ForwardCurve.hpp

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#ifndef JULIAN_FORWARDCURVE_HPP
#define JULIAN_FORWARDCURVE_HPP

#include <vector>
#include <utils/SmartPointer.hpp>
#include <mathematics/interpolation/interpolation.hpp>
#include <dates/date.hpp>
#include <dates/yearFractions/yearFraction.hpp>
#include <utils/utils.hpp>
#include <boost/serialization/export.hpp>
namespace julian {

  class ForwardCurve {
  public:
    ForwardCurve();
    ForwardCurve(const Date as_of_date, const SmartPointer<Interpolation>& interpolation,const SmartPointer<YearFraction>& yf, const std::vector<Date>& dates, const std::vector<double>& prices);

    double getForwardPrice(Date d);

    std::vector<Date> getDates();
    
    friend std::ostream& operator<<(std::ostream&, ForwardCurve&);
    friend class boost::serialization::access;
  private:
    template<class Archive>
    void serialize(Archive & ar, const unsigned int);
    
    Date as_of_date_; 
    SmartPointer<Interpolation> interpolation_; 
    SmartPointer<YearFraction> yf_; 
    std::vector<Date> dates_; 
    std::vector<double> time_;  
    std::vector<double> prices_; 
  };

  template<class Archive>
  void ForwardCurve::serialize(Archive & ar, const unsigned int){
    ar & BOOST_SERIALIZATION_NVP( as_of_date_);
    ar & BOOST_SERIALIZATION_NVP(interpolation_);
    ar & BOOST_SERIALIZATION_NVP(yf_);
    ar & BOOST_SERIALIZATION_NVP(dates_);
    ar & BOOST_SERIALIZATION_NVP(prices_);
  }
}

#endif /* FORWARDEQUITYCURVE_HPP */