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/*
Copyright (C) 2000, 2001, 2002, 2003 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 quantlib-dev@lists.sf.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.
*/
#ifndef quantlib_cap_floor_i
#define quantlib_cap_floor_i
%include options.i
%include marketelements.i
%include termstructures.i
%include cashflows.i
%include blackmodel.i
%include types.i
%{
using QuantLib::CapFloor;
using QuantLib::Cap;
using QuantLib::Floor;
using QuantLib::Collar;
typedef boost::shared_ptr<Instrument> CapFloorPtr;
typedef boost::shared_ptr<Instrument> CapPtr;
typedef boost::shared_ptr<Instrument> FloorPtr;
typedef boost::shared_ptr<Instrument> CollarPtr;
%}
%rename(CapFloor) CapFloorPtr;
class CapFloorPtr : public boost::shared_ptr<Instrument> {
public:
%extend {
Volatility impliedVolatility(Real price,
Real accuracy = 1.0e-4,
Size maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0) const {
return boost::dynamic_pointer_cast<CapFloor>(*self)->
impliedVolatility(price, accuracy, maxEvaluations,
minVol, maxVol);
}
}
};
%rename(Cap) CapPtr;
class CapPtr : public CapFloorPtr {
public:
%extend {
CapPtr(const std::vector<boost::shared_ptr<CashFlow> >& leg,
const std::vector<Rate>& capRates,
const Handle<YieldTermStructure>& h,
const boost::shared_ptr<PricingEngine>& engine) {
return new CapPtr(new Cap(leg,capRates,h,engine));
}
}
};
%rename(Floor) FloorPtr;
class FloorPtr : public CapFloorPtr {
public:
%extend {
FloorPtr(const std::vector<boost::shared_ptr<CashFlow> >& leg,
const std::vector<Rate>& floorRates,
const Handle<YieldTermStructure>& h,
const boost::shared_ptr<PricingEngine>& engine) {
return new FloorPtr(new Floor(leg,floorRates,h,engine));
}
}
};
%rename(Collar) CollarPtr;
class CollarPtr : public CapFloorPtr {
public:
%extend {
CollarPtr(const std::vector<boost::shared_ptr<CashFlow> >& leg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates,
const Handle<YieldTermStructure>& h,
const boost::shared_ptr<PricingEngine>& engine) {
return new CollarPtr(new Collar(leg,capRates,floorRates,h,engine));
}
}
};
%{
using QuantLib::BlackCapFloorEngine;
typedef boost::shared_ptr<PricingEngine> BlackCapFloorEnginePtr;
%}
%rename(BlackCapFloorEngine) BlackCapFloorEnginePtr;
class BlackCapFloorEnginePtr : public boost::shared_ptr<PricingEngine> {
public:
%extend {
BlackCapFloorEnginePtr(const boost::shared_ptr<BlackModel>& model) {
return new BlackCapFloorEnginePtr(new BlackCapFloorEngine(model));
}
}
};
#endif
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