1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
|
/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
// $Id: Indexes.i,v 1.24 2002/02/19 10:35:43 lballabio Exp $
#ifndef quantlib_indexes_i
#define quantlib_indexes_i
%include Date.i
%include Calendars.i
%include DayCounters.i
%include Types.i
%include TermStructures.i
%include Null.i
%include History.i
%include String.i
%{
typedef QuantLib::Indexes::XiborManager XiborManagerClass;
%}
class XiborManagerClass {
public:
XiborManagerClass();
~XiborManagerClass();
void setHistory(String name, History termStructure);
History getHistory(String name);
bool hasHistory(String name);
StringVector histories();
};
%inline %{
XiborManagerClass XiborManager;
%}
// base index class
%{
using QuantLib::Handle;
using QuantLib::Index;
typedef Handle<Index> IndexHandle;
%}
// export Handle<Index>
%name(Index) class IndexHandle {
private:
// abstract class - no constructor exported
IndexHandle();
public:
~IndexHandle();
};
// replicate the Index interface
%addmethods IndexHandle {
Rate fixing(Date fixingDate) {
return (*self)->fixing(fixingDate);
}
String name() {
return (*self)->name();
}
String __str__() {
if (!self->isNull())
return (*self)->name()+" index";
else
return "Null index";
}
}
// typemap None to null index handle
AllowNoneAsInput(IndexHandle,Index);
// Xibor indexes
%{
using QuantLib::Indexes::Xibor;
using QuantLib::Indexes::Euribor;
using QuantLib::Indexes::AUDLibor;
using QuantLib::Indexes::GBPLibor;
using QuantLib::Indexes::USDLibor;
using QuantLib::Indexes::JPYLibor;
using QuantLib::Indexes::CADLibor;
using QuantLib::Indexes::CHFLibor;
using QuantLib::Indexes::ZARLibor;
typedef Handle<Xibor> XiborHandle;
%}
// fake inheritance between handles
%name(Xibor) class XiborHandle : public IndexHandle {
public:
// constructor defined below as string-based factory
~XiborHandle();
};
// replicate the Xibor interface
%addmethods XiborHandle {
XiborHandle(String name, int n, TimeUnit units,
TermStructureRelinkableHandle h) {
String s = StringFormatter::toLowercase(name);
if (s == "euribor")
return new XiborHandle(new Euribor(n,units,h));
else if (s == "audlibor")
return new XiborHandle(new AUDLibor(n,units,h));
else if (s == "gbplibor")
return new XiborHandle(new GBPLibor(n,units,h));
else if (s == "usdlibor")
return new XiborHandle(new USDLibor(n,units,h));
else if (s == "jpylibor")
return new XiborHandle(new JPYLibor(n,units,h));
else if (s == "cadlibor")
return new XiborHandle(new CADLibor(n,units,h));
else if (s == "chflibor")
return new XiborHandle(new CHFLibor(n,units,h));
else if (s == "zarlibor")
return new XiborHandle(new ZARLibor(n,units,h));
else
throw Error("unknown index: " + name);
QL_DUMMY_RETURN(new XiborHandle);
}
Period tenor() {
return (*self)->tenor();
}
Currency currency() {
return (*self)->currency();
}
Calendar calendar() {
return (*self)->calendar();
}
bool isAdjusted() {
return (*self)->isAdjusted();
}
RollingConvention rollingConvention() {
return (*self)->rollingConvention();
}
DayCounter dayCounter() {
return (*self)->dayCounter();
}
}
%{
XiborHandle NewEuribor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new Euribor(n,units,h)); }
XiborHandle NewAUDLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new AUDLibor(n,units,h)); }
XiborHandle NewGBPLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new GBPLibor(n,units,h)); }
XiborHandle NewUSDLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new USDLibor(n,units,h)); }
XiborHandle NewJPYLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new JPYLibor(n,units,h)); }
XiborHandle NewCADLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new CADLibor(n,units,h)); }
XiborHandle NewCHFLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new CHFLibor(n,units,h)); }
XiborHandle NewZARLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h) {
return XiborHandle(new ZARLibor(n,units,h)); }
%}
%name(Euribor) XiborHandle NewEuribor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
%name(AUDLibor) XiborHandle NewAUDLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
%name(GBPLibor) XiborHandle NewGBPLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
%name(USDLibor) XiborHandle NewUSDLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
%name(JPYLibor) XiborHandle NewJPYLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
%name(CADLibor) XiborHandle NewCADLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
%name(CHFLibor) XiborHandle NewCHFLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
%name(ZARLibor) XiborHandle NewZARLibor(int n, TimeUnit units,
TermStructureRelinkableHandle h);
#endif
|
