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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007, 2010 Ferdinando Ametrano
Copyright (C) 2006 Katiuscia Manzoni
Copyright (C) 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
<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 makevanillaswap.hpp
\brief Helper class to instantiate standard market swaps.
*/
#ifndef quantlib_makevanillaswap_hpp
#define quantlib_makevanillaswap_hpp
#include <ql/instruments/vanillaswap.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way
to instantiate standard market swap.
*/
class MakeVanillaSwap {
public:
MakeVanillaSwap(const Period& swapTenor,
const boost::shared_ptr<IborIndex>& iborIndex,
Rate fixedRate = Null<Rate>(),
const Period& forwardStart = 0*Days);
operator VanillaSwap() const;
operator boost::shared_ptr<VanillaSwap>() const;
MakeVanillaSwap& receiveFixed(bool flag = true);
MakeVanillaSwap& withType(VanillaSwap::Type type);
MakeVanillaSwap& withNominal(Real n);
MakeVanillaSwap& withEffectiveDate(const Date&);
MakeVanillaSwap& withTerminationDate(const Date&);
MakeVanillaSwap& withRule(DateGeneration::Rule r);
MakeVanillaSwap& withFixedLegTenor(const Period& t);
MakeVanillaSwap& withFixedLegCalendar(const Calendar& cal);
MakeVanillaSwap& withFixedLegConvention(BusinessDayConvention bdc);
MakeVanillaSwap& withFixedLegTerminationDateConvention(
BusinessDayConvention bdc);
MakeVanillaSwap& withFixedLegRule(DateGeneration::Rule r);
MakeVanillaSwap& withFixedLegEndOfMonth(bool flag = true);
MakeVanillaSwap& withFixedLegFirstDate(const Date& d);
MakeVanillaSwap& withFixedLegNextToLastDate(const Date& d);
MakeVanillaSwap& withFixedLegDayCount(const DayCounter& dc);
MakeVanillaSwap& withFloatingLegTenor(const Period& t);
MakeVanillaSwap& withFloatingLegCalendar(const Calendar& cal);
MakeVanillaSwap& withFloatingLegConvention(BusinessDayConvention bdc);
MakeVanillaSwap& withFloatingLegTerminationDateConvention(
BusinessDayConvention bdc);
MakeVanillaSwap& withFloatingLegRule(DateGeneration::Rule r);
MakeVanillaSwap& withFloatingLegEndOfMonth(bool flag = true);
MakeVanillaSwap& withFloatingLegFirstDate(const Date& d);
MakeVanillaSwap& withFloatingLegNextToLastDate(const Date& d);
MakeVanillaSwap& withFloatingLegDayCount(const DayCounter& dc);
MakeVanillaSwap& withFloatingLegSpread(Spread sp);
MakeVanillaSwap& withDiscountingTermStructure(
const Handle<YieldTermStructure>& discountCurve);
MakeVanillaSwap& withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine);
private:
Period swapTenor_;
boost::shared_ptr<IborIndex> iborIndex_;
Rate fixedRate_;
Period forwardStart_;
Date effectiveDate_, terminationDate_;
Calendar fixedCalendar_, floatCalendar_;
VanillaSwap::Type type_;
Real nominal_;
Period fixedTenor_, floatTenor_;
BusinessDayConvention fixedConvention_, fixedTerminationDateConvention_;
BusinessDayConvention floatConvention_, floatTerminationDateConvention_;
DateGeneration::Rule fixedRule_, floatRule_;
bool fixedEndOfMonth_, floatEndOfMonth_;
Date fixedFirstDate_, fixedNextToLastDate_;
Date floatFirstDate_, floatNextToLastDate_;
Spread floatSpread_;
DayCounter fixedDayCount_, floatDayCount_;
boost::shared_ptr<PricingEngine> engine_;
};
}
#endif
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