irCurveBuilder.hpp

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#ifndef JULIAN_SWAPCURVEBUILDER_HPP
#define JULIAN_SWAPCURVEBUILDER_HPP

#include <marketData/interestRateCurves/flatCurve.hpp>
#include <marketData/interestRateCurves/interpolatedCurve.hpp>
#include <marketData/interestRateCurves/curveBuildingBlock.hpp>
#include <marketData/interestRateCurves/estimators/irCurveEstimator.hpp>
#include <instruments/_all_instruments.hpp>
#include <string>
#include <utils/smartPointer.hpp>



namespace julian {
namespace ir {

    class BuildCurve {
    public:
      BuildCurve();
  
      BuildCurve& asOfDate(const Date&);
      BuildCurve& withCalendar(const Calendar&);  
      BuildCurve& withDates(const std::vector<Date>&);
      BuildCurve& withTenors(const std::vector<Tenor>&);
      BuildCurve& withTenors(const std::vector<std::string>&);
  
      BuildCurve& withDiscountFactors(const std::vector<double>&);
      BuildCurve& withZeroCouponRate(const double);
      BuildCurve& withZeroCouponRates(const std::vector<double>&);
      BuildCurve& withForwardRates(const std::vector<double>&);
      BuildCurve& withSetOfInstruments(const std::vector<SmartPointer<BuildingBlock> >&);
  
      BuildCurve& usingDiscountingCurve(const SmartPointer<ir::Curve>&);
      BuildCurve& usingProjectionCurve(const SmartPointer<ir::Curve>&);

      BuildCurve& withInterestRate(const InterestRate&);
      BuildCurve& withInterpolator(const SmartPointer<Interpolator>&);
      BuildCurve& withExtrapolator(const SmartPointer<Extrapolator>&);
      BuildCurve& usingEstimator(const SmartPointer<Estimator>&);
  
      BuildCurve& withFxSpot(const double&);
  
      operator InterpolatedCurve();
      operator FlatCurve();
      
    private:
      enum class InputType {NONE, DF, ZCR, FWD, INSTRUMENTS};
      
      std::vector<Date> dates_; 
      std::vector<Tenor> tenors_; 
      std::vector<double> double_holder_; 
      double zero_coupon_rate_; 
      std::vector<SmartPointer<BuildingBlock> > instruments_; 
      InterestRate rate_; 
      SmartPointer<Interpolator> interpolator_; 
      SmartPointer<Extrapolator> extrapolator_; 
      SmartPointer<Estimator> estimator_; 
      Calendar calendar_; 
      SmartPointer<ir::Curve> discounting_curve_;
      SmartPointer<ir::Curve> projection_curve_;
      Date today_;
      double fx_spot_;
      InputType method_of_construction_;
      // bool discounting_curve_given;/*!< @brief true if discounting curve was provided*/ 
      // bool projection_curve_given;/*!< @brief true if projection curve provided*/ 
    };
}  // namespace ir
}  // namespace julian
#endif