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/*
Copyright (C) 2015 Gouthaman Balaraman
Copyright (C) 2018 Matthias Lungwitz
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_i
#define quantlib_forward_i
%include instruments.i
%include termstructures.i
%include interestrate.i
// Forward
%{
using QuantLib::Forward;
%}
%shared_ptr(Forward)
class Forward : public Instrument{
public:
Date settlementDate() const;
bool isExpired() const;
const Calendar& calendar() const;
BusinessDayConvention businessDayConvention() const;
const DayCounter& dayCounter() const;
Handle<YieldTermStructure> discountCurve() const;
Handle<YieldTermStructure> incomeDiscountCurve() const;
Real spotValue() const;
Real spotIncome(const Handle<YieldTermStructure>&
incomeDiscountCurve) const;
// calculations
Real forwardValue();
InterestRate impliedYield(
Real underlyingSpotValue,
Real forwardValue,
Date settlementDate,
Compounding compoundingConvention,
DayCounter dayCounter);
private:
Forward();
};
%{
using QuantLib::BondForward;
using QuantLib::FixedRateBond;
using QuantLib::BusinessDayConvention;
using QuantLib::Position;
%}
%shared_ptr(BondForward)
class BondForward : public Forward {
public:
BondForward(const Date& valueDate,
const Date& maturityDate,
Position::Type type,
Real strike,
Natural settlementDays,
const DayCounter& dayCounter,
const Calendar& calendar,
BusinessDayConvention businessDayConvention,
const ext::shared_ptr<Bond>& bond,
const Handle<YieldTermStructure>& discountCurve = {},
const Handle<YieldTermStructure>& incomeDiscountCurve = {});
Real forwardPrice();
Real cleanForwardPrice();
};
#endif
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