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March 13, 2023 07:26
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QuantLib YieldCurve6.h
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| // Author: Dimitri Reiswich | |
| #include <boost/assign/std/vector.hpp> | |
| // #include <boost/assign.hpp> | |
| std::vector<boost::shared_ptr<RateHelper>> getRateHelperVector() | |
| { | |
| std::vector<boost::shared_ptr<RateHelper>> instruments; | |
| std::vector<Rate> liborRates; | |
| liborRates.push_back(0.24375); | |
| liborRates.push_back(0.25813); | |
| liborRates.push_back(0.29969); | |
| liborRates.push_back(0.44438); | |
| liborRates.push_back(0.59125); | |
| liborRates.push_back(0.68250); | |
| liborRates.push_back(0.79125); | |
| liborRates.push_back(0.89750); | |
| liborRates.push_back(0.99750); | |
| liborRates.push_back(1.08125); | |
| liborRates.push_back(1.16625); | |
| liborRates.push_back(1.26125); | |
| // liborRates+=0.24375,0.25813,0.29969,0.44438,0.59125, 0.68250,0.79125, | |
| // 0.89750,0.99750,1.08125,1.16625,1.26125; | |
| BOOST_FOREACH (Rate &x, liborRates) | |
| x /= 100.0; | |
| std::vector<Rate> fraRates; | |
| fraRates.push_back(1.267); | |
| fraRates.push_back(1.650); | |
| fraRates.push_back(2.013); | |
| BOOST_FOREACH (Rate &x, fraRates) | |
| x /= 100.0; | |
| std::vector<Rate> swapRates; | |
| swapRates.push_back(1.226); | |
| swapRates.push_back(1.846); | |
| swapRates.push_back(2.324); | |
| swapRates.push_back(2.678); | |
| swapRates.push_back(2.958); | |
| swapRates.push_back(3.180); | |
| swapRates.push_back(3.340); | |
| swapRates.push_back(3.474); | |
| swapRates.push_back(3.588); | |
| BOOST_FOREACH (Rate &x, swapRates) | |
| x /= 100.0; | |
| // ++++++++++++++++++++ 1w USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor1w(new SimpleQuote(0.0024063)); | |
| Handle<Quote> libor1wHandle(libor1w); | |
| // index | |
| boost::shared_ptr<IborIndex> libor1wIndex(new USDLibor(Period(1, Weeks))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper1w(new DepositRateHelper(libor1wHandle, libor1wIndex)); | |
| instruments.push_back(rateHelper1w); | |
| // ++++++++++++++++++++ 2w USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor2w(new SimpleQuote(0.0024375)); | |
| Handle<Quote> libor2wHandle(libor2w); | |
| // index | |
| boost::shared_ptr<IborIndex> libor2wIndex(new USDLibor(Period(2, Weeks))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper2w(new DepositRateHelper(libor2wHandle, libor2wIndex)); | |
| instruments.push_back(rateHelper2w); | |
| // ++++++++++++++++++++ 1m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor1m(new SimpleQuote(liborRates[0])); | |
| Handle<Quote> libor1mHandle(libor1m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor1mIndex(new USDLibor(Period(1, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper1m(new DepositRateHelper(libor1mHandle, libor1mIndex)); | |
| instruments.push_back(rateHelper1m); | |
| // ++++++++++++++++++++ 2m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor2m(new SimpleQuote(liborRates[1])); | |
| Handle<Quote> libor2mHandle(libor2m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor2mIndex(new USDLibor(Period(2, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper2m(new DepositRateHelper(libor2mHandle, libor2mIndex)); | |
| instruments.push_back(rateHelper2m); | |
| // ++++++++++++++++++++ 3m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor3m(new SimpleQuote(liborRates[2])); | |
| Handle<Quote> libor3mHandle(libor3m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor3mIndex(new USDLibor(Period(3, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper3m(new DepositRateHelper(libor3mHandle, libor3mIndex)); | |
| instruments.push_back(rateHelper3m); | |
| // ++++++++++++++++++++ 4m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor4m(new SimpleQuote(liborRates[3])); | |
| Handle<Quote> libor4mHandle(libor4m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor4mIndex(new USDLibor(Period(4, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper4m(new DepositRateHelper(libor4mHandle, libor4mIndex)); | |
| instruments.push_back(rateHelper4m); | |
| // ++++++++++++++++++++ 5m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor5m(new SimpleQuote(liborRates[4])); | |
| Handle<Quote> libor5mHandle(libor5m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor5mIndex(new USDLibor(Period(5, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper5m(new DepositRateHelper(libor5mHandle, libor5mIndex)); | |
| instruments.push_back(rateHelper5m); | |
| // ++++++++++++++++++++ 6m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor6m(new SimpleQuote(liborRates[5])); | |
| Handle<Quote> libor6mHandle(libor6m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor6mIndex(new USDLibor(Period(6, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper6m(new DepositRateHelper(libor6mHandle, libor6mIndex)); | |
| instruments.push_back(rateHelper6m); | |
| // ++++++++++++++++++++ 7m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor7m(new SimpleQuote(liborRates[6])); | |
| Handle<Quote> libor7mHandle(libor7m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor7mIndex(new USDLibor(Period(7, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper7m(new DepositRateHelper(libor7mHandle, libor7mIndex)); | |
| instruments.push_back(rateHelper7m); | |
| // ++++++++++++++++++++ 8m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor8m(new SimpleQuote(liborRates[7])); | |
| Handle<Quote> libor8mHandle(libor8m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor8mIndex(new USDLibor(Period(8, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper8m(new DepositRateHelper(libor8mHandle, libor8mIndex)); | |
| instruments.push_back(rateHelper8m); | |
| // ++++++++++++++++++++ 9m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor9m(new SimpleQuote(liborRates[8])); | |
| Handle<Quote> libor9mHandle(libor9m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor9mIndex(new USDLibor(Period(9, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper9m(new DepositRateHelper(libor9mHandle, libor9mIndex)); | |
| instruments.push_back(rateHelper9m); | |
| // ++++++++++++++++++++ 10m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor10m(new SimpleQuote(liborRates[9])); | |
| Handle<Quote> libor10mHandle(libor10m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor10mIndex(new USDLibor(Period(10, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper10m(new DepositRateHelper(libor10mHandle, libor10mIndex)); | |
| instruments.push_back(rateHelper10m); | |
| // ++++++++++++++++++++ 11m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor11m(new SimpleQuote(liborRates[10])); | |
| Handle<Quote> libor11mHandle(libor11m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor11mIndex(new USDLibor(Period(11, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper11m(new DepositRateHelper(libor11mHandle, libor11mIndex)); | |
| instruments.push_back(rateHelper11m); | |
| // ++++++++++++++++++++ 12m USD Libor ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> libor12m(new SimpleQuote(liborRates[11])); | |
| Handle<Quote> libor12mHandle(libor12m); | |
| // index | |
| boost::shared_ptr<IborIndex> libor12mIndex(new USDLibor(Period(12, Months))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper12m(new DepositRateHelper(libor12mHandle, libor12mIndex)); | |
| instruments.push_back(rateHelper12m); | |
| // ++++++++++++++++++++ 12X15 FRA ++++++++++++++++++++++++++++++++++++++++ | |
| boost::shared_ptr<Quote> fra12x15m(new SimpleQuote(fraRates[0])); | |
| Handle<Quote> fra12x15mHandle(fra12x15m); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper12x15m(new FraRateHelper(fra12x15mHandle, Period(12, Months), | |
| libor3mIndex)); | |
| instruments.push_back(rateHelper12x15m); | |
| // ++++++++++++++++++++ 15X18 FRA ++++++++++++++++++++++++++++++++++++++++ | |
| boost::shared_ptr<Quote> fra15x18m(new SimpleQuote(fraRates[1])); | |
| Handle<Quote> fra15x18mHandle(fra15x18m); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper15x18m(new FraRateHelper(fra15x18mHandle, Period(15, Months), libor3mIndex)); | |
| instruments.push_back(rateHelper15x18m); | |
| // ++++++++++++++++++++ 18X21 FRA ++++++++++++++++++++++++++++++++++++++++ | |
| boost::shared_ptr<Quote> fra18x21m(new SimpleQuote(fraRates[2])); | |
| Handle<Quote> fra18x21mHandle(fra18x21m); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper18x21m(new FraRateHelper(fra18x21mHandle, Period(18, Months), libor3mIndex)); | |
| instruments.push_back(rateHelper18x21m); | |
| // ++++++++++++++++++++ 2Y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap2y(new SimpleQuote(swapRates[0])); | |
| Handle<Quote> swap2yHandle(swap2y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap2yIndex(new UsdLiborSwapIsdaFixAm(Period(2, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper2y(new SwapRateHelper(swap2yHandle, swap2yIndex)); | |
| instruments.push_back(rateHelper2y); | |
| // ++++++++++++++++++++ 3y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap3y(new SimpleQuote(swapRates[1])); | |
| Handle<Quote> swap3yHandle(swap3y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap3yIndex(new UsdLiborSwapIsdaFixAm(Period(3, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper3y(new SwapRateHelper(swap3yHandle, swap3yIndex)); | |
| instruments.push_back(rateHelper3y); | |
| // ++++++++++++++++++++ 4y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap4y(new SimpleQuote(swapRates[2])); | |
| Handle<Quote> swap4yHandle(swap4y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap4yIndex(new UsdLiborSwapIsdaFixAm(Period(4, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper4y(new SwapRateHelper(swap4yHandle, swap4yIndex)); | |
| instruments.push_back(rateHelper4y); | |
| // ++++++++++++++++++++ 5y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap5y(new SimpleQuote(swapRates[3])); | |
| Handle<Quote> swap5yHandle(swap5y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap5yIndex(new UsdLiborSwapIsdaFixAm(Period(5, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper5y(new SwapRateHelper(swap5yHandle, swap5yIndex)); | |
| instruments.push_back(rateHelper5y); | |
| // ++++++++++++++++++++ 6y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap6y(new SimpleQuote(swapRates[4])); | |
| Handle<Quote> swap6yHandle(swap6y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap6yIndex(new UsdLiborSwapIsdaFixAm(Period(6, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper6y(new SwapRateHelper(swap6yHandle, swap6yIndex)); | |
| instruments.push_back(rateHelper6y); | |
| // ++++++++++++++++++++ 7y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap7y(new SimpleQuote(swapRates[5])); | |
| Handle<Quote> swap7yHandle(swap7y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap7yIndex(new UsdLiborSwapIsdaFixAm(Period(7, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper7y(new SwapRateHelper(swap7yHandle, swap7yIndex)); | |
| instruments.push_back(rateHelper7y); | |
| // ++++++++++++++++++++ 8y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap8y(new SimpleQuote(swapRates[6])); | |
| Handle<Quote> swap8yHandle(swap8y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap8yIndex(new UsdLiborSwapIsdaFixAm(Period(8, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper8y(new SwapRateHelper(swap8yHandle, swap8yIndex)); | |
| instruments.push_back(rateHelper8y); | |
| // ++++++++++++++++++++ 9y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap9y(new SimpleQuote(swapRates[7])); | |
| Handle<Quote> swap9yHandle(swap9y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap9yIndex(new UsdLiborSwapIsdaFixAm(Period(9, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper9y(new SwapRateHelper(swap9yHandle, swap9yIndex)); | |
| instruments.push_back(rateHelper9y); | |
| // ++++++++++++++++++++ 10y USD ISDA Fix Swap ++++++++++++++++++++++++++++++++++++++++ | |
| // Quote and Handle setup | |
| boost::shared_ptr<Quote> swap10y(new SimpleQuote(swapRates[8])); | |
| Handle<Quote> swap10yHandle(swap10y); | |
| // index | |
| boost::shared_ptr<SwapIndex> swap10yIndex(new UsdLiborSwapIsdaFixAm(Period(10, Years))); | |
| // initialize rate helper | |
| boost::shared_ptr<RateHelper> rateHelper10y(new SwapRateHelper(swap10yHandle, swap10yIndex)); | |
| instruments.push_back(rateHelper10y); | |
| // ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ | |
| return instruments; | |
| } |
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