quotes.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2006 Francois du Vignaud
 Copyright (C) 2006 Giorgio Facchinetti
 Copyright (C) 2007 Eric Ehlers
 
 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_quotes_hpp
#define qla_quotes_hpp
 
#include <qlo/quote.hpp>
 
#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/experimental/risk/sensitivityanalysis.hpp>
 
namespace QuantLib {
    class Index;
    class IborIndex;
    class SwapIndex;
    class Quote;
    class SimpleQuote;
    class Date;
    class CapsStripper2;
    class Period;
 
    template <class T>
    class Handle;
}
 
namespace QuantLibAddin {
 
    class SimpleQuote : public Quote {
      public:
        SimpleQuote(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                    QuantLib::Real value,
                    QuantLib::Real tickValue,
                    bool permanent);
        QuantLib::Real tickValue() const;
        void setTickValue(QuantLib::Real tickValue);
        // it wraps underlying QuantLib::SimpleQuote method
        // in order to make SimpleQuote serializable in a stateful way
        QuantLib::Real setValue(QuantLib::Real value);
    private:
        boost::shared_ptr<QuantLib::SimpleQuote> simpleQuote_;
    };
 
    class ForwardValueQuote : public Quote {
      public:
        ForwardValueQuote(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                          const boost::shared_ptr<QuantLib::IborIndex>&,
                          const QuantLib::Date& fixingDate,
                          bool permanent);
    };
 
    class ForwardSwapQuote : public Quote {
      public:
        ForwardSwapQuote(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                         const boost::shared_ptr<QuantLib::SwapIndex>& swapIndex,
                         const QuantLib::Handle<QuantLib::Quote>& spread,
                         const QuantLib::Period& fwdStart,
                         bool permanent);
    };
 
    class ImpliedStdDevQuote : public Quote {
      public:
        ImpliedStdDevQuote(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                           QuantLib::Option::Type optionType,
                           const QuantLib::Handle<QuantLib::Quote>& forward,
                           const QuantLib::Handle<QuantLib::Quote>& price,
                           QuantLib::Real strike,
                           QuantLib::Real guess,
                           QuantLib::Real accuracy,
                           bool permanent);
    };
 
    class EurodollarFuturesImpliedStdDevQuote : public Quote {
      public:
        EurodollarFuturesImpliedStdDevQuote(
                        const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                        const QuantLib::Handle<QuantLib::Quote>& forward,
                        const QuantLib::Handle<QuantLib::Quote>& callPrice,
                        const QuantLib::Handle<QuantLib::Quote>& putPrice,
                        QuantLib::Real strike,
                        QuantLib::Real guess,
                        QuantLib::Real accuracy,
                        bool permanent);
    };
 
     class FuturesConvAdjustmentQuote : public Quote {
      public:
        FuturesConvAdjustmentQuote(
                    const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                    const boost::shared_ptr<QuantLib::IborIndex>& index,
                    const std::string& immCode,
                    const QuantLib::Handle<QuantLib::Quote>& futuresQuote,
                    const QuantLib::Handle<QuantLib::Quote>& volatility,
                    const QuantLib::Handle<QuantLib::Quote>& meanReversion,
                    bool permanent);
    };
 
     class CompositeQuote : public Quote {
      public:
        CompositeQuote(
                    const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                    const QuantLib::Handle<QuantLib::Quote>& element1,
                    const QuantLib::Handle<QuantLib::Quote>& element2,
                    const std::string& op,
                    bool permanent);
    };
 
    class LastFixingQuote : public Quote {
      public:
        LastFixingQuote(const boost::shared_ptr<ObjectHandler::ValueObject>& p,
                        const boost::shared_ptr<QuantLib::Index>& index,
                        bool permanent);
    };
 
    std::vector<std::vector<QuantLib::Real> >
    bucketAnalysis(const std::vector<std::vector<QuantLib::Handle<QuantLib::Quote> > >&,
                   const std::vector<boost::shared_ptr<QuantLib::Instrument> >&,
                   const std::vector<QuantLib::Real>& quant,
                   QuantLib::Real shift,
                   QuantLib::SensitivityAnalysis type);
 
    inline std::vector<QuantLib::Real>
    bucketAnalysisDelta(const QuantLib::Handle<QuantLib::SimpleQuote>& quote,
                        const std::vector<QuantLib::Handle<QuantLib::Quote> >& parameters,
                        QuantLib::Real shift,
                        QuantLib::SensitivityAnalysis type) {
        std::vector<QuantLib::Real> deltaVector;
        std::vector<QuantLib::Real> gammaVector;
        std::vector<QuantLib::Real> refVals;
        QuantLib::bucketAnalysis(deltaVector, gammaVector, refVals,
                                 quote, parameters, shift, type);
        return deltaVector;
    }
 
    std::vector<std::vector<QuantLib::Real> >
    bucketAnalysisDelta2(const std::vector<QuantLib::Handle<QuantLib::Quote> >& quotes,
                         const std::vector<QuantLib::Handle<QuantLib::Quote> >& parameters,
                         QuantLib::Real shift,
                         QuantLib::SensitivityAnalysis type);
}
 
#endif