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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 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.
*/
/*! \file flatforward.hpp
\brief flat forward rate term structure
*/
#ifndef quantlib_flat_forward_curve_hpp
#define quantlib_flat_forward_curve_hpp
#include <ql/patterns/lazyobject.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quotes/simplequote.hpp>
namespace QuantLib {
//! Flat interest-rate curve
/*! \ingroup yieldtermstructures */
class FlatForward : public YieldTermStructure,
public LazyObject {
public:
// constructors
FlatForward(const Date& referenceDate,
const Handle<Quote>& forward,
const DayCounter& dayCounter,
Compounding compounding = Continuous,
Frequency frequency = Annual);
FlatForward(const Date& referenceDate,
Rate forward,
const DayCounter& dayCounter,
Compounding compounding = Continuous,
Frequency frequency = Annual);
FlatForward(Natural settlementDays,
const Calendar& calendar,
const Handle<Quote>& forward,
const DayCounter& dayCounter,
Compounding compounding = Continuous,
Frequency frequency = Annual);
FlatForward(Natural settlementDays,
const Calendar& calendar,
Rate forward,
const DayCounter& dayCounter,
Compounding compounding = Continuous,
Frequency frequency = Annual);
// inspectors
Compounding compounding() const { return compounding_; }
Frequency compoundingFrequency() const { return frequency_; }
virtual void performCalculations() const;
Date maxDate() const;
void update();
private:
DiscountFactor discountImpl(Time) const;
Handle<Quote> forward_;
Compounding compounding_;
Frequency frequency_;
mutable InterestRate rate_;
};
// inline definitions
inline FlatForward::FlatForward(const Date& referenceDate,
const Handle<Quote>& forward,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency)
: YieldTermStructure(referenceDate, Calendar(), dayCounter),
forward_(forward), compounding_(compounding), frequency_(frequency) {
registerWith(forward_);
}
inline FlatForward::FlatForward(const Date& referenceDate,
Rate forward,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency)
: YieldTermStructure(referenceDate, Calendar(), dayCounter),
forward_(boost::shared_ptr<Quote>(new SimpleQuote(forward))),
compounding_(compounding), frequency_(frequency) {}
inline FlatForward::FlatForward(Natural settlementDays,
const Calendar& calendar,
const Handle<Quote>& forward,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency)
: YieldTermStructure(settlementDays, calendar, dayCounter),
forward_(forward), compounding_(compounding), frequency_(frequency) {
registerWith(forward_);
}
inline FlatForward::FlatForward(Natural settlementDays,
const Calendar& calendar,
Rate forward,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency)
: YieldTermStructure(settlementDays, calendar, dayCounter),
forward_(boost::shared_ptr<Quote>(new SimpleQuote(forward))),
compounding_(compounding), frequency_(frequency) {}
inline Date FlatForward::maxDate() const {
return Date::maxDate();
}
inline void FlatForward::update() {
LazyObject::update();
YieldTermStructure::update();
}
inline DiscountFactor FlatForward::discountImpl(Time t) const {
calculate();
return rate_.discountFactor(t);
}
inline void FlatForward::performCalculations() const {
rate_ = InterestRate(forward_->value(), dayCounter(),
compounding_, frequency_);
}
}
#endif
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