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// RQuantLib function prototypes and macros
//
// Copyright 2002 - 2019 Dirk Eddelbuettel <edd@debian.org>
// Copyright 2005 - 2006 Dominick Samperi
//
// This program is free software; you can redistribute it and/or modify
// it under the terms of the GNU General Public License as published by
// the Free Software Foundation; either version 2 of the License, or
// (at your option) any later version.
//
// 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
// GNU General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with RcppArmadillo. If not, see <http://www.gnu.org/licenses/>.
#ifndef rquantlib_h
#define rquantlib_h
#include <ql/quantlib.hpp>
#include <boost/algorithm/string.hpp>
#include <boost/lexical_cast.hpp>
#include <ql/shared_ptr.hpp>
//using namespace QuantLib;
#include <RcppCommon.h>
namespace Rcpp {
// non-intrusive extension via template specialisation
template <> QuantLib::Date as(SEXP dtsexp);
// non-intrusive extension via template specialisation
template <> SEXP wrap(const QuantLib::Date &d);
// non-intrusive extension via template specialisation
template <> std::vector<QuantLib::Date> as(SEXP dtvecsexp);
// non-intrusive extension via template specialisation
template <> SEXP wrap(const std::vector<QuantLib::Date> &dvec);
}
#include <Rcpp.h>
//#define NULL_RateHelper (QuantLib::ext::shared_ptr<RateHelper>)Null<QuantLib::ext::shared_ptr<RateHelper> >()
// Prototypes for convenience functions (some macros)
//void insertListElement(SEXP &list, SEXP &names,
// const int pos, const double value,
// const char *label);
//SEXP getListElement(SEXP list, char *str);
// Used to maintain context while in an R function.
class RQLContext : public QuantLib::Singleton<RQLContext> {
public:
RQLContext() {
fixingDays = 2;
calendar = QuantLib::TARGET();
settleDate = QuantLib::Date::todaysDate()+2;
}
// The tradeDate (evaluation date) is maintained by Settings,
// (which is a singleton structure provided by QuantLib)
// and used to translate between dates and real-valued times.
QuantLib::Date settleDate;
QuantLib::Calendar calendar;
QuantLib::Integer fixingDays;
};
// Instrument types used to construct the yield curve.
enum RQLObservableType { RQLDeposit, RQLSwap, RQLFuture, RQLFRA };
// Used to identify the specifics of a particular contract.
class RQLObservable {
public:
RQLObservable(RQLObservableType type,
int n1, int n2,
QuantLib::TimeUnit units)
: type_(type), n1_(n1), n2_(n2), units_(units) {}
RQLObservableType getType() { return type_; }
int getN1() { return n1_; }
int getN2() { return n2_; }
QuantLib::TimeUnit getUnits() { return units_; }
private:
RQLObservableType type_;
int n1_, n2_; // n2 used for FRA's
QuantLib::TimeUnit units_; // not used for futures and FRA's
};
typedef std::map<std::string, RQLObservable*> RQLMap;
typedef std::map<std::string, RQLObservable*>::const_iterator RQLMapIterator;
// Database used to maintain curve construction instrument details.
class ObservableDB : public QuantLib::Singleton<ObservableDB> {
public:
ObservableDB();
QuantLib::ext::shared_ptr<QuantLib::RateHelper> getRateHelper(std::string& ticker, QuantLib::Rate r); // original rate helper
// modded rate helper to allow variable daycount and frequencies in curve building
QuantLib::ext::shared_ptr<QuantLib::RateHelper> getRateHelper(std::string& ticker, QuantLib::Rate r, double fixDayCount, double fixFreq, int floatIndex);
private:
RQLMap db_;
};
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>
getTermStructure(std::string& interpWhat, std::string& interpHow,
const QuantLib::Date& settleDate,
const std::vector<QuantLib::ext::shared_ptr<QuantLib::RateHelper> >& curveInput,
QuantLib::DayCounter& dayCounter, QuantLib::Real tolerance);
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>
makeFlatCurve(const QuantLib::Date& today,
const QuantLib::ext::shared_ptr<QuantLib::Quote>& forward,
const QuantLib::DayCounter& dc);
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>
flatRate(const QuantLib::Date& today,
const QuantLib::ext::shared_ptr<QuantLib::Quote>& forward,
const QuantLib::DayCounter& dc);
QuantLib::ext::shared_ptr<QuantLib::BlackVolTermStructure>
makeFlatVolatility(const QuantLib::Date& today,
const QuantLib::ext::shared_ptr<QuantLib::Quote>& vol,
QuantLib::DayCounter dc);
QuantLib::ext::shared_ptr<QuantLib::BlackVolTermStructure>
flatVol(const QuantLib::Date& today,
const QuantLib::ext::shared_ptr<QuantLib::Quote>& vol,
const QuantLib::DayCounter& dc);
enum EngineType {Analytic,
JR, CRR, EQP, TGEO, TIAN, LR, JOSHI,
FiniteDifferences, Integral,
PseudoMonteCarlo, QuasiMonteCarlo };
enum optionType { European = 0, American };
QuantLib::ext::shared_ptr<QuantLib::VanillaOption>
makeOption(const QuantLib::ext::shared_ptr<QuantLib::StrikedTypePayoff>& payoff,
const QuantLib::ext::shared_ptr<QuantLib::Exercise>& exercise,
const QuantLib::ext::shared_ptr<QuantLib::Quote>& u,
const QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>& q,
const QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>& r,
const QuantLib::ext::shared_ptr<QuantLib::BlackVolTermStructure>& vol,
EngineType engineType = Analytic,
QuantLib::Size binomialSteps=128,
QuantLib::Size samples=100);
QuantLib::ext::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>
makeProcess(const QuantLib::ext::shared_ptr<QuantLib::Quote>& u,
const QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>& q,
const QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure>& r,
const QuantLib::ext::shared_ptr<QuantLib::BlackVolTermStructure>& vol);
// int dateFromR(const RcppDate &d); // using 'classic' API's RcppDate
int dateFromR(const Rcpp::Date &d); // using 'new' API's Rcpp::Date
//utility functions for parameters of fixed-income instrument function
QuantLib::IborIndex getIborIndex(std::string type);
QuantLib::Frequency getFrequency(const double n);
QuantLib::TimeUnit getTimeUnit(const double n);
QuantLib::Compounding getCompounding(const double n);
QuantLib::BusinessDayConvention getBusinessDayConvention(const double n);
QuantLib::DayCounter getDayCounter(const double n);
QuantLib::DateGeneration::Rule getDateGenerationRule(const double n);
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> buildTermStructure(Rcpp::List params, Rcpp::List);
QuantLib::Schedule getSchedule(Rcpp::List rparam);
QuantLib::ext::shared_ptr<QuantLib::FixedRateBond> getFixedRateBond(Rcpp::List bondparam, std::vector<double> ratesVec, Rcpp::List scheduleparam);
//QuantLib::ext::shared_ptr<QuantLib::IborIndex> getIborIndex(Rcpp::List index, const QuantLib::Date today);////****** ??
//QuantLib::ext::shared_ptr<QuantLib::IborIndex> getIborIndex(std:string type);////****** ??
// deprecated std::vector<double> getDoubleVector(SEXP vector);
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> getFlatCurve(Rcpp::List flatcurve);
//QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> rebuildCurveFromZeroRates(SEXP dateSexp, SEXP zeroSexp);
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> rebuildCurveFromZeroRates(std::vector<QuantLib::Date> dates, std::vector<double> zeros);
QuantLib::ext::shared_ptr<QuantLib::IborIndex>
buildIborIndex(std::string type,
const QuantLib::Handle<QuantLib::YieldTermStructure>& iborStrc);
//QuantLib::Calendar* getCalendar(SEXP calParameters);
QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &calstr);
QuantLib::Period periodByTimeUnit(int length, std::string unit);
// simple option type creator based on string
QuantLib::Option::Type getOptionType(const std::string &t);
// create a data.frame with dates and amounts
Rcpp::DataFrame getCashFlowDataFrame(const QuantLib::Leg &bondCashFlow);
// fill QL data structures based on data.frames
QuantLib::DividendSchedule getDividendSchedule(Rcpp::DataFrame dividendScheduleFrame);
QuantLib::CallabilitySchedule getCallabilitySchedule(Rcpp::DataFrame callabilityScheduleFrame);
QuantLib::Duration::Type getDurationType(const double n);
// dates.cpp
QuantLib::Date advanceDate(QuantLib::Date issueDate, int days);
#endif
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