RateHelper

Overview

functions to construct and use RateHelper objects.

Function List

qlBondHelper ()
qlDatedOISRateHelper ()
qlDepositRateHelper ()
qlDepositRateHelper2 ()
qlFixedRateBondHelper ()
qlFraRateHelper ()
qlFraRateHelper2 ()
qlFuturesRateHelper ()
qlFuturesRateHelper2 ()
qlFuturesRateHelper3 ()
qlFuturesRateHelperConvexityAdjustment ()
qlFxSwapRateHelper ()
qlFxSwapRateHelperBDC ()
qlFxSwapRateHelperCalendar ()
qlFxSwapRateHelperEOM ()
qlFxSwapRateHelperFixingDays ()
qlFxSwapRateHelperIsBaseCurrencyCollateralCurrency ()
qlFxSwapRateHelperSpotValue ()
qlFxSwapRateHelperTenor ()
qlOISRateHelper ()
qlRateHelperEarliestDate ()
qlRateHelperImpliedQuote ()
qlRateHelperLatestRelevantDate ()
qlRateHelperMaturityDate ()
qlRateHelperPillarDate ()
qlRateHelperQuoteError ()
qlRateHelperQuoteIsValid ()
qlRateHelperQuoteName ()
qlRateHelperQuoteValue ()
qlRateHelperRate ()
qlRateHelperSelection ()
qlSwapRateHelper ()
qlSwapRateHelper2 ()
qlSwapRateHelperForwardStart ()
qlSwapRateHelperSpread ()

Function Documentation

qlBondHelper

string returnValue
 
qlBondHelper(
        string ObjectId
        string Price
        string Bond
        bool UseCleanPrice
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BondHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Price	price.
Bond	Bond object ID.
UseCleanPrice	Type of price specified (TRUE clean price, FALSE for dirty price). Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDatedOISRateHelper

string returnValue
 
qlDatedOISRateHelper(
        string ObjectId
        long StartDate
        long EndDate
        string FixedRate
        string ONIndex
        string DiscountingCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DatedOISRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
StartDate	swap start date.
EndDate	swap end date.
FixedRate	quote.
ONIndex	floating leg OvernightIndex object ID.
DiscountingCurve	discounting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDepositRateHelper

string returnValue
 
qlDepositRateHelper(
        string ObjectId
        string Rate
        string IborIndex
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DepositRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Rate	deposit quote.
IborIndex	IborIndex object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDepositRateHelper2

string returnValue
 
qlDepositRateHelper2(
        string ObjectId
        string Rate
        string Tenor
        long FixingDays
        string Calendar
        string Convention
        bool EndOfMonth
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DepositRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Rate	deposit quote.
Tenor	deposit length (e.g. 3M for three months).
FixingDays	fixing days (e.g. 2).
Calendar	holiday calendar (e.g. TARGET).
Convention	business day convention (e.g. Modified Following).
EndOfMonth	End of Month rule (TRUE for end of month to end of month termination date, FALSE otherwise).
DayCounter	DayCounter ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFixedRateBondHelper

string returnValue
 
qlFixedRateBondHelper(
        string ObjectId
        string Price
        long SettlementDays
        double FaceAmount
        string ScheduleID
        vector<double> Coupons
        string DayCounter
        string PaymentBDC
        double Redemption
        long IssueDate
        string PaymentCalendar
        string ExCouponPeriod
        string ExCouponCalendar
        string ExCouponBDC
        bool ExCouponEndOfMonth
        bool UseCleanPrice
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FixedRateBondHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Price	Price - either clean or dirty.
SettlementDays	settlement days.
FaceAmount	Face nominal amount. Default value = 100.0.
ScheduleID	Schedule object ID.
Coupons	coupon fixed rates.
DayCounter	Payment DayCounter ID.
PaymentBDC	payment business day convention. Default value = Following.
Redemption	redemption value. Default value = 100.0.
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
PaymentCalendar	holiday calendar (e.g. TARGET).
ExCouponPeriod	Ex-coupon period.
ExCouponCalendar	Ex-coupon calendar (e.g. TARGET).
ExCouponBDC	Ex-coupon business day convention (e.g. Modified Following).
ExCouponEndOfMonth	Ex-coupon end of month rule (TRUE for end of month to end of month termination date, FALSE otherwise).
UseCleanPrice	Type of price specified (TRUE clean price, FALSE for dirty price). Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFraRateHelper

string returnValue
 
qlFraRateHelper(
        string ObjectId
        string Rate
        string PeriodToStart
        string IborIndex
        string PillarDate
        long CustomPillarDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FraRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Rate	quote.
PeriodToStart	Period to start date.
IborIndex	IborIndex object ID.
PillarDate	Pillar date can be: MaturityDate, LastRelevantDate or CustomDate. Default value = MaturityDate.
CustomPillarDate	Custom Pillar Date. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFraRateHelper2

string returnValue
 
qlFraRateHelper2(
        string ObjectId
        string Rate
        string PeriodToStart
        long LengthInMonths
        long FixingDays
        string Calendar
        string Convention
        bool EndOfMonth
        string DayCounter
        string PillarDate
        long CustomPillarDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FraRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Rate	quote.
PeriodToStart	Period to start date.
LengthInMonths	months to end.
FixingDays	fixing days (e.g. 2).
Calendar	holiday calendar (e.g. TARGET).
Convention	business day convention (e.g. Modified Following).
EndOfMonth	End of Month rule (TRUE for end of month to end of month termination date, FALSE otherwise).
DayCounter	DayCounter ID.
PillarDate	Pillar date can be: MaturityDate, LastRelevantDate or CustomDate. Default value = MaturityDate.
CustomPillarDate	Custom Pillar Date. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFuturesRateHelper

string returnValue
 
qlFuturesRateHelper(
        string ObjectId
        string Price
        string FuturesType
        long FuturesDate
        string IborIndex
        string ConvexityAdjQuote
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FuturesRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Price	price quote.
FuturesType	Futures type. Default value = IMM.
FuturesDate	Futures date (IborIndex start date).
IborIndex	IborIndex object ID. Default value = Euribor3M.
ConvexityAdjQuote	convexity adjustment quote (i.e. Forward rate = Futures rate - convexity adjustment).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFuturesRateHelper2

string returnValue
 
qlFuturesRateHelper2(
        string ObjectId
        string Price
        string FuturesType
        long FuturesDate
        long LengthInMonths
        string Calendar
        string Convention
        bool EndOfMonth
        string DayCounter
        string ConvexityAdjQuote
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FuturesRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Price	price quote.
FuturesType	Futures type. Default value = IMM.
FuturesDate	Futures date (IborIndex start date).
LengthInMonths	future contract length in months. Default value = 3.
Calendar	holiday calendar (e.g. TARGET).
Convention	business day convention (e.g. Modified Following). Default value = Modified Following.
EndOfMonth	End of Month rule (TRUE for end of month to end of month termination date, FALSE otherwise). Default value = true.
DayCounter	DayCounter ID. Default value = Actual/360.
ConvexityAdjQuote	convexity adjustment quote (i.e. Forward rate = Futures rate - convexity adjustment).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFuturesRateHelper3

string returnValue
 
qlFuturesRateHelper3(
        string ObjectId
        string Price
        string FuturesType
        long FuturesDate
        long EndDate
        string DayCounter
        string ConvexityAdjQuote
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FuturesRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Price	price quote.
FuturesType	Futures type. Default value = IMM.
FuturesDate	Futures date (IborIndex start date).
EndDate	end date. Default value = QuantLib::Date().
DayCounter	DayCounter ID. Default value = Actual/360.
ConvexityAdjQuote	convexity adjustment quote (i.e. Forward rate = Futures rate - convexity adjustment).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFuturesRateHelperConvexityAdjustment

double returnValue
 
qlFuturesRateHelperConvexityAdjustment(
        string ObjectId
        any Trigger)

Description:

returns the convexity adjustment for the given FuturesRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FuturesRateHelper object
Trigger	dependency tracking trigger

qlFxSwapRateHelper

string returnValue
 
qlFxSwapRateHelper(
        string ObjectId
        string FwdPoint
        string SpotFx
        string Tenor
        long FixingDays
        string Calendar
        string Convention
        bool EndOfMonth
        bool IsFxBaseCurrencyCollateralCurrency
        string CollateralCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FxSwapRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
FwdPoint	forward point quote.
SpotFx	fx spot quote.
Tenor	fx swap length (e.g. 3M for three months).
FixingDays	fixing days (e.g. 2).
Calendar	holiday calendar (e.g. TARGET).
Convention	business day convention (e.g. Modified Following).
EndOfMonth	End of Month rule (TRUE for end of month to end of month termination date, FALSE otherwise).
IsFxBaseCurrencyCollateralCurrency	TRUE if the base currency of the fx currency pair is the one used as collateral, FALSE otherwise.
CollateralCurve	collateral YieldTermStructure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFxSwapRateHelperBDC

string returnValue
 
qlFxSwapRateHelperBDC(
        string ObjectId
        any Trigger)

Description:

returns the business day convention for the given FxSwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FxSwapRateHelper object
Trigger	dependency tracking trigger

qlFxSwapRateHelperCalendar

string returnValue
 
qlFxSwapRateHelperCalendar(
        string ObjectId
        any Trigger)

Description:

returns the calendar for the given FxSwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FxSwapRateHelper object
Trigger	dependency tracking trigger

qlFxSwapRateHelperEOM

bool returnValue
 
qlFxSwapRateHelperEOM(
        string ObjectId
        any Trigger)

Description:

returns the end of month flag for the given FxSwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FxSwapRateHelper object
Trigger	dependency tracking trigger

qlFxSwapRateHelperFixingDays

long returnValue
 
qlFxSwapRateHelperFixingDays(
        string ObjectId
        any Trigger)

Description:

returns the number of fixing days for the given FxSwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FxSwapRateHelper object
Trigger	dependency tracking trigger

qlFxSwapRateHelperIsBaseCurrencyCollateralCurrency

bool returnValue
 
qlFxSwapRateHelperIsBaseCurrencyCollateralCurrency(
        string ObjectId
        any Trigger)

Description:

returns TRUE if the base currency of the fx currency pair is the one used as collateral, FALSE otherwise.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FxSwapRateHelper object
Trigger	dependency tracking trigger

qlFxSwapRateHelperSpotValue

double returnValue
 
qlFxSwapRateHelperSpotValue(
        string ObjectId
        any Trigger)

Description:

returns the fx spot quote value for the given FxSwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FxSwapRateHelper object
Trigger	dependency tracking trigger

qlFxSwapRateHelperTenor

string returnValue
 
qlFxSwapRateHelperTenor(
        string ObjectId
        any Trigger)

Description:

returns the tenor for the given FxSwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::FxSwapRateHelper object
Trigger	dependency tracking trigger

qlOISRateHelper

string returnValue
 
qlOISRateHelper(
        string ObjectId
        long SettlDays
        string Tenor
        string FixedRate
        string ONIndex
        string DiscountingCurve
        bool TelescopicValueDates
        long PaymentLag
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OISRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
SettlDays	swap settlement days.
Tenor	swap length (e.g. 5Y for five years).
FixedRate	quote.
ONIndex	floating leg OvernightIndex object ID.
DiscountingCurve	discounting YieldTermStructure object ID. Default value = .
TelescopicValueDates	Telescope Value Dates? Default value = false.
PaymentLag	Lag to payment Default value = 0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRateHelperEarliestDate

long returnValue
 
qlRateHelperEarliestDate(
        string ObjectId
        any Trigger)

Description:

returns the earliest date for the given RateHelper object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperImpliedQuote

double returnValue
 
qlRateHelperImpliedQuote(
        string ObjectId
        any Trigger)

Description:

returns the curve implied quote of the given RateHelper object.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperLatestRelevantDate

long returnValue
 
qlRateHelperLatestRelevantDate(
        string ObjectId
        any Trigger)

Description:

returns the latest relevant date for the given RateHelper object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperMaturityDate

long returnValue
 
qlRateHelperMaturityDate(
        string ObjectId
        any Trigger)

Description:

returns the maturity date for the given RateHelper object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperPillarDate

long returnValue
 
qlRateHelperPillarDate(
        string ObjectId
        any Trigger)

Description:

returns the pillar date for the given RateHelper object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperQuoteError

double returnValue
 
qlRateHelperQuoteError(
        string ObjectId
        any Trigger)

Description:

returns the error between the curve implied quote and the value of the Quote wrapped in the given RateHelper object.

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperQuoteIsValid

double returnValue
 
qlRateHelperQuoteIsValid(
        string ObjectId
        any Trigger)

Description:

returns the isValid boolean of the Quote wrapped in the given RateHelper object.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperQuoteName

string returnValue
 
qlRateHelperQuoteName(
        string ObjectId
        any Trigger)

Description:

returns the objectID of the Quote wrapped in the given RateHelper object.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of existing QuantLibAddin::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperQuoteValue

double returnValue
 
qlRateHelperQuoteValue(
        string ObjectId
        any Trigger)

Description:

returns the value of the Quote wrapped in the given RateHelper object.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of existing QuantLib::RateHelper object
Trigger	dependency tracking trigger

qlRateHelperRate

double returnValue
 
qlRateHelperRate(
        string RateHelper
        any Trigger)

Description:

returns the rate (if any) associated to a rate helper.

Supported Platforms:

Excel

Parameters

RateHelper	RateHelper ID.
Trigger	dependency tracking trigger

qlRateHelperSelection

vector<string> returnValue
 
qlRateHelperSelection(
        vector<string> RateHelpers
        vector<long> Priority
        long NImmFutures
        long NSerialFutures
        long FutureRollDays
        string DepoInclusion
        vector<long> MinDistance
        any Trigger)

Description:

selects rate helpers for bootstrapping.

Supported Platforms:

Excel

Parameters

RateHelpers	vector of RateHelper IDs.
Priority	vector of priority integers (higher number for higher priority).
NImmFutures	max number of IMM (March, June, September, December) Futures to be included.
NSerialFutures	max number of Serial (January, February, April, May, July, August, October, November) Futures to be included.
FutureRollDays	discard the front Futures the given number of (positive) days before its expiry (e.g zero implies the use of the front Futures during its expiry day). Default value = 2.
DepoInclusion	Depo inclusion criteria. Default value = AllDepos.
MinDistance	minimum distance in (positive) days from near instruments. Default value = 1.
Trigger	dependency tracking trigger

qlSwapRateHelper

string returnValue
 
qlSwapRateHelper(
        string ObjectId
        string Rate
        string SwapIndex
        string Spread
        string ForwardStart
        string DiscountingCurve
        string PillarDate
        long CustomPillarDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SwapRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Rate	quote.
SwapIndex	SwapIndex object ID.
Spread	floating leg spread.
ForwardStart	forward start period.
DiscountingCurve	discounting YieldTermStructure object ID. Default value = .
PillarDate	Pillar date can be: MaturityDate, LastRelevantDate or CustomDate. Default value = MaturityDate.
CustomPillarDate	Custom Pillar Date. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwapRateHelper2

string returnValue
 
qlSwapRateHelper2(
        string ObjectId
        string Rate
        long SettlDays
        string Tenor
        string Calendar
        string FixedLegFrequency
        string FixedLegConvention
        string FixedLegDayCounter
        string IborIndex
        string Spread
        string ForwardStart
        string DiscountingCurve
        string PillarDate
        long CustomPillarDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SwapRateHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Rate	quote.
SettlDays	Number of days to spot date. Default value = 2.
Tenor	swap length (e.g. 5Y for five years).
Calendar	holiday calendar (e.g. TARGET).
FixedLegFrequency	fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly).
FixedLegConvention	fixed leg convention (e.g. Unadjusted).
FixedLegDayCounter	day counter (e.g. Actual/360).
IborIndex	floating leg IborIndex object ID.
Spread	floating leg spread.
ForwardStart	forward start period.
DiscountingCurve	discounting YieldTermStructure object ID. Default value = .
PillarDate	Pillar date can be: MaturityDate, LastRelevantDate or CustomDate. Default value = MaturityDate.
CustomPillarDate	Custom Pillar Date. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwapRateHelperForwardStart

string returnValue
 
qlSwapRateHelperForwardStart(
        string ObjectId
        any Trigger)

Description:

returns the forward start period for the given SwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwapRateHelper object
Trigger	dependency tracking trigger

qlSwapRateHelperSpread

double returnValue
 
qlSwapRateHelperSpread(
        string ObjectId
        any Trigger)

Description:

returns the spread for the given SwapRateHelper object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwapRateHelper object
Trigger	dependency tracking trigger