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

 Copyright (C) 2006, 2007 Chiara Fornarola
 Copyright (C) 2007, 2009 Ferdinando Ametrano
 Copyright (C) 2007, 2009 StatPro Italia srl

 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

 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 assetswap.hpp
    \brief Bullet bond vs Libor swap

#ifndef quantlib_asset_swap_hpp
#define quantlib_asset_swap_hpp

#include <ql/instruments/swap.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/daycounter.hpp>

namespace QuantLib {

    class IborIndex;
    class Schedule;

    //! Bullet bond vs %Libor swap
    /*! for mechanics of par asset swap and market asset swap, refer to
        "Introduction to Asset Swap", Lehman Brothers European Fixed
        Income Research - January 2000, D. O'Kane

        \ingroup instruments

        \warning bondCleanPrice must be the (forward) price at the
                 floatSchedule start date

        \bug fair prices are not calculated correctly when using
             indexed coupons.
00052     class AssetSwap : public Swap {
        class arguments;
        class results;
        AssetSwap(bool payFixedRate,
                  const boost::shared_ptr<Bond>& bond,
                  Real bondCleanPrice,
                  const boost::shared_ptr<IborIndex>& index,
                  Spread spread,
                  const Schedule& floatSchedule = Schedule(),
                  const DayCounter& floatingDayCount = DayCounter(),
                  bool parAssetSwap = true);
        // results
        Spread fairSpread() const;
        Real floatingLegBPS() const;
        Real fairCleanPrice() const;
        // inspectors
        bool parSwap() const { return parSwap_; }
        Spread spread() const { return spread_; }
        const boost::shared_ptr<Bond>& bond() const { return bond_; }
        bool payFixedRate() const { return (payer_[0] == -1.0); }
        const Leg& bondLeg() const { return legs_[0]; }
        const Leg& floatingLeg() const { return legs_[1]; }
        // other
        void setupArguments(PricingEngine::arguments* args) const;
        void fetchResults(const PricingEngine::results*) const;
        void setupExpired() const;
        boost::shared_ptr<Bond> bond_;
        Real bondCleanPrice_;
        Spread spread_;
        bool parSwap_;
        Date upfrontDate_;
        // results
        mutable Spread fairSpread_;
        mutable Real fairCleanPrice_;

    //! %Arguments for asset swap calculation
00092     class AssetSwap::arguments : public Swap::arguments {
        arguments() {}
        std::vector<Date> fixedResetDates;
        std::vector<Date> fixedPayDates;
        std::vector<Real> fixedCoupons;
        std::vector<Time> floatingAccrualTimes;
        std::vector<Date> floatingResetDates;
        std::vector<Date> floatingFixingDates;
        std::vector<Date> floatingPayDates;
        std::vector<Spread> floatingSpreads;
        void validate() const;

    //! %Results from simple swap calculation
00107     class AssetSwap::results : public Swap::results {
        Spread fairSpread;
        Real fairCleanPrice;
        void reset();



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