1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
|
#include <isda/tcurve.h>
#include <isda/cxzerocurve.h>
#include <vector>
#include <memory>
typedef long TDate;
class CurveObject {
public:
CurveObject(TDate baseDate, std::vector<TDate> dates, std::vector<double> rates,
double basis, long dayCountConv) {
_ptr = JpmcdsMakeTCurve(baseDate, dates.data(), rates.data(), dates.size(),
basis, dayCountConv);
}
CurveObject(TCurve* ptr) {
_ptr = ptr;
}
CurveObject(const CurveObject& other) {
_ptr = JpmcdsCopyCurve(other._ptr);
}
CurveObject(CurveObject&& other) : _ptr(other._ptr) {
other._ptr = nullptr;
}
CurveObject& operator=(const CurveObject& other) {
if( this != &other) {
JpmcdsFreeTCurve(_ptr);
_ptr = JpmcdsCopyCurve(other._ptr);
}
return *this;
}
CurveObject& operator=(CurveObject&& other) {
if( this != &other) {
JpmcdsFreeTCurve(_ptr);
_ptr = other._ptr;
other._ptr = nullptr;
}
return *this;
}
TCurve* data() {
return _ptr;
}
typedef TRatePt* iterator;
typedef const TRatePt* const_iterator;
iterator begin() { return _ptr->fArray; }
iterator end() {return &_ptr->fArray[_ptr->fNumItems];}
int size() {
return _ptr->fNumItems;
}
TDate BaseDate() {
return _ptr->fBaseDate;
}
double Basis() {
return _ptr->fBasis;
}
double ForwardZeroPrice(TDate d2, TDate d1);
double ForwardZeroPrice(TDate d2);
~CurveObject() {
if(_ptr != nullptr) {
JpmcdsFreeTCurve(_ptr);
}
}
private:
TCurve* _ptr;
};
double CurveObject::ForwardZeroPrice(TDate d2, TDate d1) {
return JpmcdsForwardZeroPrice(_ptr, d1, d2);
}
double CurveObject::ForwardZeroPrice(TDate d2) {
return JpmcdsForwardZeroPrice(_ptr, _ptr->fBaseDate, d2);
}
std::shared_ptr<TCurve>& make_shared(TCurve* ptr) {
return std::shared_ptr<TCurve>(ptr, jpmcdsFreeTCurve);
}
|
