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/*
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: RateHelpers.i,v 1.23 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_rate_helpers_i
#define quantlib_rate_helpers_i
%include Date.i
%include Calendars.i
%include DayCounters.i
%include Types.i
%include CashFlows.i
%include MarketElements.i
%{
using QuantLib::Handle;
using QuantLib::TermStructures::RateHelper;
using QuantLib::TermStructures::DepositRateHelper;
using QuantLib::TermStructures::FraRateHelper;
using QuantLib::TermStructures::FuturesRateHelper;
using QuantLib::TermStructures::SwapRateHelper;
typedef Handle<RateHelper> RateHelperHandle;
typedef Handle<DepositRateHelper> DepositRateHelperHandle;
typedef Handle<FraRateHelper> FraRateHelperHandle;
typedef Handle<FuturesRateHelper> FuturesRateHelperHandle;
typedef Handle<SwapRateHelper> SwapRateHelperHandle;
%}
%name(RateHelper) class RateHelperHandle {
private:
// abstract class - no constructor exported
RateHelperHandle();
public:
~RateHelperHandle();
};
%addmethods RateHelperHandle {
Date maturity() {
return (*self)->maturity();
}
}
// fake inheritance between handles
%name(DepositRateHelper) class DepositRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~DepositRateHelperHandle();
};
%addmethods DepositRateHelperHandle {
DepositRateHelperHandle(MarketElementRelinkableHandle rate,
int settlementDays, int n, TimeUnit units, Calendar calendar,
RollingConvention convention, DayCounter dayCounter) {
return new DepositRateHelperHandle(
new DepositRateHelper(rate,settlementDays,n,units,calendar,
convention,dayCounter));
}
}
// fake inheritance between handles
%name(FraRateHelper) class FraRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~FraRateHelperHandle();
};
%addmethods FraRateHelperHandle {
FraRateHelperHandle(MarketElementRelinkableHandle rate,
int settlementDays, int monthsToStart, int monthsToEnd,
Calendar calendar, RollingConvention convention,
DayCounter dayCounter) {
return new FraRateHelperHandle(
new FraRateHelper(rate,settlementDays,monthsToStart,
monthsToEnd,calendar,convention,dayCounter));
}
}
// fake inheritance between handles
%name(FuturesRateHelper) class FuturesRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~FuturesRateHelperHandle();
};
%addmethods FuturesRateHelperHandle {
FuturesRateHelperHandle(MarketElementRelinkableHandle price,
const Date& ImmDate, int settlementDays, int nMonths,
Calendar calendar, RollingConvention convention,
DayCounter dayCounter) {
return new FuturesRateHelperHandle(
new FuturesRateHelper(price,ImmDate,settlementDays,nMonths,
calendar,convention,dayCounter));
}
}
// fake inheritance between handles
%name(SwapRateHelper) class SwapRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~SwapRateHelperHandle();
};
%addmethods SwapRateHelperHandle {
SwapRateHelperHandle(MarketElementRelinkableHandle rate,
int settlementDays, int lengthInYears, Calendar calendar,
RollingConvention rollingConvention,
int fixedFrequency, bool fixedIsAdjusted,
DayCounter fixedDayCount, int floatingFrequency) {
return new SwapRateHelperHandle(
new SwapRateHelper(rate, settlementDays, lengthInYears,
calendar, rollingConvention, fixedFrequency,
fixedIsAdjusted, fixedDayCount, floatingFrequency));
}
}
// typedef Python list of rate helpers to std::vector<Handle<RateHelper> >
TypemapVector(RateHelperHandle,RateHelper,
RateHelperHandleVector,RateHelperVector);
ExportVector(RateHelperHandle,RateHelperHandleVector,RateHelperVector);
#endif
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