irCurveCompoundedInterpolator.hpp

Go to the documentation of this file.

#ifndef JULIAN_COMPOUNDEDIRINTERPOLATOR_HPP
#define JULIAN_COMPOUNDEDIRINTERPOLATOR_HPP

#include <vector>
#include <mathematics/interpolation/interpolation.hpp>
#include <marketData/interestRateCurves/interpolators/interpolationInput.hpp>
#include <marketData/interestRateCurves/interpolators/irCurveInterpolator.hpp>
#include <interestRates/interestRate.hpp>
#include <iostream>
#include <utils/smartPointer.hpp>


namespace julian {
namespace ir {
  class CompoundedInterpolator: public Interpolator   {
  public:
    CompoundedInterpolator(){};
    CompoundedInterpolator(SmartPointer<Interpolation> interpolation, SmartPointer<InterpolationInput> inputs):
      interpolation_(interpolation), inputs_(inputs) {};

    virtual double operator()(const Calendar&,const InterestRate&, const Date& ,const std::vector<Date>&,const std::vector<double>&,const Date&) const;
    virtual CompoundedInterpolator* clone() const;
    virtual ~CompoundedInterpolator(){};
    virtual std::string info() const;

    friend class boost::serialization::access;
  private:
    template<class Archive>
    void serialize(Archive & ar, const unsigned int);
      
    SmartPointer<Interpolation> interpolation_; 
    SmartPointer<InterpolationInput> inputs_; 
  };
  template<class Archive>
  void CompoundedInterpolator::serialize(Archive & ar, const unsigned int) {
    boost::serialization::base_object<Interpolator>(*this);
    ar & BOOST_SERIALIZATION_NVP(interpolation_);
    ar & BOOST_SERIALIZATION_NVP(inputs_);
  }

  template<class INTERPOLATOR, class INPUTS>
  CompoundedInterpolator makeCompoundedInterpolator() {
    INTERPOLATOR inter;
    INPUTS input;
    return CompoundedInterpolator(inter,input);
  }
}  //namespace ir
} //namespace julian
#endif