/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2010 Ferdinando Ametrano

 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.

*/

/*! \file proxyibor.hpp

    \brief IborIndex calculated as proxy of some other IborIndex

*/

#ifndef quantlib_proxyibor_hpp

#define quantlib_proxyibor_hpp

#include <ql/indexes/iborindex.hpp>

namespace QuantLib {

    //! IborIndex calculated as proxy of some other IborIndex

    class ProxyIbor : public IborIndex {

      public:

        ProxyIbor(const std::string& familyName,

                  const Period& tenor,

                  Natural settlementDays,

                  const Currency& currency,

                  const Calendar& fixingCalendar,

                  BusinessDayConvention convention,

                  bool endOfMonth,

                  const DayCounter& dayCounter,

                  Handle<Quote> gearing,

                  ext::shared_ptr<IborIndex> iborIndex,

                  Handle<Quote> spread);

      private:

        // overload

        Rate forecastFixing(const Date& fixingDate) const override;

        Handle<Quote> gearing_;

        ext::shared_ptr<IborIndex> iborIndex_;

        Handle<Quote> spread_;

    };

    inline Rate ProxyIbor::forecastFixing(const Date& fixingDate) const {

        Rate proxy = iborIndex_->fixing(fixingDate);

        return gearing_->value() * proxy * spread_->value();

    }

}

#endif