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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: TermStructures.i,v 1.6 2002/01/16 14:51:31 nando Exp $
#ifndef quantlib_term_structures_i
#define quantlib_term_structures_i
%include Date.i
%include Calendars.i
%include DayCounters.i
%include Currencies.i
%include MarketElements.i
%include Types.i
%{
using QuantLib::TermStructure;
using QuantLib::Handle;
using QuantLib::RelinkableHandle;
typedef Handle<TermStructure> TermStructureHandle;
typedef RelinkableHandle<TermStructure> TermStructureRelinkableHandle;
%}
// export Handle<TermStructure>
%name(TermStructure) class TermStructureHandle {
private:
// abstract class - no constructor exported
TermStructureHandle();
public:
~TermStructureHandle();
};
// replicate the TermStructure interface
%addmethods TermStructureHandle {
void crash() {}
Currency currency() {
return (*self)->currency();
}
Date todaysDate() {
return (*self)->todaysDate();
}
Calendar calendar() {
return (*self)->calendar();
}
DayCounter dayCounter() {
return (*self)->dayCounter();
}
int settlementDays() {
return (*self)->settlementDays();
}
Date settlementDate() {
return (*self)->settlementDate();
}
Date maxDate() {
return (*self)->maxDate();
}
Date minDate() {
return (*self)->minDate();
}
Rate _zeroYieldVsDate(const Date& d, bool extrapolate) {
return (*self)->zeroYield(d, extrapolate);
}
Rate _zeroYieldVsTime(Time t, bool extrapolate) {
return (*self)->zeroYield(t, extrapolate);
}
DiscountFactor _discountVsDate(const Date& d, bool extrapolate) {
return (*self)->discount(d, extrapolate);
}
DiscountFactor _discountVsTime(Time t, bool extrapolate) {
return (*self)->discount(t, extrapolate);
}
Rate _forwardVsDate(const Date& d, bool extrapolate) {
return (*self)->forward(d, extrapolate);
}
Rate _forwardVsTime(Time t, bool extrapolate) {
return (*self)->forward(t, extrapolate);
}
}
// export RelinkableHandle<TermStructure>
%name(TermStructureHandle) class TermStructureRelinkableHandle {
public:
TermStructureRelinkableHandle();
~TermStructureRelinkableHandle();
void linkTo(TermStructureHandle);
};
// implied term structure
%{
using QuantLib::ImpliedTermStructure;
typedef Handle<ImpliedTermStructure> ImpliedTermStructureHandle;
%}
%name(ImpliedTermStructure) class ImpliedTermStructureHandle
: public TermStructureHandle {
public:
// constructor redefined below
~ImpliedTermStructureHandle();
};
%addmethods ImpliedTermStructureHandle {
void crash() {}
ImpliedTermStructureHandle(TermStructureRelinkableHandle curveHandle,
Date todaysDate) {
return new ImpliedTermStructureHandle(
new ImpliedTermStructure(curveHandle,todaysDate));
}
}
// spreaded term structures
%{
using QuantLib::ZeroSpreadedTermStructure;
typedef Handle<ZeroSpreadedTermStructure> ZeroSpreadedTermStructureHandle;
using QuantLib::ForwardSpreadedTermStructure;
typedef Handle<ForwardSpreadedTermStructure> ForwardSpreadedTermStructureHandle;
%}
%name(ZeroSpreadedTermStructure) class ZeroSpreadedTermStructureHandle
: public TermStructureHandle {
public:
// constructor redefined below
~ZeroSpreadedTermStructureHandle();
};
%addmethods ZeroSpreadedTermStructureHandle {
void crash() {}
ZeroSpreadedTermStructureHandle(TermStructureRelinkableHandle curveHandle,
MarketElementRelinkableHandle spread) {
return new ZeroSpreadedTermStructureHandle(
new ZeroSpreadedTermStructure(curveHandle,spread));
}
}
%name(ForwardSpreadedTermStructure) class ForwardSpreadedTermStructureHandle
: public TermStructureHandle {
public:
// constructor redefined below
~ForwardSpreadedTermStructureHandle();
};
%addmethods ForwardSpreadedTermStructureHandle {
void crash() {}
ForwardSpreadedTermStructureHandle(TermStructureRelinkableHandle curveHandle,
MarketElementRelinkableHandle spread) {
return new ForwardSpreadedTermStructureHandle(
new ForwardSpreadedTermStructure(curveHandle,spread));
}
}
// flat forward curve
%{
using QuantLib::TermStructures::FlatForward;
typedef Handle<FlatForward> FlatForwardHandle;
%}
%name(FlatForward) class FlatForwardHandle
: public TermStructureHandle {
public:
// constructor redefined below
~FlatForwardHandle();
};
%addmethods FlatForwardHandle {
void crash() {}
FlatForwardHandle(Currency currency, DayCounter dayCounter,
Date todaysDate, Calendar calendar, int settlementDays,
Rate forward) {
return new FlatForwardHandle(
new FlatForward(currency,dayCounter,todaysDate,
calendar,settlementDays,forward));
}
}
#endif
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