DatedOISRateHelper::DatedOISRateHelper(
const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<YieldTermStructure>& discount)
: RateHelper(fixedRate), discountHandle_(discount) {
registerWith(overnightIndex);
registerWith(discountHandle_);
// dummy OvernightIndex with curve/swap arguments
// review here
boost::shared_ptr<IborIndex> clonedIborIndex =
overnightIndex->clone(termStructureHandle_);
shared_ptr<OvernightIndex> clonedOvernightIndex =
boost::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
swap_ = MakeOIS(Period(), clonedOvernightIndex, 0.0)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withEffectiveDate(startDate)
.withTerminationDate(endDate);
earliestDate_ = swap_->startDate();
latestDate_ = swap_->maturityDate();
}
boost::shared_ptr<OvernightIndexedSwap>
OvernightIndexedSwapIndex::underlyingSwap(const Date& fixingDate) const {
QL_REQUIRE(fixingDate!=Date(), "null fixing date");
// caching mechanism
if (lastFixingDate_!=fixingDate) {
Rate fixedRate = 0.0;
lastSwap_ = MakeOIS(tenor_, overnightIndex_, fixedRate)
.withEffectiveDate(valueDate(fixingDate))
.withFixedLegDayCount(dayCounter_);
lastFixingDate_ = fixingDate;
}
return lastSwap_;
}
void OISRateHelper::initializeDates() {
// dummy OvernightIndex with curve/swap arguments
// review here
boost::shared_ptr<IborIndex> clonedIborIndex =
overnightIndex_->clone(termStructureHandle_);
shared_ptr<OvernightIndex> clonedOvernightIndex =
boost::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
swap_ = MakeOIS(tenor_, clonedOvernightIndex, 0.0)
.withSettlementDays(settlementDays_)
.withDiscountingTermStructure(termStructureHandle_);
earliestDate_ = swap_->startDate();
latestDate_ = swap_->maturityDate();
}
void OISRateHelper::initializeDates() {
// dummy OvernightIndex with curve/swap arguments
// review here
boost::shared_ptr<IborIndex> clonedIborIndex =
overnightIndex_->clone(termStructureHandle_);
shared_ptr<OvernightIndex> clonedOvernightIndex =
boost::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
swap_ = MakeOIS(tenor_, clonedOvernightIndex, 0.0)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withSettlementDays(settlementDays_);
earliestDate_ = swap_->startDate();
latestDate_ = swap_->maturityDate();
}
DatedOISRateHelper::DatedOISRateHelper(
const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const boost::shared_ptr<OvernightIndex>& overnightIndex)
: RateHelper(fixedRate) {
registerWith(overnightIndex);
// dummy OvernightIndex with curve/swap arguments
// review here
boost::shared_ptr<IborIndex> clonedIborIndex =
overnightIndex->clone(termStructureHandle_);
shared_ptr<OvernightIndex> clonedOvernightIndex =
boost::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
swap_ = MakeOIS(Period(), clonedOvernightIndex, 0.0)
.withEffectiveDate(startDate)
.withTerminationDate(endDate)
.withDiscountingTermStructure(termStructureHandle_);
earliestDate_ = swap_->startDate();
latestDate_ = swap_->maturityDate();
}
