bond.h

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#pragma once
#ifndef bond_h
#define bond_h

#include "../common/types.h"
#include "../common/date.h"
#include <valarray>
#include "../PartB/yieldCurve.h"
#include "../PartF/creditCurve.h"


using namespace std;

class cashflow{
private:
        valarray<Date> _dates;
        valarray<Real> _cashflows;

public:
        cashflow(valarray<Date> dates, valarray<Real> cashflows);
        ~cashflow(){};

        valarray<Date> getDates();
        valarray<Real> getCashflows();


};

class bond{

protected:
        Date _issue;
        Date _maturity;
        Date _firstcoupondate;
        Real _coupon;
        Frequency _freq;
        Real _faceamount;
        yieldCurve _yc;
protected:
        DayCountConvention _daycount;
public:
        bond(Date issue, Date maturity, Date firstcoupondate, Real coupon, Frequency freq, Real faceamount,DayCountConvention daycount, yieldCurve yc);
        
        ~bond(void){};

        cashflow getCashflow();
        
        virtual Real quotedPrice(Date today);
        virtual Real fairvalue(Date today);
        virtual Real yieldToMaturity(Date today);
        virtual Real duration(Date today);
        virtual Real convexity(Date today);
        
        virtual Real quotedPrice(){return quotedPrice(_issue);};
        virtual Real fairvalue(){return fairvalue(_issue);};
        virtual Real yieldToMaturity(){return yieldToMaturity(_issue);};
        virtual Real duration(){return duration(_issue);};
        virtual Real convexity(){return convexity(_issue);};

        virtual Date getMaturity(){return _maturity;};
        virtual Date getIssue(){return _issue;};
        virtual Real getMaturityInYears(){return getMaturityInYears(_issue);};
        virtual Real getMaturityInYears(Date today){return today.dayCount(_maturity);};
        virtual Real getFaceAmount() const {return _faceamount;};
};

class treasurybond : public bond{
private :
        
public :
        treasurybond(Date issue, Date maturity, Date firstcoupondate, Real coupon, Frequency freq, Real faceamount, DayCountConvention daycount, yieldCurve yc);
        
        treasurybond(Date issue, Date maturity, Date firstcoupondate, Real coupon, yieldCurve yc);
        
        treasurybond(Date issue, Date maturity, Real faceamount, DayCountConvention daycount, yieldCurve yc);
        
        ~treasurybond(void){};

        treasurybond shiftedbond(Real shift);

        Real rho(Date today);
        Real rho(){return rho(_issue);};
};

class riskybond : public bond{

private :
        creditCurve _cc;

public :
        riskybond(Date issue, Date maturity, Date firstcoupondate, Real coupon, Frequency freq, Real faceamount,DayCountConvention daycount, yieldCurve yc,  creditCurve cc);

        riskybond(Date issue, Date maturity, Real faceamount, DayCountConvention daycount, yieldCurve yc,  creditCurve cc);


        ~riskybond(void){};

        virtual Real quotedPrice(Date today);
        
        virtual riskybond shiftedbond(Real shift);

        virtual Real rho(Date today);
        virtual Real rho(){return rho(_issue);};
};

#endif

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