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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 1.5 2002/01/16 14:51:31 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 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 {
void crash() {}
Date maturity() {
return (*self)->maturity();
}
}
%name(DepositRateHelper) class DepositRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~DepositRateHelperHandle();
};
%addmethods DepositRateHelperHandle {
void crash() {}
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));
}
}
%name(FraRateHelper) class FraRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~FraRateHelperHandle();
};
%addmethods FraRateHelperHandle {
void crash() {}
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));
}
}
%name(FuturesRateHelper) class FuturesRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~FuturesRateHelperHandle();
};
%addmethods FuturesRateHelperHandle {
void crash() {}
FuturesRateHelperHandle(MarketElementRelinkableHandle price,
const Date& immDate, int settlementDays, int months,
Calendar calendar, RollingConvention convention,
DayCounter dayCounter) {
return new FuturesRateHelperHandle(
new FuturesRateHelper(price,immDate,settlementDays,months,
calendar,convention,dayCounter));
}
}
%name(SwapRateHelper) class SwapRateHelperHandle
: public RateHelperHandle {
public:
// constructor redefined below
~SwapRateHelperHandle();
};
%addmethods SwapRateHelperHandle {
void crash() {}
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));
}
}
// typemap array of RateHelpers to std::vector<Handle<RateHelper> >
%{
#include <vector>
typedef std::vector<Handle<RateHelper> > RateHelperHandleVector;
%}
%typemap(ruby,in) RateHelperHandleVector (RateHelperHandleVector temp),
const RateHelperHandleVector & (RateHelperHandleVector temp) {
if (rb_obj_is_kind_of($source,rb_cArray)) {
int size = RARRAY($source)->len;
temp = RateHelperHandleVector(size);
for (int i=0; i<size; i++) {
VALUE o = RARRAY($source)->ptr[i];
RateHelperHandle* h;
Get_RateHelperHandle(o,h);
temp[i] = *h;
}
} else {
rb_raise(rb_eTypeError,
"wrong argument type (expected array of rate helpers)");
}
$target = &temp;
}
#endif
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