FRA.hpp

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#ifndef JULIAN_FRA_HPP
#define JULIAN_FRA_HPP

#include <instruments/linear/linearInstrument.hpp>
#include <interestRates/interestRate.hpp>
#include <utils/utils.hpp>
#include <marketData/interestRateCurves/curveBuildingBlock.hpp>
#include <instruments/instrumentAuxiliaryTypes.hpp>

namespace julian {

  class FRA: public LinearInstrument, public ir::BuildingBlock {
  public:
    FRA(){};
    FRA(Date trade_date, Date fixing_date, Date value_date, Date maturity_date, InterestRate rate, double notional, double fixing, double quoting);
    

    double price(const SmartPointer<ir::Curve>&) override;
    double price(const SmartPointer<ir::Curve>& discounting, const SmartPointer<ir::Curve>& projecting,
         const SmartPointer<ir::Curve>& , const SmartPointer<ir::Curve>& ) override;
    void valuation(const SmartPointer<ir::Curve>&) override;
    void valuation(const SmartPointer<ir::Curve>& discounting1, const SmartPointer<ir::Curve>& discounting2,
           const SmartPointer<ir::Curve>& projecting1, const SmartPointer<ir::Curve>& projecting2) override;
    
    Date getDate() const override;
    std::pair<CashFlowVector,CashFlowVector> getCFs() const override;
    double calibrate(const SmartPointer<ir::Curve>& calibrated) override;
    double calibrate(const SmartPointer<ir::Curve>& discounting, const SmartPointer<ir::Curve>& projection ,const SmartPointer<ir::Curve>& calibrated) override;
    double getParRate(const SmartPointer<ir::Curve>& discounting ,const SmartPointer<ir::Curve>& projection,const SmartPointer<ir::Curve>& projection2) override;
    double getQuoting() override;
    void changeQuoting(double) override;
    InterestRate getInterestRate() const override;
    std::string info() const override;

    FRA* clone() const;
    ~FRA(){};
    
    friend std::ostream& operator<<(std::ostream&,FRA&);
    
  private:
    Date trade_date_; 
    Date fixing_date_; 
    Date value_date_; 
    Date maturity_date_; 
    InterestRate rate_;  
    double notional_; 
    double fixing_; 
    double quote_; 
    CashFlowVector floating_leg_; 
    CashFlowVector fixed_leg_; 
  };
}
#endif