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

/*

 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009 StatPro Italia srl

 Copyright (C) 2009 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

 <https://www.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 iborindex.hpp

    \brief base class for Inter-Bank-Offered-Rate indexes

*/

#ifndef quantlib_ibor_index_hpp

#define quantlib_ibor_index_hpp

#include <ql/indexes/interestrateindex.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    //! base class for Inter-Bank-Offered-Rate indexes (e.g. %Libor, etc.)

    class IborIndex : public InterestRateIndex {

      public:

        IborIndex(const std::string& familyName,

                  const Period& tenor,

                  Natural settlementDays,

                  const Currency& currency,

                  const Calendar& fixingCalendar,

                  BusinessDayConvention convention,

                  bool endOfMonth,

                  const DayCounter& dayCounter,

                  Handle<YieldTermStructure> h = {});

        //! \name InterestRateIndex interface

        //@{

        Date maturityDate(const Date& valueDate) const override;

        Rate forecastFixing(const Date& fixingDate) const override;

        // @}

        //! \name Inspectors

        //@{

        BusinessDayConvention businessDayConvention() const;

        bool endOfMonth() const { return endOfMonth_; }

        //! the curve used to forecast fixings

        Handle<YieldTermStructure> forwardingTermStructure() const;

        //@}

        //! \name Other methods

        //@{

        //! returns a copy of itself linked to a different forwarding curve

        virtual ext::shared_ptr<IborIndex> clone(

                        const Handle<YieldTermStructure>& forwarding) const;

        // @}

      protected:

        BusinessDayConvention convention_;

        Handle<YieldTermStructure> termStructure_;

        bool endOfMonth_;

      private:

        // overload to avoid date/time (re)calculation

        /* This can be called with cached coupon dates (and it does

           give quite a performance boost to coupon calculations) but

           is potentially misleading: by passing the wrong dates, one

           can ask a 6-months index for a 1-year fixing.

           For that reason, we're leaving this method private and

           we're declaring the IborCoupon class (which uses it) as a

           friend.  Should the need arise, we might promote it to

           public, but before doing that I'd think hard whether we

           have any other way to get the same results.

        */

        Rate forecastFixing(const Date& valueDate,

                            const Date& endDate,

                            Time t) const;

        friend class IborCoupon;

    };

    class OvernightIndex : public IborIndex {

      public:

        OvernightIndex(const std::string& familyName,

                       Natural settlementDays,

                       const Currency& currency,

                       const Calendar& fixingCalendar,

                       const DayCounter& dayCounter,

                       const Handle<YieldTermStructure>& h = {});

        //! returns a copy of itself linked to a different forwarding curve

        ext::shared_ptr<IborIndex> clone(const Handle<YieldTermStructure>& h) const override;

    };

    // inline

    inline BusinessDayConvention IborIndex::businessDayConvention() const {

        return convention_;

    }

    inline Handle<YieldTermStructure>

    IborIndex::forwardingTermStructure() const {

        return termStructure_;

    }

    inline Rate IborIndex::forecastFixing(const Date& d1,

                                          const Date& d2,

                                          Time t) const {

        QL_REQUIRE(!termStructure_.empty(),

                   "null term structure set to this instance of " << name());

        DiscountFactor disc1 = termStructure_->discount(d1);

        DiscountFactor disc2 = termStructure_->discount(d2);

        return (disc1/disc2 - 1.0) / t;

    }

Unexecuted instantiation: QuantLib::IborIndex::forecastFixing(QuantLib::Date const&, QuantLib::Date const&, double) const

Unexecuted instantiation: QuantLib::IborIndex::forecastFixing(QuantLib::Date const&, QuantLib::Date const&, double) const

}

#endif