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#pragma once
#include <vector>
#include <string>
#include "isda/bastypes.h"
#include "isda/cdate.h"
#include "isda/tcurve.h"
namespace pyisda {
class Curve {
public:
Curve(TCurve* const curve) : ptr(curve) {};
Curve(const Curve &curve2) :
ptr(JpmcdsCopyCurve(curve2.ptr)) {};
~Curve() {
JpmcdsFreeTCurve(ptr);
}
explicit operator TCurve*() const { return ptr; }
unsigned char* serialize(unsigned char* buf);
double zeroPrice(const TDate date);
double zeroPrice(const TDate date1, const TDate date2);
double survivalProb(const TDate start_date, const TDate maturity_date);
double survivalProb(const TDate start_date, const TDate maturity_date, double eps);
static void tweak(TCurve* ptr, double epsilon);
static void tweak(TCurve* ptr, double epsilon, unsigned long mask);
void tweak(double epsilon);
void tweak(double epsilon, unsigned long mask);
size_t size();
private:
TCurve* ptr;
};
class YieldCurve : public Curve {
public:
YieldCurve(TCurve* const curve, const std::vector<TDate>& dates) :
Curve(curve),
dates(dates) {};
YieldCurve(const YieldCurve &curve2) :
Curve(curve2),
dates(std::move(curve2.dates)) {};
size_t size();
unsigned char* serialize(unsigned char* buf);
std::vector<TDate> dates;
};
class SpreadCurve : public Curve {
public:
SpreadCurve(TCurve* const curve, const std::vector<double>& recovery_rates,
const std::string& ticker) :
Curve(curve),
recovery_rates(recovery_rates),
ticker(ticker) {};
SpreadCurve(const SpreadCurve &curve2) :
Curve(curve2),
recovery_rates(std::move(curve2.recovery_rates)),
ticker(std::move(curve2.ticker)) {};
std::vector<double> recovery_rates;
std::string ticker;
size_t size();
unsigned char* serialize(unsigned char* buf);
};
}
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