QuantLib_FxSwapRateHelper man page

FxSwapRateHelper — Rate helper for bootstrapping over Fx Swap rates.  


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

Inherits RelativeDateBootstrapHelper< TS >.

Public Member Functions

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 > &collateralCurve, const Calendar &tradingCalendar=Calendar())

RateHelper interface

Real impliedQuote () const
void setTermStructure (YieldTermStructure *)

FxSwapRateHelper inspectors

Real spot () const
Period tenor () const
Natural fixingDays () const
Calendar calendar () const
BusinessDayConvention businessDayConvention () const
bool endOfMonth () const
bool isFxBaseCurrencyCollateralCurrency () const
Calendar tradingCalendar () const
Calendar adjustmentCalendar () const


void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

Rate helper for bootstrapping over Fx Swap rates.

The forward is given by fwdFx = spotFx + fwdPoint.

isFxBaseCurrencyCollateralCurrency indicates if the base currency of the FX currency pair is the one used as collateral.

calendar is usually the joint calendar of the two currencies in the pair.

tradingCalendar can be used when the cross pairs don't include the currency of the business center (usually USD; the corresponding calendar is UnitedStates). If given, it will be used for adjusting the earliest settlement date and for setting the latest date. Due to FX spot market conventions, it is not sufficient to pass a JointCalendar with UnitedStates included as calendar; with regard the earliest date, this calendar is only used in case the spot date of the two currencies is not a US business day.


The ON fx swaps can be achieved by setting fixingDays to 0 and using a tenor of '1d'. The same tenor should be used for TN swaps, with fixingDays set to 1. However, handling ON and TN swaps for cross rates without USD is not trivial and should be treated with caution. If today is a US holiday, ON trade is not possible. If tomorrow is a US Holiday, the ON trade will be at least two business days long in the other countries and the TN trade will not exist. In such cases, if this helper is used for curve construction, probably it is safer not to pass a trading calendar to the ON and TN helpers and provide fwdPoints that will yield proper level of discount factors.


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Referenced By

The man pages adjustmentCalendar(3), FxSwapRateHelper(3), isFxBaseCurrencyCollateralCurrency(3), spot(3), tenor(3) and tradingCalendar(3) are aliases of QuantLib_FxSwapRateHelper(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib