> Hi Tawanda,
>
> I amended your interface file a little as shown below to export the class
> ForwardRateAgreement. I do not export the class Forward because I do not
> think that you need to. I think that your main issue is the use of
> boost::shared_ptr<IborIndex>& in the argument list of the constructor. I
> think that this should be IborIndexPtr& like it is in the constructor of
> VanillaSwap in the file swap.i.
>
> I have attached a short java example that I used to check that the
> constructor works. I am not sure what language you are targeting though so
> this may not be helpful.
>
> Regards,
> Francis.
>
> forwardrateagreement.i
>
> -------------------------------
>
> #ifndef quantlib_forwardrateagreement_i
> #define quantlib_forwardrateagreement_i
>
> %include instruments.i
> %include termstructures.i
> %include interestrate.i
>
>
>
> %{
> using QuantLib::Position;
> using QuantLib::ForwardRateAgreement;
>
>
> typedef boost::shared_ptr<Instrument> ForwardRateAgreementPtr;
> %}
>
> struct Position {
> enum Type {Long, Short};
> };
>
>
>
> %rename(ForwardRateAgreement) ForwardRateAgreementPtr;
> class ForwardRateAgreementPtr : public boost::shared_ptr<Instrument> {
> public:
> %extend {
> ForwardRateAgreementPtr(const Date& valueDate,
>
>
> const Date& maturityDate,
> Position::Type type,
> Rate strikeForwardRate,
> Real notionalAmount,
> const IborIndexPtr& index,
>
> const Handle<YieldTermStructure>& discountCurve =
> Handle<YieldTermStructure>()) {
>
> boost::shared_ptr<IborIndex> libor =
> boost::dynamic_pointer_cast<IborIndex>(index);
>
>
>
> return new ForwardRateAgreementPtr(
> new ForwardRateAgreement(valueDate,
> maturityDate,
> type,
> strikeForwardRate,
> notionalAmount,
> libor,
>
> discountCurve));
> }
>
> Real spotIncome(const Handle<YieldTermStructure>&
> incomeDiscountCurve) const {
> return boost::dynamic_pointer_cast<ForwardRateAgreement>(*self)
> ->spotIncome(incomeDiscountCurve);
> }
>
>
>
> Real spotValue() const {
>
>
> return boost::dynamic_pointer_cast<ForwardRateAgreement>(*self)
> ->spotValue();
> }
>
>
>
> InterestRate forwardRate() const {
>
>
> return boost::dynamic_pointer_cast<ForwardRateAgreement>(*self)
> ->forwardRate();
> }
> }
> };
>
>
>
> #endif
>
>
>
> On Sat, Oct 6, 2012 at 4:35 PM, Tawanda Gwena <
[hidden email]> wrote:
>>
>> I am trying to expose the FRA instrument. I have managed to write the swig
>> file and it compiles. However, I cannot create the object. It consistently
>> produces the error:
>>
>>
>> Wrong arguments for overloaded function 'new_ForwardRateAgreement'
>> Possible C/C++ prototypes are:
>> ForwardRateAgreementPtr::ForwardRateAgreementPtr(Date const &,Date
>> const &,Position::Type,Rate,Real,boost::shared_ptr< IborIndex > const
>> &,QuantLib::Handle< YieldTermStructure > const &)
>> ForwardRateAgreementPtr::ForwardRateAgreementPtr(Date const &,Date
>> const &,Position::Type,Rate,Real,boost::shared_ptr< IborIndex > const &)
>>
>> What am I doing wrong? Below are the contents of the swig file:
>>
>>
>>
>> #ifndef quantlib_forwards_i
>> #define quantlib_forwards_i
>>
>> %include instruments.i
>> %include termstructures.i
>> %include cashflows.i
>> %include grid.i
>> %include stl.i
>> %{
>> using QuantLib::Position;
>> using QuantLib::Forward;
>> using QuantLib::ForwardRateAgreement;
>> using QuantLib::Seasonality;
>> typedef boost::shared_ptr<Instrument> ForwardPtr;
>> typedef boost::shared_ptr<Instrument> ForwardRateAgreementPtr;
>> %}
>>
>> struct Position {
>> enum Type { Long, Short};
>> };
>>
>> %rename(Forward) ForwardPtr;
>> class ForwardPtr : public boost::shared_ptr<Instrument> {
>> public:
>> %extend {
>>
>> Date settlementDate() {
>> return
>> boost::dynamic_pointer_cast<Forward>(*self)->settlementDate();
>> }
>> BusinessDayConvention businessDayConvention() {
>> return
>> boost::dynamic_pointer_cast<Forward>(*self)->businessDayConvention();
>> }
>> Rate spotValue() {
>> return
>> boost::dynamic_pointer_cast<Forward>(*self)->spotValue();
>> }
>> Rate forwardValue() {
>> return
>> boost::dynamic_pointer_cast<Forward>(*self)->forwardValue();
>> }
>> InterestRate impliedYield(Real underlyingSpotValue,
>> Real forwardValue,
>> Date settlementDate,
>> Compounding compoundingConvention,
>> DayCounter dayCounter) {
>> return
>> boost::dynamic_pointer_cast<Forward>(*self)->impliedYield(
>> underlyingSpotValue,
>> forwardValue,
>> settlementDate,
>> compoundingConvention,
>> dayCounter);
>> }
>> }
>> protected: /* added this later, but did not help*/
>> Forward(const DayCounter& dayCounter,
>> const Calendar& calendar,
>> BusinessDayConvention businessDayConvention,
>> Natural settlementDays,
>> const boost::shared_ptr<Payoff>& payoff,
>> const Date& valueDate,
>> const Date& maturityDate,
>> const Handle<YieldTermStructure>& discountCurve =
>>
>> Handle<YieldTermStructure>()) {
>> return new ForwardPtr(new Forward(dayCounter,
>> calendar,
>> businessDayConvention,
>> settlementDays,
>> payoff,
>> valueDate,
>> maturityDate,
>> discountCurve));
>> }
>>
>> };
>>
>> %rename(ForwardRateAgreement) ForwardRateAgreementPtr;
>> class ForwardRateAgreementPtr : public ForwardPtr {
>> public:
>> %extend {
>> ForwardRateAgreementPtr(
>> const Date& valueDate,
>> const Date& maturityDate,
>> Position::Type type,
>> Rate strikeForwardRate,
>> Real notionalAmount,
>> const boost::shared_ptr<IborIndex>& index,
>> const Handle<YieldTermStructure>& discountCurve =
>>
>> Handle<YieldTermStructure>()) {
>> return new ForwardRateAgreementPtr(
>> new
>> ForwardRateAgreement(valueDate,
>>
>> maturityDate,
>> type,
>>
>> strikeForwardRate,
>>
>> notionalAmount,
>> index,
>>
>> discountCurve));
>> }
>>
>>
>> Real spotIncome(const Handle<YieldTermStructure>&
>> incomeDiscountCurve) const {
>> return
>> boost::dynamic_pointer_cast<ForwardRateAgreement>(*self)-> spotIncome(
>> incomeDiscountCurve);
>> }
>> /*Real spotValue() {
>> return
>> boost::dynamic_pointer_cast<ForwardRateAgreement>(*self)->spotValue();
>> }*/
>> }
>> };
>>
>>
>> #endif
>>
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>
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