//setup bond; initialise calendar from the singleton instance

QuantLib::Calendar calendar = RQLContext::instance().calendar;

QuantLib::Integer fixingDays = RQLContext::instance().fixingDays;

QuantLib::Date todaysDate = calendar.advance(settle, -fixingDays, QuantLib::Days);

QuantLib::Settings::instance().evaluationDate() = todaysDate;

QuantLib::DayCounter dayCounter = getDayCounter(basis);

QuantLib::Frequency freq = getFrequency(period);

QuantLib::Period p(freq);

//double EMR = Rcpp::as<double>(rparam["EMR");

QuantLib::ZeroCouponBond bond(1, calendar,

100, maturity, QuantLib::Unadjusted,

100.0, settle);

return bond.cleanPrice(yield, dayCounter, QuantLib::Compounded, freq);

//setup bond; initialise calendar from the singleton instance

QuantLib::Calendar calendar = RQLContext::instance().calendar;

QuantLib::Integer fixingDays = RQLContext::instance().fixingDays;

QuantLib::Date todaysDate = calendar.advance(settle, -fixingDays, QuantLib::Days);

QuantLib::Settings::instance().evaluationDate() = todaysDate;

QuantLib::DayCounter dayCounter = getDayCounter(basis);

QuantLib::Frequency freq = getFrequency(period);

QuantLib::Period p(freq);

//double EMR = Rcpp::as<double>(rparam["EMR");

QuantLib::ZeroCouponBond bond(1, calendar, 100, maturity, QuantLib::Unadjusted, 100.0, settle);

#if QL_HEX_VERSION >= 0x013400c0

QuantLib::Bond::Price bondprice{price, QuantLib::Bond::Price::Clean};

return bond.yield(bondprice, dayCounter, QuantLib::Compounded, freq);

#else

return bond.yield(price, dayCounter, QuantLib::Compounded, freq);

#endif

Rcpp::NumericMatrix bondparam,

Rcpp::NumericVector yields,

std::vector<QuantLib::Date> SettleDates,

Rcpp::NumericVector cleanPrice) {

//setting up the bonds

const QuantLib::Size numberOfBonds = MatDates.size();

std::vector<qlext::shared_ptr<QuantLib::RateHelper> > instruments;

std::vector<qlext::shared_ptr<QuantLib::SimpleQuote> > quote;

for (QuantLib::Size i=0; i<numberOfBonds; i++) {

auto cp = qlext::make_shared<QuantLib::SimpleQuote>(cleanPrice[i]);

quote.push_back(cp);

}

std::vector< QuantLib::RelinkableHandle<QuantLib::Quote> > quoteHandle(numberOfBonds);

for (QuantLib::Size i=0; i<numberOfBonds; i++) {

quoteHandle[i].linkTo(quote[i]);

}

QuantLib::Calendar calendar = RQLContext::instance().calendar;

QuantLib::Date todaysDate = calendar.advance(SettleDates[0], -2, QuantLib::Days);

QuantLib::Settings::instance().evaluationDate() = todaysDate;

QuantLib::Period p(getFrequency(2));

double faceAmount = 100;

QuantLib::DayCounter dayCounter = getDayCounter(2);

bool emr = true;

for (QuantLib::Size j = 0; j< numberOfBonds;j++){

if (bondparam.ncol() > 1) {

p = QuantLib::Period(getFrequency(bondparam(j,2)));

faceAmount = bondparam(j,1);

dayCounter = getDayCounter(3);

emr = (bondparam(j,4)==0) ? false : true;

}

QuantLib::Schedule schedule(SettleDates[j], MatDates[j],p, calendar,

QuantLib::Unadjusted, QuantLib::Unadjusted,

QuantLib::DateGeneration::Backward, emr);

typedef QuantLib::FixedRateBondHelper qlFRBH;

auto helper = qlext::make_shared<qlFRBH>(quoteHandle[j], 1, faceAmount, schedule,

std::vector<QuantLib::Rate>(1,bondparam(j,0)),

dayCounter, QuantLib::Unadjusted, 100, SettleDates[j]);

instruments.push_back(helper);

}

/*

typedef QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, QuantLib::Cubic> qlPYCZYC;

auto curve = qlext::make_shared<qlPYCZYC>(1, calendar, instruments, dayCounter);

int numCol = 2;

std::vector<std::string> colNames(numCol);

colNames[0] = "date";

colNames[1] = "zeroRates";

Rcpp::DateVector dates(numberOfBonds);

Rcpp::NumericVector zeros(numberOfBonds);

QuantLib::Date current = SettleDates[0];

//int n1 = curve->maxDate() - SettleDates[0];

for (unsigned int i = 0; i<numberOfBonds;i++){

QuantLib::Date d = MatDates[i];

dates[i] = Rcpp::Date(d.month(), d.dayOfMonth(), d.year());

zeros[i] = curve->zeroRate(d, QuantLib::Actual365Fixed(), QuantLib::Simple);

current++; // ?

}

return Rcpp::DataFrame::create(Rcpp::Named("date")=dates,

Rcpp::Named("zeroRates")=zeros);