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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004 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_term_structures_i
#define quantlib_term_structures_i
%include common.i
%include types.i
%include interestrate.i
%include date.i
%include calendars.i
%include daycounters.i
%include currencies.i
%include observer.i
%include marketelements.i
%include interpolation.i
%{
using QuantLib::YieldTermStructure;
%}
%ignore YieldTermStructure;
class YieldTermStructure : public Extrapolator {
#if defined(SWIGMZSCHEME) || defined(SWIGGUILE)
%rename("day-counter") dayCounter;
%rename("reference-date") referenceDate;
%rename("max-date") maxDate;
%rename("max-time") maxTime;
%rename("zero-rate") zeroRate;
%rename("forward-rate") forwardRate;
#endif
public:
DayCounter dayCounter() const;
Calendar calendar() const;
Date referenceDate() const;
Date maxDate() const;
Time maxTime() const;
DiscountFactor discount(const Date&, bool extrapolate = false);
DiscountFactor discount(Time, bool extrapolate = false);
InterestRate zeroRate(const Date& d,
const DayCounter&, Compounding, Frequency f = Annual,
bool extrapolate = false) const;
InterestRate zeroRate(Time t,
Compounding, Frequency f = Annual,
bool extrapolate = false) const;
InterestRate forwardRate(const Date& d1, const Date& d2,
const DayCounter&, Compounding,
Frequency f = Annual,
bool extrapolate = false) const;
InterestRate forwardRate(Time t1, Time t2,
Compounding, Frequency f = Annual,
bool extrapolate = false) const;
};
%template(YieldTermStructure) boost::shared_ptr<YieldTermStructure>;
IsObservable(boost::shared_ptr<YieldTermStructure>);
%template(YieldTermStructureHandle) Handle<YieldTermStructure>;
IsObservable(Handle<YieldTermStructure>);
%template(RelinkableYieldTermStructureHandle)
RelinkableHandle<YieldTermStructure>;
// implied term structure
%{
using QuantLib::ImpliedTermStructure;
typedef boost::shared_ptr<YieldTermStructure> ImpliedTermStructurePtr;
%}
%rename(ImpliedTermStructure) ImpliedTermStructurePtr;
class ImpliedTermStructurePtr: public boost::shared_ptr<YieldTermStructure> {
public:
%extend {
ImpliedTermStructurePtr(const Handle<YieldTermStructure>& curveHandle,
const Date& referenceDate) {
return new ImpliedTermStructurePtr(
new ImpliedTermStructure(curveHandle, referenceDate));
}
}
};
// spreaded term structures
%{
using QuantLib::ZeroSpreadedTermStructure;
using QuantLib::ForwardSpreadedTermStructure;
typedef boost::shared_ptr<YieldTermStructure> ZeroSpreadedTermStructurePtr;
typedef boost::shared_ptr<YieldTermStructure> ForwardSpreadedTermStructurePtr;
%}
%rename(ZeroSpreadedTermStructure) ZeroSpreadedTermStructurePtr;
class ZeroSpreadedTermStructurePtr
: public boost::shared_ptr<YieldTermStructure> {
public:
%extend {
ZeroSpreadedTermStructurePtr(
const Handle<YieldTermStructure>& curveHandle,
const Handle<Quote>& spreadHandle) {
return new ZeroSpreadedTermStructurePtr(
new ZeroSpreadedTermStructure(curveHandle,spreadHandle));
}
}
};
%rename(ForwardSpreadedTermStructure) ForwardSpreadedTermStructurePtr;
class ForwardSpreadedTermStructurePtr
: public boost::shared_ptr<YieldTermStructure> {
public:
%extend {
ForwardSpreadedTermStructurePtr(
const Handle<YieldTermStructure>& curveHandle,
const Handle<Quote>& spreadHandle) {
return new ForwardSpreadedTermStructurePtr(
new ForwardSpreadedTermStructure(curveHandle,spreadHandle));
}
}
};
// flat forward curve
%{
using QuantLib::FlatForward;
typedef boost::shared_ptr<YieldTermStructure> FlatForwardPtr;
%}
%rename(FlatForward) FlatForwardPtr;
class FlatForwardPtr : public boost::shared_ptr<YieldTermStructure> {
public:
%extend {
FlatForwardPtr(const Date& referenceDate,
const Handle<Quote>& forward,
const DayCounter& dayCounter,
Compounding compounding = QuantLib::Continuous,
Frequency frequency = QuantLib::Annual) {
return new FlatForwardPtr(
new FlatForward(referenceDate,forward,dayCounter,
compounding,frequency));
}
FlatForwardPtr(const Date& referenceDate,
Rate forward,
const DayCounter& dayCounter,
Compounding compounding = QuantLib::Continuous,
Frequency frequency = QuantLib::Annual) {
return new FlatForwardPtr(
new FlatForward(referenceDate,forward,dayCounter,
compounding,frequency));
}
FlatForwardPtr(Integer settlementDays, const Calendar& calendar,
const Handle<Quote>& forward,
const DayCounter& dayCounter,
Compounding compounding = QuantLib::Continuous,
Frequency frequency = QuantLib::Annual) {
return new FlatForwardPtr(
new FlatForward(settlementDays,calendar,forward,dayCounter,
compounding,frequency));
}
FlatForwardPtr(Integer settlementDays, const Calendar& calendar,
Rate forward,
const DayCounter& dayCounter,
Compounding compounding = QuantLib::Continuous,
Frequency frequency = QuantLib::Annual) {
return new FlatForwardPtr(
new FlatForward(settlementDays,calendar,forward,dayCounter,
compounding,frequency));
}
}
};
#endif
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