linearInstrumentBuilder.hpp

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#ifndef JULIAN_LINEARINSTRUMENTBUILDER_HPP
#define JULIAN_LINEARINSTRUMENTBUILDER_HPP

#include <dates/_all_dates.hpp>
#include <instruments/linear/deposit.hpp>
#include <instruments/linear/FRA.hpp>
#include <instruments/linear/IRS.hpp>
#include <instruments/bonds/_all_bonds.hpp>
#include <map>

namespace julian {
  
  class BuildLinearInstrument {
  public:
    BuildLinearInstrument();
    BuildLinearInstrument& usingCalendar(const Calendar&);
    
    BuildLinearInstrument& withTenor(const Tenor&);
    BuildLinearInstrument& withTenor(const TimeUnit&);
    
    BuildLinearInstrument& withForwardTenors(const Tenor&,const Tenor&);
    
    BuildLinearInstrument& startingInQuarter(const int&,const int&);
    BuildLinearInstrument& nextFuturesDate(const int&);
    
    BuildLinearInstrument& withTradeDate(const Date&);
    BuildLinearInstrument& withStartDate(const Date&);
    BuildLinearInstrument& withFixingDate(const Date&);
    BuildLinearInstrument& withFraSettlementDate(const Date&);
    BuildLinearInstrument& withMaturityDate(const Date&);
    
    BuildLinearInstrument& withTradeDate(int y,int m,int d);
    BuildLinearInstrument& withStartDate(int y,int m,int d);
    BuildLinearInstrument& withFixingDate(int y,int m,int d);
    BuildLinearInstrument& withMaturityDate(int y,int m,int d);
    
    BuildLinearInstrument& withFixedLegFrequency(const Frequency&);
    BuildLinearInstrument& withFloatingLegFrequency(const Frequency&);
    BuildLinearInstrument& withMainLegFrequency(const Frequency&);
    BuildLinearInstrument& withSpreadLegFrequency(const Frequency&);
    
    BuildLinearInstrument& withInterestRate(const InterestRate&);
    BuildLinearInstrument& withInterestRateForFixedLeg(const InterestRate&);
    BuildLinearInstrument& withInterestRateForFloatingLeg(const InterestRate&);
    BuildLinearInstrument& withInterestRateForMainLeg(const InterestRate&);
    BuildLinearInstrument& withInterestRateForSpreadLeg(const InterestRate&);
    
    BuildLinearInstrument& withNotional(const double);
    BuildLinearInstrument& withQuote(const double);
    BuildLinearInstrument& withAdditiveMargin(const double);
    BuildLinearInstrument& withMultiplicativeMargin(const double);
    BuildLinearInstrument& withHaircut(const double);
    BuildLinearInstrument& withBasisPoints(const double);
    BuildLinearInstrument& withFixing(const double, const Date ); 
    BuildLinearInstrument& withConvexityAdjustment(const double);

    BuildLinearInstrument& withFxSpot(const double);
    BuildLinearInstrument& withSwapPoints(const double);
    
    BuildLinearInstrument& withBond(const SmartPointer<Bond>&);

    BuildLinearInstrument& isExchangeOfNotional(bool);
    
    operator Deposit();
    operator FRA();
    operator IRS();
    
  private:
    void reset();
    void datesCalculation();

    
    Calendar calendar_;                   
    Tenor fixing_tenor_;                  
    Tenor maturity_tenor_;                
    Date trade_date_;                     
    Date start_date_;                     
    Date fixing_date_;                    
    Date fra_value_date_;                 
    Date maturity_date_;                  
    int next_futures_date_;                
    int futures_quarter_start_;            
    int futures_year_start_;               

    InterestRate rate_for_main_leg_;      
    InterestRate rate_for_second_leg_;    
    Frequency main_leg_frequency_;        
    Frequency second_leg_frequency_;      
    bool is_notional_exchanged_;          

    double notional_;                     
    double quote_;                        
    double convexity_;                    
    double additive_margin_;              
    double multiplicative_margin_;        
    std::map<Date,double> fixings_;
    

    double fx_spot_;                      
    double swap_points_;                  
    double haircut_;                      
    SmartPointer<Bond> bond_;             
  };
}
#endif