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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 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_compoundforward_i
#define quantlib_compoundforward_i
%include date.i
%include termstructures.i
%include marketelements.i
%{
using QuantLib::CompoundForward;
typedef boost::shared_ptr<YieldTermStructure> CompoundForwardPtr;
%}
%rename(CompoundForward) CompoundForwardPtr;
class CompoundForwardPtr : public boost::shared_ptr<YieldTermStructure> {
public:
%extend {
CompoundForwardPtr(const Date& settlementDate,
const std::vector<Date>& dates,
const std::vector<Rate>& rates,
Calendar calendar,
BusinessDayConvention roll,
Integer compounding,
const DayCounter& dayCounter) {
return new CompoundForwardPtr(
new CompoundForward(settlementDate,
dates, rates, calendar, roll,
compounding, dayCounter));
}
const std::vector<Date>& dates() {
return boost::dynamic_pointer_cast<CompoundForward>(*self)
->dates();
}
Rate compoundForward(const Date&d1,
Integer f,
bool extrapolate = false) const {
return
boost::dynamic_pointer_cast<CompoundForward>(*self)
->compoundForward(d1, f, extrapolate);
}
Rate compoundForward(const Time t1,
Integer f,
bool extrapolate = false) const {
return
boost::dynamic_pointer_cast<CompoundForward>(*self)
->compoundForward(t1, f, extrapolate);
}
}
};
#endif
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