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|
=begin
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.
=end
# $Id: QuantLib.rb,v 1.7 2002/03/07 14:06:47 lballabio Exp $
require 'QuantLibc'
module QuantLibc
# default arguments - SWIG can't parse these ones
class Calendar
def roll(d,convention='Following')
_rollWithConvention(d,convention)
end
def advance(d,n,unit,convention='Following')
_advanceWithConvention(d,n,unit,convention)
end
end
class DayCounter
def yearFraction(d1,d2,refStart=nil,refEnd=nil)
if refStart and refEnd
_yearFractionWithReference(d1,d2,refStart,refEnd)
else
_yearFractionWithoutReference(d1,d2)
end
end
end
# overloaded methods
class TermStructure
def zeroYield(x,extrapolate=false)
if x.type == Float or x.type == Fixnum
_zeroYieldVsTime(x,extrapolate)
else
_zeroYieldVsDate(x,extrapolate)
end
end
def discount(x,extrapolate=false)
if x.type == Float or x.type == Fixnum
_discountVsTime(x,extrapolate)
else
_discountVsDate(x,extrapolate)
end
end
def forward(x,extrapolate=false)
if x.type == Float or x.type == Fixnum
_forwardVsTime(x,extrapolate)
else
_forwardVsDate(x,extrapolate)
end
end
end
# mixins - SWIG still doesn't provide this
# Comparable classes
class Date
include Comparable
end
class Calendar
include Comparable
end
class DayCounter
include Comparable
end
class HistoryEntry
include Comparable
end
class HistoryValidEntry
include Comparable
end
# Enumerable classes
class Array
include Enumerable
end
class IntVector
include Enumerable
end
class DoubleVector
include Enumerable
end
class DateVector
include Enumerable
end
class CashFlowVector
include Enumerable
end
class History
include Enumerable
end
# this one could not be exported directly - too many arguments
class SimpleSwap < Swap
# SWIG-Ruby exports new, not initialize
def SimpleSwap.new(payFixed,startDate,n,units,calendar,
rollingConvention, nominal, fixedFrequency,
fixedRate, fixedIsAdjusted, fixedDayCount,
floatingFrequency, index, fixingDays, spread,
termStructure)
maturity = calendar.advance(startDate,n,units,rollingConvention)
fixedLeg = FixedRateCouponVector.new([nominal],[fixedRate],
startDate,maturity,fixedFrequency,calendar,
rollingConvention,fixedIsAdjusted,fixedDayCount)
floatLeg = FloatingRateCouponVector.new([nominal],startDate,maturity,
floatingFrequency,calendar,rollingConvention,
termStructure,index,fixingDays,[spread])
if payFixed
s = Swap.new(fixedLeg,floatLeg,termStructure)
class << s
def fixedLegBPS
firstLegBPS
end
def floatingLegBPS
secondLegBPS
end
end
s
else
s = Swap.new(floatLeg,fixedLeg,termStructure)
class << s
def fixedLegBPS
secondLegBPS
end
def floatingLegBPS
firstLegBPS
end
end
s
end
end
end
end
QuantLib = QuantLibc
|
