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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2007, 2008 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_scheduler_i
#define quantlib_scheduler_i
%include date.i
%include calendars.i
%include types.i
%define QL_TYPECHECK_DATEGENERATION 7210 %enddef
%{
using QuantLib::Schedule;
using QuantLib::DateGeneration;
using QuantLib::MakeSchedule;
%}
struct DateGeneration {
enum Rule { Backward, Forward,
Zero, ThirdWednesday, ThirdWednesdayInclusive,
Twentieth, TwentiethIMM,
OldCDS, CDS, CDS2015 };
};
#if defined(SWIGPYTHON)
%typemap(in) ext::optional<DateGeneration::Rule> %{
if ($input == Py_None)
$1 = ext::nullopt;
else if (PyLong_Check($input))
$1 = (DateGeneration::Rule)PyLong_AsLong($input);
else
SWIG_exception(SWIG_TypeError, "int expected");
%}
%typecheck (QL_TYPECHECK_DATEGENERATION) ext::optional<DateGeneration::Rule> %{
$1 = (PyLong_Check($input) || $input == Py_None) ? 1 : 0;
%}
#endif
class Schedule {
#if defined(SWIGPYTHON)
%rename(__len__) size;
%ignore date;
#endif
public:
#if defined(SWIGPYTHON)
Schedule(const std::vector<Date>&,
const Calendar& calendar = NullCalendar(),
const BusinessDayConvention convention = Unadjusted,
ext::optional<BusinessDayConvention> terminationDateConvention = ext::nullopt,
ext::optional<Period> tenor = ext::nullopt,
ext::optional<DateGeneration::Rule> rule = ext::nullopt,
ext::optional<bool> endOfMonth = ext::nullopt,
const std::vector<bool>& isRegular = std::vector<bool>(0));
#else
Schedule(const std::vector<Date>&,
const Calendar& calendar = NullCalendar(),
const BusinessDayConvention convention = Unadjusted);
#endif
Schedule(const Date& effectiveDate,
const Date& terminationDate,
const Period& tenor,
const Calendar& calendar,
BusinessDayConvention convention,
BusinessDayConvention terminationDateConvention,
DateGeneration::Rule rule,
bool endOfMonth,
const Date& firstDate = Date(),
const Date& nextToLastDate = Date());
Schedule();
Size size() const;
Date date(Size i) const;
Date previousDate(const Date& refDate) const;
Date nextDate(const Date& refDate) const;
const std::vector<Date>& dates() const;
bool hasIsRegular() const;
bool isRegular(Size i) const;
const std::vector<bool>& isRegular() const;
const Calendar& calendar() const;
const Date& startDate() const;
const Date& endDate() const;
bool hasTenor() const;
const Period& tenor() const;
BusinessDayConvention businessDayConvention() const;
bool hasTerminationDateBusinessDayConvention() const;
BusinessDayConvention terminationDateBusinessDayConvention() const;
bool hasRule() const;
DateGeneration::Rule rule() const;
bool hasEndOfMonth() const;
bool endOfMonth() const;
Schedule after(const Date& truncationDate) const;
Schedule until(const Date& truncationDate) const;
%extend {
#if defined(SWIGPYTHON)
Date __getitem__(Integer i) {
Integer size_ = static_cast<Integer>(self->size());
if (i>=0 && i<size_) {
return self->date(i);
} else if (i<0 && -i<=size_) {
return self->date(size_+i);
} else {
throw std::out_of_range("schedule index out of range");
}
}
#endif
}
};
#if defined(SWIGPYTHON)
%rename (_MakeSchedule) MakeSchedule;
#endif
/*! This class provides a more comfortable interface to the
argument list of Schedule's constructor.
*/
class MakeSchedule {
public:
MakeSchedule();
#if defined(SWIGPYTHON)
// 'from' can't be overridden in python
%rename("fromDate") from;
#endif
MakeSchedule& from(const Date& effectiveDate);
MakeSchedule& to(const Date& terminationDate);
MakeSchedule& withTenor(const Period&);
MakeSchedule& withFrequency(Frequency);
MakeSchedule& withCalendar(const Calendar&);
MakeSchedule& withConvention(BusinessDayConvention);
MakeSchedule& withTerminationDateConvention(BusinessDayConvention);
MakeSchedule& withRule(DateGeneration::Rule);
MakeSchedule& forwards();
MakeSchedule& backwards();
MakeSchedule& endOfMonth(bool flag=true);
MakeSchedule& withFirstDate(const Date& d);
MakeSchedule& withNextToLastDate(const Date& d);
%extend{
Schedule schedule(){
return (Schedule)(* $self);
}
}
};
#if defined(SWIGPYTHON)
%pythoncode{
def MakeSchedule(effectiveDate=None,terminationDate=None,tenor=None,
frequency=None,calendar=None,convention=None,terminalDateConvention=None,
rule=None,forwards=False,backwards=False,
endOfMonth=None,firstDate=None,nextToLastDate=None):
ms = _MakeSchedule()
if effectiveDate is not None:
ms.fromDate(effectiveDate)
if terminationDate is not None:
ms.to(terminationDate)
if tenor is not None:
ms.withTenor(tenor)
if frequency is not None:
ms.withFrequency(frequency)
if calendar is not None:
ms.withCalendar(calendar)
if convention is not None:
ms.withConvention(convention)
if terminalDateConvention is not None:
ms.withTerminationDateConvention(terminalDateConvention)
if rule is not None:
ms.withRule(rule)
if forwards:
ms.forwards()
if backwards:
ms.backwards()
if endOfMonth is not None:
ms.endOfMonth(endOfMonth)
if firstDate is not None:
ms.withFirstDate(firstDate)
if nextToLastDate is not None:
ms.withNextToLastDate(nextToLastDate)
return ms.schedule()
}
#endif
#endif
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