interpolatedCurve.hpp

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#ifndef JULIAN_IRINTERPOLATEDCURVE_HPP
#define JULIAN_IRINTERPOLATEDCURVE_HPP

#include <dates/_all_dates.hpp>
#include <vector>
#include <interestRates/interestRate.hpp>
#include <marketData/interestRateCurves/interpolators/irCurveInterpolator.hpp>
#include <marketData/interestRateCurves/interpolators/irCurveExtrapolator.hpp>
#include <marketData/interestRateCurves/curveSettings.hpp>
#include <marketData/interestRateCurves/irCurve.hpp>
#include <iostream>
#include <utils/smartPointer.hpp>
#include <utils/utils.hpp>

namespace julian {
namespace ir {

  class InterpolatedCurve: public Curve {
  public:
    InterpolatedCurve();
    InterpolatedCurve(Date today,std::vector<Date> dates,std::vector<double> dfs, InterestRate rate_,
              SmartPointer<Interpolator> interpolator,SmartPointer<Extrapolator> extrapolator,Calendar calendar,double fx_spot);
    InterpolatedCurve(CurveSettings settings, std::vector<Date> dates, std::vector<double> df);
      
    double DF(Date) const override;
    double DF(Date,Date) const override;
    double DF(Tenor) const override;
    double DF(Tenor,Tenor) const override;
      
    double capitalization(Date) const override;
    double capitalization(Tenor) const override;
    double capitalization(Date,Date) const override;
    double capitalization(Tenor,Tenor) const override;   
  
    double coupon(Date) const override;
    double coupon(Tenor) const override;
    double coupon(Date,Date) const override;
    double coupon(Tenor,Tenor) const override; 
  
    double rate(Date) const override;
    double rate(Tenor) const override;
    double rate(Date,InterestRate) const override;
    double rate(Tenor,InterestRate) const override;
  
    double fwdRate(Date,Date) const override;
    double fwdRate(Tenor,Tenor) const override;
    double fwdRate(Date,Tenor) const override;
    double fwdRate(Date,Date,InterestRate) const override;
    double fwdRate(Tenor,Tenor,InterestRate) const override;
    double fwdRate(Date,Tenor,InterestRate) const override;
  
    std::vector<double> getDFs() const;
    std::vector<double> getDFs(std::vector<Date>) const;
    std::vector<double> getRates() const;
    std::vector<double> getRates(InterestRate) const;
    std::vector<double> getFwdRates() const;
    std::vector<double> getFwdRates(InterestRate) const;
    std::vector<Date>   getDates() const;
  
    Calendar getCalendar() const;
    SmartPointer<Interpolator> getInterpolator() const;
    SmartPointer<Extrapolator> getExtrapolator() const;
    InterestRate getInterestRate() const;
    CurveSettings getSettings() const;
    Date getValuationDate() const override;
    Date getSpotDate() const;
    int getSize() const;
    double getFxSpot() const;
      
    void setDates(std::vector<Date>);
    void setDates(Tenor);
    void setDFs(std::vector<double>);
    void setRates(std::vector<double>);
    void setFwdRates(std::vector<double>);
    void setFxSpot(double);

    double calculateYF(Date,Date) const;  
    virtual InterpolatedCurve* clone() const override;
      
    friend std::ostream& operator<<(std::ostream&, InterpolatedCurve&);
    friend class boost::serialization::access;
  private:
    template<class Archive>
    void serialize(Archive & ar, const unsigned int);
    Date today_;                                  
    std::vector<Date> dates_;                     
    std::vector<double> dfs_;                     
    InterestRate rate_;                           
    SmartPointer<Interpolator> interpolator_;     
    SmartPointer<Extrapolator> extrapolator_;     
    Calendar calendar_;                           
    double fx_spot_;                              
  };

  template<class Archive>
  void InterpolatedCurve::serialize(Archive & ar, const unsigned int){
    boost::serialization::base_object<Curve>(*this);
    ar & BOOST_SERIALIZATION_NVP(today_);
    ar & BOOST_SERIALIZATION_NVP(dates_);
    ar & BOOST_SERIALIZATION_NVP(dfs_);
    ar & BOOST_SERIALIZATION_NVP(rate_);
    ar & BOOST_SERIALIZATION_NVP(interpolator_);
    ar & BOOST_SERIALIZATION_NVP(extrapolator_);
    ar & BOOST_SERIALIZATION_NVP(calendar_);
    ar & BOOST_SERIALIZATION_NVP(fx_spot_);
  }
}  // namespace ir
}  // namespace julian 
#endif