equityindex.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2023 Marcin Rybacki
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_equityindex_hpp
#define quantlib_equityindex_hpp
 
#include <ql/index.hpp>
#include <ql/time/calendar.hpp>
#include <ql/currency.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
 
namespace QuantLib {
 
 
    class EquityIndex : public Index, public Observer {
      public:
        EquityIndex(std::string name,
                    Calendar fixingCalendar,
                    Handle<YieldTermStructure> interest = {},
                    Handle<YieldTermStructure> dividend = {},
                    Handle<Quote> spot = {});
 
 
        std::string name() const override { return name_; }
        Calendar fixingCalendar() const override { return fixingCalendar_; }
        bool isValidFixingDate(const Date& fixingDate) const override;
        Real fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const override;
 
        void update() override;
 
 
        Handle<YieldTermStructure> equityInterestRateCurve() const { return interest_; }
        Handle<YieldTermStructure> equityDividendCurve() const { return dividend_; }
        Handle<Quote> spot() const { return spot_; }
 
 
        virtual Real forecastFixing(const Date& fixingDate) const;
        virtual Real pastFixing(const Date& fixingDate) const;
        // @}
 
 
        virtual ext::shared_ptr<EquityIndex> clone(const Handle<YieldTermStructure>& interest,
                                                   const Handle<YieldTermStructure>& dividend,
                                                   const Handle<Quote>& spot) const;
        // @}
      private:
        std::string name_;
        Calendar fixingCalendar_;
        Handle<YieldTermStructure> interest_;
        Handle<YieldTermStructure> dividend_;
        Handle<Quote> spot_;
    };
 
    inline bool EquityIndex::isValidFixingDate(const Date& d) const {
        return fixingCalendar().isBusinessDay(d);
    }
 
    inline void EquityIndex::update() { notifyObservers(); }
}
 
#endif