irCurve.hpp

Go to the documentation of this file.

#ifndef JULIAN_IRCURVE_HPP
#define JULIAN_IRCURVE_HPP

#include <dates/date.hpp>
#include <interestRates/interestRate.hpp>

namespace julian {
namespace ir {

  class Curve {
  public:

    Curve(){};

    virtual double DF(Date) const = 0;

    virtual double DF(Date,Date) const = 0;

    virtual double DF(Tenor) const = 0;

    virtual double DF(Tenor,Tenor) const = 0;

    virtual double capitalization(Date) const = 0;

    virtual double capitalization(Tenor) const = 0;

    virtual double capitalization(Date,Date) const = 0;

    virtual double capitalization(Tenor,Tenor) const = 0;  

    virtual double coupon(Date) const = 0;

    virtual double coupon(Tenor) const = 0;

    virtual double coupon(Date,Date) const = 0;

    virtual double coupon(Tenor,Tenor) const = 0; 

    virtual double rate(Date) const = 0;

    virtual double rate(Tenor) const = 0;

    virtual double rate(Date,InterestRate) const = 0;

    virtual double rate(Tenor,InterestRate) const = 0;

    virtual double fwdRate(Date,Date) const = 0;

    virtual double fwdRate(Tenor,Tenor) const = 0;

    virtual double fwdRate(Date,Tenor) const = 0;

    virtual double fwdRate(Date,Date,InterestRate) const = 0;

    virtual double fwdRate(Tenor,Tenor,InterestRate) const = 0;

    virtual double fwdRate(Date,Tenor,InterestRate) const = 0;

    virtual Date getValuationDate() const = 0;

    virtual ~Curve(){};
    virtual Curve* clone() const;

    friend class boost::serialization::access;
  private:

    template<class Archive>
    void serialize(Archive & ar, const unsigned int){
    }
  };   
}  // namespace ir
}  // namepsace julian
#endif /* JULIAN_IRCURVE_HPP */