// Tutorial2-BondHedging.cpp : Defines the entry point for the console application.
//


#include <string>
#include <vector>
#include <iostream>

using namespace std;

class Bond
{
private:
	string ISIN;
	string Maturity;
	double Price;
	double DV01;
	double Coupon;
public:
	void setPrice(double p)
	{
		Price = p;
	}
	void setDV01(double d)
	{
		DV01 = d;
	}
	double getPrice()
	{
		return Price;
	}
	double getDV01()
	{
		return DV01;
	}
};

class Position
{
private:
	vector <double> Notionals;
	Bond Bnd;
public:
	Position(vector <double> n, Bond b):Notionals(n), Bnd(b) {}
	
	void addNotional(double n){
		Notionals.push_back(n);
	}
	vector <double> getNotionals()
	{
		return Notionals;
	}

	Bond getBond()
	{
		return Bnd;
	}

	double getRisk()
	{
		double result = 0.0;
		for (double n : Notionals)
		{
			result += n * Bnd.getDV01();
		}
		
		return result;
	}

};


class BondFuture : public Bond
{
private:
	string SettlementDate;
public:
	BondFuture(string sd) :Bond(), SettlementDate(sd) {}
};

double computeNumberofcontracts(Position p, BondFuture bf)
{
	double result = 0.0;
	for (double n : p.getNotionals()) {
		result += n * p.getBond().getDV01() / bf.getDV01();
	}
	return result;
}

int main()
{
	Bond bond1;
	bond1.setPrice(100.0);
	bond1.setDV01(5.0);

	BondFuture BF("3m");
	BF.setPrice(120.0);
	BF.setDV01(4.0);

	

	cout << "DV01 of the bond is equal to " << bond1.getDV01() << endl;


	vector <double> notionals;
	notionals.push_back(1);
	notionals.push_back(5);
	notionals.push_back(-3);

	Position pos(notionals, bond1);

	cout << "The risk of the whole position is now " << pos.getRisk() << endl;
	
	cout << "The number of futures computed to hedge the risk in bonds is equal to " << computeNumberofcontracts(pos, BF) << endl;


	system("pause");
    return 0;
}