1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 J. Erik Radmall
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 commoditypricinghelpers.hpp
\brief Commodity pricing helpers
*/
#ifndef quantlib_payment_term_hpp
#define quantlib_payment_term_hpp
#include <ql/time/calendar.hpp>
#include <map>
namespace QuantLib {
class PaymentTerm {
public:
enum EventType { TradeDate, PricingDate };
PaymentTerm();
PaymentTerm(const std::string& name,
EventType eventType,
Integer offsetDays,
const Calendar& calendar);
//! \name Inspectors
//@{
//! name, e.g, "Pricing end + 5 days"
const std::string& name() const;
EventType eventType() const;
Integer offsetDays() const;
const Calendar& calendar() const;
bool empty() const;
//@}
Date getPaymentDate(const Date& date) const;
protected:
struct Data;
boost::shared_ptr<Data> data_;
struct Data {
std::string name;
EventType eventType;
Integer offsetDays;
Calendar calendar;
Data(const std::string& name, EventType eventType, Integer offsetDays,
const Calendar& calendar);
};
static std::map<std::string, boost::shared_ptr<Data> > paymentTerms_;
};
/*! \relates PaymentTerm */
bool operator==(const PaymentTerm&,
const PaymentTerm&);
/*! \relates PaymentTerm */
bool operator!=(const PaymentTerm&,
const PaymentTerm&);
/*! \relates PaymentTerm */
std::ostream& operator<<(std::ostream&,
const PaymentTerm&);
inline PaymentTerm::Data::Data(const std::string& name,
PaymentTerm::EventType eventType,
Integer offsetDays,
const Calendar& calendar)
: name(name), eventType(eventType),
offsetDays(offsetDays), calendar(calendar) {}
inline PaymentTerm::PaymentTerm() {}
inline const std::string& PaymentTerm::name() const {
return data_->name;
}
inline PaymentTerm::EventType PaymentTerm::eventType() const {
return data_->eventType;
}
inline Integer PaymentTerm::offsetDays() const {
return data_->offsetDays;
}
inline Date PaymentTerm::getPaymentDate(const Date& date) const {
return data_->calendar.adjust(date + data_->offsetDays);
}
inline bool PaymentTerm::empty() const {
return !data_;
}
inline bool operator==(const PaymentTerm& c1, const PaymentTerm& c2) {
return c1.name() == c2.name();
}
inline bool operator!=(const PaymentTerm& c1, const PaymentTerm& c2) {
return !(c1 == c2);
}
}
#endif
|
