btp.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010, 2011 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
 <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.
*/
 
#ifndef qla_btp_hpp
#define qla_btp_hpp
 
#include <qlo/bonds.hpp>
#include <qlo/quote.hpp>
 
namespace QuantLib {
    class RendistatoBasket;
    class RendistatoCalculator;
    class BTP;
    template <class T>
    class Handle;
    class Quote;
    class Euribor;
}
 
namespace QuantLibAddin {
 
    class CCTEU : public FloatingRateBond {
      public:
        CCTEU(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
              const std::string&,
              const QuantLib::Date& maturityDate,
              QuantLib::Spread spread,
              const QuantLib::Handle<QuantLib::YieldTermStructure>& fwdCurve,
              const QuantLib::Date& startDate,
              const QuantLib::Date& issueDate,
              bool permanent);
    };
 
    class BTP : public FixedRateBond {
      public:
        BTP(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const std::string&,
            const QuantLib::Date& maturityDate,
            QuantLib::Rate fixedRate,
            const QuantLib::Date& startDate,
            const QuantLib::Date& issueDate,
            bool permanent);
        BTP(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const std::string&,
            const QuantLib::Date& maturityDate,
            QuantLib::Rate fixedRate,
            QuantLib::Real redemption,
            const QuantLib::Date& startDate,
            const QuantLib::Date& issueDate,
            bool permanent);
    };
 
    class RendistatoBasket : public ObjectHandler::LibraryObject<QuantLib::RendistatoBasket> {
      public:
        RendistatoBasket(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const std::vector<boost::shared_ptr<QuantLib::BTP> >& btps,
            const std::vector<QuantLib::Real>& outstandings,
            const std::vector<QuantLib::Handle<QuantLib::Quote> >& cleanPriceQuotes,
            bool permanent);
    };
 
    class RendistatoCalculator : public ObjectHandler::LibraryObject<QuantLib::RendistatoCalculator> {
      public:
        RendistatoCalculator(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::RendistatoBasket>& basket,
            const boost::shared_ptr<QuantLib::Euribor>& euriborIndex,
            const QuantLib::Handle<QuantLib::YieldTermStructure>& discountCurve,
            bool permanent);
    };
 
    class RendistatoEquivalentSwapLengthQuote : public Quote {
      public:
        RendistatoEquivalentSwapLengthQuote(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::RendistatoCalculator>& r,
            bool permanent);
    };
 
    class RendistatoEquivalentSwapSpreadQuote : public Quote {
      public:
        RendistatoEquivalentSwapSpreadQuote(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::RendistatoCalculator>& r,
            bool permanent);
    };
 
}
 
#endif