IRS.hpp

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#ifndef JULIAN_IRS_HPP
#define JULIAN_IRS_HPP

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

namespace julian {

  class IRS: public LinearInstrument, public ir::BuildingBlock {
  public:
    IRS(){};
    IRS(Date trade_date,Date start_date, Date maturity_date,
    CashFlowVector fixed_leg, CashFlowVector floating_leg, InterestRate fixed_leg_rate, InterestRate floating_leg_rate,
    double notional,  double quoting,Frequency fixed_leg_freq, Frequency floating_leg_freq) {
      trade_date_ = trade_date;
      start_date_ = start_date;
      maturity_date_ = maturity_date;

      fixed_leg_ = fixed_leg;
      floating_leg_ = floating_leg;
      
      fixed_leg_rate_ = fixed_leg_rate;
      floating_leg_rate_ = floating_leg_rate;
      notional_ = notional; 
      quoting_ = quoting;
      //fixing_ = fixing;
      
      fixed_leg_freq_ = fixed_leg_freq;
      floating_leg_freq_ = floating_leg_freq;
    };
    
    
    
    virtual double price(const SmartPointer<ir::Curve>&);
    virtual double price(const SmartPointer<ir::Curve>& discounting, const SmartPointer<ir::Curve>& projecting,const SmartPointer<ir::Curve>& ,const SmartPointer<ir::Curve>& );
    virtual void valuation(const SmartPointer<ir::Curve>&);
    virtual void valuation(const SmartPointer<ir::Curve>& discounting, const SmartPointer<ir::Curve>& projecting,const SmartPointer<ir::Curve>& ,const SmartPointer<ir::Curve>& );
    
    virtual Date getDate() const override;
    virtual std::pair<CashFlowVector, CashFlowVector> getCFs() const override;
    virtual double calibrate(const SmartPointer<ir::Curve>& calibrated) override;
    virtual double calibrate(const SmartPointer<ir::Curve>& discounting, const SmartPointer<ir::Curve>& projection ,const SmartPointer<ir::Curve>& calibrated) override;
    virtual double getParRate(const SmartPointer<ir::Curve>& discounting,const  SmartPointer<ir::Curve>& projection,const  SmartPointer<ir::Curve>& projection2) override;
    virtual double getQuoting() override;
    virtual void changeQuoting(double) override;
    virtual InterestRate getInterestRate() const override;
    std::string info() const override;
    
    virtual ~IRS(){};
    virtual IRS* clone() const;
        
    friend std::ostream& operator<<(std::ostream&, IRS&);
  private:
    Date trade_date_;  
    Date start_date_; 
    Date maturity_date_; 
    CashFlowVector fixed_leg_; 
    CashFlowVector floating_leg_; 
    InterestRate fixed_leg_rate_; 
    InterestRate floating_leg_rate_; 
    double notional_;  
    double quoting_;  
    Frequency fixed_leg_freq_;  
    Frequency floating_leg_freq_;  
  };
}
#endif