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/*
Copyright (C) 2005, 2006 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
<https://www.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_forward_curve_i
#define quantlib_forward_curve_i
%include termstructures.i
%include interpolation.i
%{
using QuantLib::InterpolatedForwardCurve;
%}
%shared_ptr(InterpolatedForwardCurve<BackwardFlat>);
%shared_ptr(InterpolatedForwardCurve<ForwardFlat>);
%shared_ptr(InterpolatedForwardCurve<Linear>);
%shared_ptr(InterpolatedForwardCurve<Cubic>);
%shared_ptr(InterpolatedForwardCurve<SplineCubic>);
%shared_ptr(InterpolatedForwardCurve<ParabolicCubic>);
%shared_ptr(InterpolatedForwardCurve<MonotonicParabolicCubic>);
template <class Interpolator>
class InterpolatedForwardCurve : public YieldTermStructure {
public:
InterpolatedForwardCurve(const std::vector<Date>& dates,
const std::vector<Rate>& forwards,
const DayCounter& dayCounter,
const Calendar& calendar = Calendar(),
const Interpolator& i = Interpolator());
const std::vector<Date>& dates() const;
const std::vector<Rate>& forwards() const;
#if !defined(SWIGR)
std::vector<std::pair<Date,Rate> > nodes() const;
#endif
};
%template(ForwardCurve) InterpolatedForwardCurve<BackwardFlat>;
%template(ForwardFlatForwardCurve) InterpolatedForwardCurve<ForwardFlat>;
%template(LinearForwardCurve) InterpolatedForwardCurve<Linear>;
%template(CubicForwardCurve) InterpolatedForwardCurve<Cubic>;
%template(NaturalCubicForwardCurve) InterpolatedForwardCurve<SplineCubic>;
%template(ParabolicCubicForwardCurve) InterpolatedForwardCurve<ParabolicCubic>;
%template(MonotonicParabolicCubicForwardCurve) InterpolatedForwardCurve<MonotonicParabolicCubic>;
#endif
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