add ZeroCouponSwap

Author: thrasibule

quantlib/instruments/_zerocouponswap.pxd

@@ -0,0 +1,31 @@
+from quantlib.types cimport Natural, Rate, Real
+from quantlib.handle cimport shared_ptr
+from quantlib.time._calendar cimport BusinessDayConvention, Calendar
+from quantlib.time._date cimport Date
+from quantlib.time._daycounter cimport DayCounter
+from quantlib.indexes._ibor_index cimport IborIndex
+from .swap cimport Type
+from ._swap cimport Swap
+
+cdef extern from "ql/instruments/zerocouponswap.hpp" namespace "QuantLib" nogil:
+    cdef cppclass ZeroCouponSwap(Swap):
+        ZeroCouponSwap(Type type,
+                       Real baseNominal,
+                       const Date& startDate,
+                       const Date& maturityDate,
+                       Real fixedPayment,
+                       shared_ptr[IborIndex] iborIndex,
+                       const Calendar& paymentCalendar,
+                       BusinessDayConvention paymentConvention,# = Following,
+                       Natural paymentDelay) # = 0
+
+        ZeroCouponSwap(Type type,
+                       Real baseNominal,
+                       const Date& startDate,
+                       const Date& maturityDate,
+                       Rate fixedRate,
+                       const DayCounter& fixedDayCounter,
+                       shared_ptr[IborIndex] iborIndex,
+                       const Calendar& paymentCalendar,
+                       BusinessDayConvention paymentConvention,# = Following,
+                       Natural paymentDelay) # = 0)

quantlib/instruments/api.py

@@ -16,3 +16,4 @@
 from .overnightindexfuture import OvernightIndexFuture
 from .overnightindexedswap import OvernightIndexedSwap
 from .make_ois import MakeOIS
+from .zerocouponswap import ZeroCouponSwap

quantlib/instruments/zerocouponswap.pxd

@@ -0,0 +1,4 @@
+from .swap cimport Swap, Type
+
+cdef class ZeroCouponSwap(Swap):
+    pass

quantlib/instruments/zerocouponswap.pyx

@@ -0,0 +1,24 @@
+from quantlib.types cimport Real, Natural
+from quantlib.handle cimport static_pointer_cast
+from quantlib.time.date cimport Date
+from quantlib.time.calendar cimport Calendar
+from quantlib.time.businessdayconvention cimport BusinessDayConvention, Following
+from quantlib.indexes.ibor_index cimport IborIndex
+from quantlib.indexes cimport _ibor_index as _ib
+from . cimport _zerocouponswap as _zcs
+
+cdef class ZeroCouponSwap(Swap):
+    def __init__(self, Type type, Real nominal, Date start_date, Date maturity, Real fixed_payment, IborIndex ibor_index, Calendar payment_calendar, BusinessDayConvention payment_convention=Following, Natural payment_delay=0):
+        self._thisptr.reset(
+            new _zcs.ZeroCouponSwap(
+                type,
+                nominal,
+                start_date._thisptr,
+                maturity._thisptr,
+                fixed_payment,
+                static_pointer_cast[_ib.IborIndex](ibor_index._thisptr),
+                payment_calendar._thisptr,
+                payment_convention,
+                payment_delay
+            )
+        )