overnightindexfutureratehelper.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2018 Roy Zywina
 Copyright (C) 2019 Eisuke Tani

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <https://www.quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file overnightindexfutureratehelper.hpp
    \brief Overnight Index Future bootstrap helper
*/

#ifndef quantlib_overnightindexfutureratehelper_hpp
#define quantlib_overnightindexfutureratehelper_hpp

#include <ql/instruments/overnightindexfuture.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>

namespace QuantLib {

    //! RateHelper for bootstrapping over overnight compounding futures
    class OvernightIndexFutureRateHelper : public RateHelper {
      public:
        OvernightIndexFutureRateHelper(const Handle<Quote>& price,
                                       // first day of reference period
                                       const Date& valueDate,
                                       // delivery date
                                       const Date& maturityDate,
                                       const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                       const Handle<Quote>& convexityAdjustment = {},
                                       RateAveraging::Type averagingMethod = RateAveraging::Compound,
                                       const Date& customPillarDate = Date());

        //! \name RateHelper interface
        //@{
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
        //@}
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
        Real convexityAdjustment() const;
      private:
        ext::shared_ptr<OvernightIndexFuture> future_;
        RelinkableHandle<YieldTermStructure> termStructureHandle_;
    };

    //! RateHelper for bootstrapping over CME SOFR futures
    /*! It compounds overnight SOFR rates from the third Wednesday
        of the reference month/year (inclusive) to the third Wednesday
        of the month one Month/Quarter later (exclusive).

        It requires the index history to be populated when the
        reference period starts in the past.
    */
    class SofrFutureRateHelper : public OvernightIndexFutureRateHelper {
      public:
        SofrFutureRateHelper(const Handle<Quote>& price,
                             Month referenceMonth,
                             Year referenceYear,
                             Frequency referenceFreq,
                             const Handle<Quote>& convexityAdjustment = {},
                             const Date& customPillarDate = Date());

        SofrFutureRateHelper(Real price,
                             Month referenceMonth,
                             Year referenceYear,
                             Frequency referenceFreq,
                             Real convexityAdjustment = 0.0,
                             const Date& customPillarDate = Date());
    };

}

#endif