#include <ql/instrument.hpp>
#include <ql/cashflow.hpp>class Event : public Observable {
public:virtual ~Event() {}virtual Date date() const = 0;// 若event在date之前发生则返回true。如果includeRefDate为真，那么在date等于refDate的情况下，认为event未发生，即返回falsevirtual bool hasOccurred(const Date &refDate = Date(), boost::optional<bool> includeRefDate = boost::none) const;virtual void accept(AcyclicVisitor&);
};class CashFlow : public Event {
public:virtual ~CashFlow() {}virtual Date date() const = 0;virtual bool hasOccurred(const Date &refDate = Date(), boost::optional<bool> includeRefDate = boost::none) const;// this is the amount paid on the cash flow date, it is not discounted.virtual Real amount() const = 0;virtual void accept(AcyclicVisitor&);
};typedef std::vector<boost::shared_ptr<CashFlow> > Leg;class Swap : public Instrument {
public:class arguments;class results;class engine;// first leg's cash flows are paid, while the second leg's cash flows are received.Swap(const Leg &firstLeg, const Leg &secondLeg);Swap(const std::vector<Leg> &legs, const std::vector<bool> &payer);bool isExpired() const;void setupArguments(PricingEngine::arguments*) const;void fetchResults(const PricingEngine::results*) const;Date startDate() const;Date maturityDate() const;Real legBPS(Size j) const {QL_REQUIRE(j<legs_.size(), "leg# "<<j<<" doesn't exist!");calculate();return legBPS_[j];}Real legNPV(Size j) const {QL_REQUIRE(j<legs_.size(), "leg# "<<j<<" doesn't exist!");calculate();return legNPV_[j];        }const Leg& leg(Size j) const {QL_REQUIRE(j<legs_.size(), "leg# "<<j<<" doesn't exist!");return legs_[j];}
protected:Swap(Size legs);void setupExpired() const;std::vector<Leg> legs_;std::vector<Real> payer_;mutable std::vector<Real> legNPV_;mutable std::vector<Real> legBPS_;
};class Swap::arguments : public virtual PricingEngine::arguments {
public:std::vector<Leg> legs;std::vector<Real> payer;void validate() const;
};class Swap::results : public Instrument::results {
public:std::vector<Real> legNPV;std::vector<Real> legBPS;void reset();
};class Swap::engine : public GenericEngine<Swap::arguments, Swap::results> {};

// 首先将Swap注册成为两条Leg的observer，这样在它们发生变化的时候就可以触发重新计算
Swap::Swap(const Leg& firstLeg, const Leg& secondLeg) : legs_(2), payer_(2), legNPV_(2, 0.0), legBPS_(2, 0.0) {legs_[0] = firstLeg;legs_[1] = secondLeg;payer_[0] = -1.0;payer_[1] =  1.0;for (Leg::iterator i = legs_[0].begin(); i!= legs_[0].end(); ++i)registerWith(*i);for (Leg::iterator i = legs_[1].begin(); i!= legs_[1].end(); ++i)registerWith(*i);
}// 只要Leg里有CashFlow还未发生，那么就返回false表示没有过期。
bool Swap::isExpired() const {for (Size j=0; j<legs_.size(); ++j) {Leg::const_iterator i;for (i = legs_[j].begin(); i!= legs_[j].end(); ++i)if (!(*i)->hasOccurred())return false;}return true;
}void Swap::setupExpired() const {Instrument::setupExpired();std::fill(legBPS_.begin(), legBPS_.end(), 0.0);std::fill(legNPV_.begin(), legNPV_.end(), 0.0);
}