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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
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.
*/
/*! \file forwardswapquote.hpp
\brief quote for a forward starting swap
*/
#ifndef quantlib_forward_swap_quote_hpp
#define quantlib_forward_swap_quote_hpp
#include <ql/patterns/lazyobject.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Quote for a forward starting swap
class ForwardSwapQuote : public Quote,
public LazyObject {
public:
ForwardSwapQuote(ext::shared_ptr<SwapIndex> swapIndex,
Handle<Quote> spread,
const Period& fwdStart);
//! \name Quote interface
//@{
Real value() const override;
bool isValid() const override;
//@}
//! \name Observer interface
//@{
void update() override;
//@}
const Date& valueDate() const;
const Date& startDate() const;
const Date& fixingDate() const;
protected:
void initializeDates();
void performCalculations() const override;
ext::shared_ptr<SwapIndex> swapIndex_;
Handle<Quote> spread_;
Period fwdStart_;
Date evaluationDate_, valueDate_, startDate_, fixingDate_;
ext::shared_ptr<VanillaSwap> swap_;
mutable Rate result_;
};
}
#endif
|
