention | paymentConvention_ |
| QuantLib::Period | tenor_ |
| QuantLib::Currency | fixedCurrency_ |
| QuantLib::Frequency | fixedFrequency_ |
| QuantLib::BusinessDayConvention | fixedConvention_ |
| QuantLib::DayCounter | fixedDayCount_ |
| boost::shared_ptr< QuantLib::IborIndex > | index_ |
| QuantLib::Handle< QuantLib::YieldTermStructure > | floatDiscount_ |
| QuantLib::Handle< QuantLib::Quote > | spread_ |
| bool | endOfMonth_ |
| bool | resetsOnFloatLeg_ |
| boost::shared_ptr< CrossCcyFixFloatMtMResetSwap > | swap_ |
| RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
| void | accept (AcyclicVisitor &) override |
| void | initializeDates () override |
Cross Ccy Fix Float MtM Reset Swap Rate Helper.
Rate helper for bootstrapping over cross currency fix float (MtM reset) swap
The resets are applied to the domestic leg (foreign currency is constant notional)
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 invertFxIndex flag. The settlement date of the spot is assumed to be equal to the settlement date of the swap itself.
