AssetSwapHelper::AssetSwapHelper(
const Handle<Quote>& spread,
const Period& tenor,
Natural settlementDays,
const Calendar& calendar,
const Period& fixedPeriod,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const Period& floatPeriod,
BusinessDayConvention floatConvention,
const DayCounter& floatDayCount,
Real recoveryRate,
const RelinkableHandle<YieldTermStructure>& yieldTS,
const Period& integrationStepSize)
: DefaultProbabilityHelper(spread),
tenor_(tenor), settlementDays_(settlementDays), calendar_(calendar),
fixedConvention_(fixedConvention),
fixedPeriod_(fixedPeriod), fixedDayCount_(fixedDayCount),
floatConvention_(floatConvention),
floatPeriod_(floatPeriod), floatDayCount_(floatDayCount),
recoveryRate_(recoveryRate), yieldTS_(yieldTS),
integrationStepSize_(integrationStepSize) {
initializeDates();
registerWith(Settings::instance().evaluationDate());
registerWith(yieldTS);
}
SwapRateHelper::SwapRateHelper(Rate rate,
const shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount)
: RelativeDateRateHelper(rate),
settlementDays_(swapIndex->fixingDays()),
tenor_(swapIndex->tenor()), calendar_(swapIndex->fixingCalendar()),
fixedConvention_(swapIndex->fixedLegConvention()),
fixedFrequency_(swapIndex->fixedLegTenor().frequency()),
fixedDayCount_(swapIndex->dayCounter()),
spread_(spread),
fwdStart_(fwdStart), discountHandle_(discount) {
// 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_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
initializeDates();
}
void ForwardSwapQuote::update() {
if (evaluationDate_ != Settings::instance().evaluationDate()) {
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
LazyObject::update();
}
SwapRateHelper::SwapRateHelper(Rate rate,
const Period& tenor,
const Calendar& calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount,
Natural settlementDays)
: RelativeDateRateHelper(rate),
settlementDays_(settlementDays),
tenor_(tenor), calendar_(calendar),
fixedConvention_(fixedConvention),
fixedFrequency_(fixedFrequency),
fixedDayCount_(fixedDayCount),
spread_(spread),
fwdStart_(fwdStart), discountHandle_(discount) {
if (settlementDays_==Null<Natural>())
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_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
initializeDates();
}
UpfrontCdsHelper::UpfrontCdsHelper(
Rate upfrontSpread,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays,
bool settlesAccrual,
bool paysAtDefaultTime,
const Date& startDate,
const DayCounter& lastPeriodDayCounter,
const bool rebatesAccrual,
const CreditDefaultSwap::PricingModel model)
: CdsHelper(upfrontSpread, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual, paysAtDefaultTime,
startDate, lastPeriodDayCounter, rebatesAccrual, model),
upfrontSettlementDays_(upfrontSettlementDays),
runningSpread_(runningSpread) {
initializeDates();
}
SwapRateHelper::SwapRateHelper(Rate rate,
const Period& tenor,
const Calendar& calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount)
: RelativeDateRateHelper(rate),
tenor_(tenor), calendar_(calendar),
fixedConvention_(fixedConvention),
fixedFrequency_(fixedFrequency),
fixedDayCount_(fixedDayCount),
spread_(spread),
fwdStart_(fwdStart), discountHandle_(discount) {
// take fixing into account
iborIndex_ = iborIndex->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
initializeDates();
}
//! \name Observer interface
//@{
void update() {
if (evaluationDate_ != Settings::instance().evaluationDate()) {
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
BootstrapHelper<TS>::update();
}
CdsHelper::CdsHelper(Rate quote, const Period &tenor,
Integer settlementDays, const Calendar &calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter &dayCounter, Real recoveryRate,
const Handle<YieldTermStructure> &discountCurve,
bool settlesAccrual, bool paysAtDefaultTime,
const Date& startDate,
const DayCounter &lastPeriodDayCounter,
const bool rebatesAccrual,
const CreditDefaultSwap::PricingModel model)
: RelativeDateDefaultProbabilityHelper(quote), tenor_(tenor),
settlementDays_(settlementDays), calendar_(calendar),
frequency_(frequency), paymentConvention_(paymentConvention),
rule_(rule), dayCounter_(dayCounter), recoveryRate_(recoveryRate),
discountCurve_(discountCurve), settlesAccrual_(settlesAccrual),
paysAtDefaultTime_(paysAtDefaultTime),
lastPeriodDC_(lastPeriodDayCounter), rebatesAccrual_(rebatesAccrual),
model_(model), startDate_(startDate){
initializeDates();
registerWith(discountCurve);
}
static void initializeThreadingOnce()
{
WTI::initializeThreading();
initializeUString();
#if ENABLE(JSC_MULTIPLE_THREADS)
s_dtoaP5Mutex = new Mutex;
initializeDates();
#endif
}
void AssetSwapHelper::setTermStructure(
DefaultProbabilityTermStructure* ts) {
DefaultProbabilityHelper::setTermStructure(ts);
probability_.linkTo(
boost::shared_ptr<DefaultProbabilityTermStructure>(ts, no_deletion),
false);
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Period periodToStart,
const shared_ptr<IborIndex>& i)
: RelativeDateRateHelper(rate), periodToStart_(periodToStart) {
// take fixing into account
iborIndex_ = i->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
initializeDates();
}
ForwardSwapQuote::ForwardSwapQuote(
const boost::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart)
: swapIndex_(swapIndex), spread_(spread), fwdStart_(fwdStart) {
registerWith(swapIndex_);
registerWith(spread_);
registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
DepositRateHelper::DepositRateHelper(Rate rate,
const shared_ptr<IborIndex>& i)
: RelativeDateRateHelper(rate) {
// do not use clone, as we do not want to take fixing into account
iborIndex_ = shared_ptr<IborIndex>(new
IborIndex("no-fix", // never take fixing into account
i->tenor(), i->fixingDays(), Currency(),
i->fixingCalendar(), i->businessDayConvention(),
i->endOfMonth(), i->dayCounter(), termStructureHandle_));
initializeDates();
}
static void initializeThreadingOnce()
{
WTI::initializeThreading();
wtfThreadData();
initializeUString();
TiGlobalData::storeVPtrs();
#if ENABLE(JSC_MULTIPLE_THREADS)
s_dtoaP5Mutex = new Mutex;
initializeDates();
#endif
}
OISRateHelper::OISRateHelper(
Natural settlementDays,
const Period& tenor, // swap maturity
const Handle<Quote>& fixedRate,
const boost::shared_ptr<OvernightIndex>& overnightIndex)
: RelativeDateRateHelper(fixedRate),
settlementDays_(settlementDays), tenor_(tenor),
overnightIndex_(overnightIndex) {
registerWith(overnightIndex_);
initializeDates();
}
FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
Natural monthsToStart,
const shared_ptr<IborIndex>& i)
: RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months) {
// take fixing into account
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_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
initializeDates();
}
void initializeThreading()
{
// This should only be called once.
ASSERT(!atomicallyInitializedStaticMutex);
// StringImpl::empty() does not construct its static string in a threadsafe fashion,
// so ensure it has been initialized from here.
StringImpl::empty();
atomicallyInitializedStaticMutex = new Mutex;
threadMapMutex();
wtfThreadData();
s_dtoaP5Mutex = new Mutex;
initializeDates();
}
static void initializeThreadingOnce()
{
// StringImpl::empty() does not construct its static string in a threadsafe fashion,
// so ensure it has been initialized from here.
StringImpl::empty();
WTF::initializeThreading();
wtfThreadData();
JSGlobalData::storeVPtrs();
#if ENABLE(JSC_MULTIPLE_THREADS)
s_dtoaP5Mutex = new Mutex;
initializeDates();
RegisterFile::initializeThreading();
#endif
}
DepositRateHelper::DepositRateHelper(Rate rate,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate) {
iborIndex_ = shared_ptr<IborIndex>(new
IborIndex("no-fix", // never take fixing into account
tenor, fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_));
initializeDates();
}
void initializeThreading() {
// This should only be called once.
DCHECK(!atomicallyInitializedStaticMutex);
// StringImpl::empty() does not construct its static string in a threadsafe
// fashion, so ensure it has been initialized from here.
StringImpl::empty();
StringImpl::empty16Bit();
atomicallyInitializedStaticMutex = new Mutex;
wtfThreadData();
initializeDates();
// Force initialization of static DoubleToStringConverter converter variable
// inside EcmaScriptConverter function while we are in single thread mode.
double_conversion::DoubleToStringConverter::EcmaScriptConverter();
}
void initializeThreading()
{
if (atomicallyInitializedStaticMutex)
return;
WTF::double_conversion::initialize();
// StringImpl::empty() does not construct its static string in a threadsafe fashion,
// so ensure it has been initialized from here.
StringImpl::empty();
atomicallyInitializedStaticMutex = new Mutex;
threadMapMutex();
initializeRandomNumberGenerator();
wtfThreadData();
s_dtoaP5Mutex = new Mutex;
initializeDates();
}
void initializeThreading()
{
static bool isInitialized;
if (isInitialized)
return;
isInitialized = true;
WTF::double_conversion::initialize();
// StringImpl::empty() does not construct its static string in a threadsafe fashion,
// so ensure it has been initialized from here.
StringImpl::empty();
threadMapMutex();
initializeRandomNumberGenerator();
wtfThreadData();
initializeDates();
}
void initializeThreading()
{
if (atomicallyInitializedStaticMutex)
return;
// StringImpl::empty() does not construct its static string in a threadsafe fashion,
// so ensure it has been initialized from here.
StringImpl::empty();
atomicallyInitializedStaticMutex = new Mutex;
threadMapMutex();
initializeRandomNumberGenerator();
ThreadIdentifierData::initializeOnce();
wtfThreadData();
#if ENABLE(WTF_MULTIPLE_THREADS)
s_dtoaP5Mutex = new Mutex;
initializeDates();
#endif
}
FxSwapRateHelper::FxSwapRateHelper(const Handle<Quote>& fwdPoint,
const Handle<Quote>& spotFx,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
bool isFxBaseCurrencyCollateralCurrency,
const Handle<YieldTermStructure>& coll)
: RelativeDateRateHelper(fwdPoint), spot_(spotFx), tenor_(tenor),
fixingDays_(fixingDays), cal_(calendar), conv_(convention),
eom_(endOfMonth),
isFxBaseCurrencyCollateralCurrency_(isFxBaseCurrencyCollateralCurrency),
collHandle_(coll) {
registerWith(spot_);
registerWith(collHandle_);
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Period periodToStart,
Natural lengthInMonths,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate),periodToStart_(periodToStart) {
// no way to take fixing into account,
// even if we would like to for FRA over today
iborIndex_ = shared_ptr<IborIndex>(new
IborIndex("no-fix", // correct family name would be needed
lengthInMonths*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_));
initializeDates();
}
SwapRateHelper::SwapRateHelper(Rate rate,
const shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount)
: RelativeDateRateHelper(rate),
tenor_(swapIndex->tenor()), calendar_(swapIndex->fixingCalendar()),
fixedConvention_(swapIndex->fixedLegConvention()),
fixedFrequency_(swapIndex->fixedLegTenor().frequency()),
fixedDayCount_(swapIndex->dayCounter()),
spread_(spread),
fwdStart_(fwdStart), discountHandle_(discount) {
// take fixing into account
iborIndex_ = swapIndex->iborIndex()->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Natural monthsToStart,
Natural monthsToEnd,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate),periodToStart_(monthsToStart*Months) {
QL_REQUIRE(monthsToEnd>monthsToStart,
"monthsToEnd (" << monthsToEnd <<
") must be grater than monthsToStart (" << monthsToStart <<
")");
// no way to take fixing into account,
// even if we would like to for FRA over today
iborIndex_ = shared_ptr<IborIndex>(new
IborIndex("no-fix", // correct family name would be needed
(monthsToEnd-monthsToStart)*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_));
initializeDates();
}
UpfrontCdsHelper::UpfrontCdsHelper(
const Handle<Quote>& upfront,
Rate runningSpread,
const Period& tenor,
Integer settlementDays,
const Calendar& calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration::Rule rule,
const DayCounter& dayCounter,
Real recoveryRate,
const Handle<YieldTermStructure>& discountCurve,
Natural upfrontSettlementDays,
bool settlesAccrual,
bool paysAtDefaultTime)
: CdsHelper(upfront, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual,
paysAtDefaultTime),
upfrontSettlementDays_(upfrontSettlementDays),
runningSpread_(runningSpread) {
initializeDates();
}
BMASwapRateHelper::BMASwapRateHelper(
const Handle<Quote>& liborFraction,
const Period& tenor,
Natural settlementDays,
const Calendar& calendar,
// bma leg
const Period& bmaPeriod,
BusinessDayConvention bmaConvention,
const DayCounter& bmaDayCount,
const shared_ptr<BMAIndex>& bmaIndex,
// libor leg
const shared_ptr<IborIndex>& iborIndex)
: RelativeDateRateHelper(liborFraction),
tenor_(tenor), settlementDays_(settlementDays),
calendar_(calendar),
bmaPeriod_(bmaPeriod),
bmaConvention_(bmaConvention),
bmaDayCount_(bmaDayCount),
bmaIndex_(bmaIndex),
iborIndex_(iborIndex) {
registerWith(iborIndex_);
registerWith(bmaIndex_);
initializeDates();
}
DepositRateHelper::DepositRateHelper(Rate rate,
const shared_ptr<IborIndex>& i)
: RelativeDateRateHelper(rate) {
iborIndex_ = i->clone(termStructureHandle_);
initializeDates();
}