curvestate.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 Copyright (C) 2006, 2007 Mark Joshi
 
 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_curve_state_hpp
#define quantlib_curve_state_hpp
 
#include <ql/math/array.hpp>
#include <vector>
#include <memory>
 
namespace QuantLib {
 
 
    class CurveState {
    /* There will n+1 rate times expressing payment and reset times
        of forward rates.
 
                |-----|-----|-----|-----|-----|      (size = 6)
                t0    t1    t2    t3    t4    t5     rateTimes
                f0    f1    f2    f3    f4           forwardRates
                d0    d1    d2    d3    d4    d5     discountBonds
                d0/d0 d1/d0 d2/d0 d3/d0 d4/d0 d5/d0  discountRatios
                sr0   sr1   sr2   sr3   sr4          cotSwaps
    */
      public:
        CurveState(const std::vector<Time>& rateTimes);
        virtual ~CurveState() = default;
 
 
        Size numberOfRates() const { return numberOfRates_; }
 
        const std::vector<Time>& rateTimes() const { return rateTimes_; }
        const std::vector<Time>& rateTaus() const { return rateTaus_; }
 
        virtual Real discountRatio(Size i,
                                   Size j) const = 0;
        virtual Rate forwardRate(Size i) const = 0;
        virtual Rate coterminalSwapAnnuity(Size numeraire,
                                           Size i) const = 0;
        virtual Rate coterminalSwapRate(Size i) const = 0;
        virtual Rate cmSwapAnnuity(Size numeraire,
                                   Size i,
                                   Size spanningForwards) const = 0;
        virtual Rate cmSwapRate(Size i,
                                Size spanningForwards) const = 0;
 
        virtual const std::vector<Rate>& forwardRates() const = 0;
        virtual const std::vector<Rate>& coterminalSwapRates() const = 0;
        virtual const std::vector<Rate>& cmSwapRates(Size spanningForwards) const = 0;
        Rate swapRate(Size begin,
                      Size end) const;
 
        virtual std::unique_ptr<CurveState> clone() const = 0;
      protected:
        Size numberOfRates_;
        std::vector<Time> rateTimes_, rateTaus_;
    };
 
    void forwardsFromDiscountRatios(Size firstValidIndex,
                                    const std::vector<DiscountFactor>& ds,
                                    const std::vector<Time>& taus,
                                    std::vector<Rate>& fwds);
 
    void coterminalFromDiscountRatios(Size firstValidIndex,
                                      const std::vector<DiscountFactor>& ds,
                                      const std::vector<Time>& taus,
                                      std::vector<Rate>& cotSwapRates,
                                      std::vector<Real>& cotSwapAnnuities);
 
    void constantMaturityFromDiscountRatios( // Size i, // to be added later
        Size spanningForwards,
        Size firstValidIndex,
        const std::vector<DiscountFactor>& ds,
        const std::vector<Time>& taus,
        std::vector<Rate>& cotSwapRates,
        std::vector<Real>& cotSwapAnnuities);
}
 
#endif