curveSettings.hpp

Go to the documentation of this file.

#ifndef JULIAN_CURVESETTINGS_HPP
#define JULIAN_CURVESETTINGS_HPP

#include <utils/smartPointer.hpp>
#include <dates/date.hpp>
#include <dates/calendars/calendar.hpp>
#include <interestRates/interestRate.hpp>
#include <marketData/interestRateCurves/interpolators/irCurveInterpolator.hpp>
#include <marketData/interestRateCurves/interpolators/irCurveExtrapolator.hpp>


namespace julian {
namespace ir {

    struct CurveSettings {
      Date today_;  
      InterestRate rate_;  
      SmartPointer<Interpolator> interpolator_;  
      SmartPointer<Extrapolator> extrapolator_;  
      Calendar calendar_; 
      double fx_spot_; 
    };
    
}  // namespace ir
}  // namespace julian


#endif