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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2007 StatPro Italia 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/license.shtml>.
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_swap_i
#define quantlib_swap_i
%include instruments.i
%include termstructures.i
%include cashflows.i
%include timebasket.i
%{
using QuantLib::Swap;
using QuantLib::VanillaSwap;
using QuantLib::DiscountingSwapEngine;
typedef boost::shared_ptr<Instrument> SwapPtr;
typedef boost::shared_ptr<Instrument> VanillaSwapPtr;
typedef boost::shared_ptr<PricingEngine> DiscountingSwapEnginePtr;
%}
%rename(Swap) SwapPtr;
class SwapPtr : public boost::shared_ptr<Instrument> {
public:
%extend {
SwapPtr(const std::vector<boost::shared_ptr<CashFlow> >& firstLeg,
const std::vector<boost::shared_ptr<CashFlow> >& secondLeg) {
return new SwapPtr(new Swap(firstLeg, secondLeg));
}
Date startDate() {
return boost::dynamic_pointer_cast<Swap>(*self)->startDate();
}
Date maturityDate() {
return boost::dynamic_pointer_cast<Swap>(*self)->maturityDate();
}
}
};
#if defined(SWIGJAVA) || defined(SWIGCSHARP)
%rename(_VanillaSwap) VanillaSwap;
#else
%ignore VanillaSwap;
#endif
class VanillaSwap {
public:
enum Type { Receiver = -1, Payer = 1 };
#if defined(SWIGJAVA) || defined(SWIGCSHARP)
private:
VanillaSwap();
#endif
};
%rename(VanillaSwap) VanillaSwapPtr;
class VanillaSwapPtr : public SwapPtr {
#if defined(SWIGMZSCHEME) || defined(SWIGGUILE)
%rename("fair-rate") fairRate;
%rename("fair-spread") fairSpread;
%rename("fixed-leg-BPS") fixedLegBPS;
%rename("floating-leg-BPS") floatingLegBPS;
#endif
public:
%extend {
static const VanillaSwap::Type Receiver = VanillaSwap::Receiver;
static const VanillaSwap::Type Payer = VanillaSwap::Payer;
VanillaSwapPtr(VanillaSwap::Type type, Real nominal,
const Schedule& fixedSchedule, Rate fixedRate,
const DayCounter& fixedDayCount,
const Schedule& floatSchedule,
const IborIndexPtr& index,
Spread spread,
const DayCounter& floatingDayCount) {
boost::shared_ptr<IborIndex> libor =
boost::dynamic_pointer_cast<IborIndex>(index);
return new VanillaSwapPtr(
new VanillaSwap(type, nominal,fixedSchedule,fixedRate,
fixedDayCount,floatSchedule,libor,
spread, floatingDayCount));
}
Rate fairRate() {
return boost::dynamic_pointer_cast<VanillaSwap>(*self)->fairRate();
}
Spread fairSpread() {
return boost::dynamic_pointer_cast<VanillaSwap>(*self)
->fairSpread();
}
Real fixedLegBPS() {
return boost::dynamic_pointer_cast<VanillaSwap>(*self)
->fixedLegBPS();
}
Real floatingLegBPS() {
return boost::dynamic_pointer_cast<VanillaSwap>(*self)
->floatingLegBPS();
}
}
};
%rename(DiscountingSwapEngine) DiscountingSwapEnginePtr;
class DiscountingSwapEnginePtr : public boost::shared_ptr<PricingEngine> {
public:
%extend {
DiscountingSwapEnginePtr(
const Handle<YieldTermStructure>& discountCurve) {
return new DiscountingSwapEnginePtr(
new DiscountingSwapEngine(discountCurve));
}
}
};
#endif
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