overnightindexedswap.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009, 2011, 2015 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_overnightindexedswap_hpp
#define qla_overnightindexedswap_hpp
 
#include <qlo/swap.hpp>
#include <ql/instruments/overnightindexedswap.hpp>
 
namespace QuantLib {
    class OISRateHelper;
}
 
namespace QuantLibAddin {
 
    class OvernightIndexedSwap : public Swap {
    public:
        OvernightIndexedSwap(
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::OvernightIndexedSwap::Type type,
            std::vector<QuantLib::Real> nominals,
            const boost::shared_ptr<QuantLib::Schedule>& schedule,
            QuantLib::Rate fixedRate,
            const QuantLib::DayCounter& fixedDC,
            const boost::shared_ptr<QuantLib::OvernightIndex>& overnightIndex,
            QuantLib::Spread overnightSpread,
            QuantLib::Natural paymentLag,            
            bool permanent);
        OvernightIndexedSwap( // MakeOIS
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            QuantLib::Natural settlDays,
            const QuantLib::Period& swapTenor,
            const boost::shared_ptr<QuantLib::OvernightIndex>& overnightIndex,
            QuantLib::Rate fixedRate,
            const QuantLib::Period& forwardStart,
            const QuantLib::DayCounter& fixLegDayCounter,
            QuantLib::Spread floatingLegSpread,
            QuantLib::Natural paymentLag,
            bool permanent);
        OvernightIndexedSwap( // MakeDatedOIS
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const QuantLib::Date& startDate,
            const QuantLib::Date& enddate,
            const boost::shared_ptr<QuantLib::OvernightIndex>& overnightIndex,
            QuantLib::Rate fixedRate,
            const QuantLib::DayCounter& fixLegDayCounter,
            QuantLib::Spread floatingLegSpread,
            bool permanent);
        //OvernightIndexedSwap( //OISIndex->underlyingSwap()
        //    const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
        //    const boost::shared_ptr<QuantLib::OISIndex>& oisIndex,
        //    const QuantLib::Date& fixingDate,
        //    bool permanent);
        OvernightIndexedSwap( // OISRateHelper->swap()
            const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
            const boost::shared_ptr<QuantLib::OISRateHelper>& swapRH,
            bool permanent);
        std::vector<std::vector<ObjectHandler::property_t> > fixedLegAnalysis(
            const QuantLib::Date& d);
        std::vector<std::vector<ObjectHandler::property_t> > overnightLegAnalysis(
            const QuantLib::Date& d);
    };
 
}
 
#endif