From 9fce7a21300a96c6419714076dcffcd8eb44f3b2 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 3 Oct 2024 17:20:34 +0200
Subject: [PATCH] Add several small new C++ methods and classes

---
 SWIG/blackformula.i    |  8 +++++++
 SWIG/calendars.i       |  2 ++
 SWIG/cashflows.i       | 20 ++++++++++++++++++
 SWIG/date.i            |  2 ++
 SWIG/fittedbondcurve.i | 48 +++++++++++++++++++++++++++++++++++++-----
 SWIG/inflation.i       |  3 +++
 SWIG/ratehelpers.i     |  6 ++++--
 7 files changed, 82 insertions(+), 7 deletions(-)

diff --git a/SWIG/blackformula.i b/SWIG/blackformula.i
index 65def4c8b9..d710da5362 100644
--- a/SWIG/blackformula.i
+++ b/SWIG/blackformula.i
@@ -29,6 +29,7 @@ using QuantLib::blackFormulaImpliedStdDevLiRS;
 using QuantLib::blackFormulaCashItmProbability;
 using QuantLib::blackFormulaAssetItmProbability;
 using QuantLib::bachelierBlackFormula;
+using QuantLib::bachelierBlackFormulaImpliedVolChoi;
 using QuantLib::bachelierBlackFormulaImpliedVol;
 using QuantLib::bachelierBlackFormulaAssetItmProbability;
 %}
@@ -112,6 +113,13 @@ Real bachelierBlackFormulaImpliedVol(Option::Type optionType,
                                 Real bachelierPrice,
                                 Real discount = 1.0);
 
+Real bachelierBlackFormulaImpliedVolChoi(Option::Type optionType,
+                                         Real strike,
+                                         Real forward,
+                                         Real tte,
+                                         Real bachelierPrice,
+                                         Real discount = 1.0);
+
 Real bachelierBlackFormulaAssetItmProbability(
                         Option::Type optionType,
                         Real strike,
diff --git a/SWIG/calendars.i b/SWIG/calendars.i
index efb7deff62..f95e38604b 100644
--- a/SWIG/calendars.i
+++ b/SWIG/calendars.i
@@ -81,10 +81,12 @@ class Calendar {
     Calendar();
   public:
     bool isWeekend(Weekday w);
+    Date startOfMonth(const Date&);
     Date endOfMonth(const Date&);
     bool isBusinessDay(const Date&);
     bool isHoliday(const Date&);
     bool isEndOfMonth(const Date&);
+    bool isStartOfMonth(const Date&);
     void addHoliday(const Date&);
     void removeHoliday(const Date&);
     void resetAddedAndRemovedHolidays();
diff --git a/SWIG/cashflows.i b/SWIG/cashflows.i
index 415ab8f9f3..b84214c230 100644
--- a/SWIG/cashflows.i
+++ b/SWIG/cashflows.i
@@ -377,6 +377,8 @@ class SubPeriodsCoupon: public FloatingRateCoupon {
 using QuantLib::IborCouponPricer;
 using QuantLib::BlackIborCouponPricer;
 using QuantLib::SubPeriodsPricer;
+using QuantLib::CompoundingOvernightIndexedCouponPricer;
+using QuantLib::ArithmeticAveragedOvernightIndexedCouponPricer;
 using QuantLib::CompoundingRatePricer;
 using QuantLib::AveragingRatePricer;
 %}
@@ -412,6 +414,24 @@ class SubPeriodsPricer: public FloatingRateCouponPricer {
     SubPeriodsPricer();
 };
 
+%shared_ptr(CompoundingOvernightIndexedCouponPricer)
+class CompoundingOvernightIndexedCouponPricer: public FloatingRateCouponPricer {
+  public:
+    CompoundingOvernightIndexedCouponPricer();
+};
+
+%shared_ptr(ArithmeticAveragedOvernightIndexedCouponPricer)
+class ArithmeticAveragedOvernightIndexedCouponPricer: public FloatingRateCouponPricer {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") ArithmeticAveragedOvernightIndexedCouponPricer;
+    #endif
+  public:
+    ArithmeticAveragedOvernightIndexedCouponPricer(
+            Real meanReversion = 0.03,
+            Real volatility = 0.00,  // NO convexity adjustment by default
+            bool byApprox = false);  // TRUE to use Katsumi Takada approximation
+};
+
 %shared_ptr(CompoundingRatePricer)
 class CompoundingRatePricer: public SubPeriodsPricer {
   public:
diff --git a/SWIG/date.i b/SWIG/date.i
index 4bc5088613..a2e0fc4c70 100644
--- a/SWIG/date.i
+++ b/SWIG/date.i
@@ -707,7 +707,9 @@ class Date {
         %#endif
          }
     }
+    static Date startOfMonth(const Date&);
     static Date endOfMonth(const Date&);
+    static bool isStartOfMonth(const Date&);
     static bool isEndOfMonth(const Date&);
     static Date nextWeekday(const Date&, Weekday);
     static Date nthWeekday(Size n, Weekday, Month m, Year y);
diff --git a/SWIG/fittedbondcurve.i b/SWIG/fittedbondcurve.i
index 9dad301ac8..0c34cfabd1 100644
--- a/SWIG/fittedbondcurve.i
+++ b/SWIG/fittedbondcurve.i
@@ -21,6 +21,7 @@
 %include termstructures.i
 %include interpolation.i
 %include ratehelpers.i
+%include optimizers.i
 
 %{
 using QuantLib::FittedBondDiscountCurve;
@@ -86,6 +87,9 @@ using QuantLib::SpreadFittingMethod;
 
 %shared_ptr(ExponentialSplinesFitting)
 class ExponentialSplinesFitting : public FittingMethod {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") ExponentialSplinesFitting;
+    #endif
   public:
     ExponentialSplinesFitting(bool constrainAtZero = true,
                               const Array& weights = Array(),
@@ -93,44 +97,78 @@ class ExponentialSplinesFitting : public FittingMethod {
                               Real minCutoffTime = 0.0,
                               Real maxCutoffTime = QL_MAX_REAL,
                               Size numCoeffs = 9,
-                              Real fixedKappa = Null<Real>());
+                              Real fixedKappa = Null<Real>(),
+                              Constraint constraint = NoConstraint());
 };
 
 %shared_ptr(NelsonSiegelFitting)
 class NelsonSiegelFitting : public FittingMethod {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") NelsonSiegelFitting;
+    #endif
   public:
-    NelsonSiegelFitting(const Array& weights = Array());
+    NelsonSiegelFitting(const Array& weights = Array(),
+                        const ext::shared_ptr<OptimizationMethod>& optimizationMethod = {},
+                        const Array& l2 = Array(),
+                        Real minCutoffTime = 0.0,
+                        Real maxCutoffTime = QL_MAX_REAL,
+                        Constraint constraint = NoConstraint());
 };
 
 %shared_ptr(SvenssonFitting)
 class SvenssonFitting : public FittingMethod {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") SvenssonFitting;
+    #endif
   public:
-    SvenssonFitting(const Array& weights = Array());
+    SvenssonFitting(const Array& weights = Array(),
+                    const ext::shared_ptr<OptimizationMethod>& optimizationMethod = {},
+                    const Array& l2 = Array(),
+                    Real minCutoffTime = 0.0,
+                    Real maxCutoffTime = QL_MAX_REAL,
+                    Constraint constraint = NoConstraint());
 };
 
 %shared_ptr(CubicBSplinesFitting)
 class CubicBSplinesFitting : public FittingMethod {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") CubicBSplinesFitting;
+    #endif
   public:
     CubicBSplinesFitting(const std::vector<Time>& knotVector,
                          bool constrainAtZero = true,
-                         const Array& weights = Array());
+                         const Array& weights = Array(),
+                         const Array& l2 = Array(),
+                         Real minCutoffTime = 0.0,
+                         Real maxCutoffTime = QL_MAX_REAL,
+                         Constraint constraint = NoConstraint());
     Real basisFunction(Integer i, Time t);
 };
 
 %shared_ptr(SimplePolynomialFitting)
 class SimplePolynomialFitting : public FittingMethod {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") SimplePolynomialFitting;
+    #endif
   public:
     #if defined(SWIGJAVA)
     SimplePolynomialFitting(Natural degree);
     #else
     SimplePolynomialFitting(Natural degree,
                             bool constrainAtZero = true,
-                            const Array& weights = Array());
+                            const Array& weights = Array(),
+                            const Array& l2 = Array(),
+                            Real minCutoffTime = 0.0,
+                            Real maxCutoffTime = QL_MAX_REAL,
+                            Constraint constraint = NoConstraint());
     #endif
 };
 
 %shared_ptr(SpreadFittingMethod)
 class SpreadFittingMethod : public FittingMethod {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
+    %feature("kwargs") SpreadFittingMethod;
+    #endif
   public:
     SpreadFittingMethod(const ext::shared_ptr<FittingMethod>& method,
                         Handle<YieldTermStructure> discountCurve,
diff --git a/SWIG/inflation.i b/SWIG/inflation.i
index 5a989805bc..22bcb66940 100644
--- a/SWIG/inflation.i
+++ b/SWIG/inflation.i
@@ -168,6 +168,7 @@ class ZeroInflationIndex : public InflationIndex {
     Date lastFixingDate() const;
     Handle<ZeroInflationTermStructure> zeroInflationTermStructure() const;
     ext::shared_ptr<ZeroInflationIndex> clone(const Handle<ZeroInflationTermStructure>& h) const;
+    bool needsForecast(const Date& fixingDate) const;
 };
 
 %inline %{
@@ -196,11 +197,13 @@ class YoYInflationIndex : public InflationIndex {
             const Currency& currency,
             Handle<YoYInflationTermStructure> ts = {});
 
+    Date lastFixingDate() const;
     bool ratio() const;
     bool interpolated() const;
     ext::shared_ptr<ZeroInflationIndex> underlyingIndex() const;
     Handle<YoYInflationTermStructure> yoyInflationTermStructure() const;
     ext::shared_ptr<YoYInflationIndex> clone(const Handle<YoYInflationTermStructure>& h) const;
+    bool needsForecast(const Date& fixingDate) const;
 };
 
 %define export_zii_instance(Name)
diff --git a/SWIG/ratehelpers.i b/SWIG/ratehelpers.i
index e324c8b4dc..21b0763916 100644
--- a/SWIG/ratehelpers.i
+++ b/SWIG/ratehelpers.i
@@ -335,7 +335,8 @@ class OISRateHelper : public RateHelper {
             const Calendar& fixedCalendar = Calendar(),
             Natural lookbackDays = Null<Natural>(),
             Natural lockoutDays = 0,
-            bool applyObservationShift = false);
+            bool applyObservationShift = false,
+            ext::shared_ptr<FloatingRateCouponPricer> pricer = {});
     ext::shared_ptr<OvernightIndexedSwap> swap();
 };
 
@@ -363,7 +364,8 @@ class DatedOISRateHelper : public RateHelper {
             const Calendar& fixedCalendar = Calendar(),
             Natural lookbackDays = Null<Natural>(),
             Natural lockoutDays = 0,
-            bool applyObservationShift = false);
+            bool applyObservationShift = false,
+            ext::shared_ptr<FloatingRateCouponPricer> pricer = {});
 };
 
 %shared_ptr(FxSwapRateHelper)