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Class FxSwapRateHelper

Rate helper for bootstrapping over Fx Swap rates

fwdFx = spotFx + fwdPoint isFxBaseCurrencyCollateralCurrency indicates if the base currency of the fx currency pair is the one used as collateral

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _cal

_cal: Calendar

Private _collHandle

_collHandle: Handle<YieldTermStructure>

Private _collRelinkableHandle

_collRelinkableHandle: RelinkableHandle<YieldTermStructure>

Private _conv

_conv: BusinessDayConvention

Protected _earliestDate

_earliestDate: Date

Private _eom

_eom: boolean

Protected _evaluationDate

_evaluationDate: Date

Private _fixingDays

_fixingDays: Natural

_isDisposed

_isDisposed: boolean = false

Private _isFxBaseCurrencyCollateralCurrency

_isFxBaseCurrencyCollateralCurrency: boolean

Protected _latestDate

_latestDate: Date

Protected _latestRelevantDate

_latestRelevantDate: Date

Protected _maturityDate

_maturityDate: Date

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _pillarDate

_pillarDate: Date

Protected _quote

_quote: Handle<Quote>

Private _spot

_spot: Handle<Quote>

Private _tenor

_tenor: Period

Protected _termStructure

_termStructure: Curve

Private _termStructureHandle

_termStructureHandle: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

accept

bshInit1

bshInit2

deepUpdate

  • deepUpdate(): void

earliestDate

  • earliestDate(): Date

  • earliest relevant date

    The earliest date at which data are needed by the helper in order to provide a quote.

    Returns Date

impliedQuote

  • impliedQuote(): Real

initializeDates

  • initializeDates(): void

latestDate

  • latestDate(): Date

latestRelevantDate

  • latestRelevantDate(): Date

  • latest relevant date

    The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

    Returns Date

maturityDate

  • maturityDate(): Date

  • instrument's maturity date

    Returns Date

pillarDate

  • pillarDate(): Date

quote

quoteError

  • quoteError(): Real

rdbshInit1

rdbshInit2

  • rdbshInit2(quote: Real): void

setTermStructure

update

  • update(): void