1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
6 Copyright (C) 2007, 2008 Ferdinando Ametrano
7 Copyright (C) 2007 Chiara Fornarola
8
9 This file is part of QuantLib, a free-software/open-source library
10 for financial quantitative analysts and developers - http://quantlib.org/
11
12 QuantLib is free software: you can redistribute it and/or modify it
13 under the terms of the QuantLib license. You should have received a
14 copy of the license along with this program; if not, please email
15 <quantlib-dev@lists.sf.net>. The license is also available online at
16 <http://quantlib.org/license.shtml>.
17
18 This program is distributed in the hope that it will be useful, but WITHOUT
19 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20 FOR A PARTICULAR PURPOSE. See the license for more details.
21*/
22
23/*! \file index.hpp
24 \brief virtual base class for indexes
25*/
26
27#ifndef quantlib_index_hpp
28#define quantlib_index_hpp
29
30#include <ql/indexes/indexmanager.hpp>
31#include <ql/math/comparison.hpp>
32#include <ql/time/calendar.hpp>
33
34namespace QuantLib {
35
36 //! purely virtual base class for indexes
37 /*! \warning this class performs no check that the
38 provided/requested fixings are for dates in the past,
39 i.e. for dates less than or equal to the evaluation
40 date. It is up to the client code to take care of
41 possible inconsistencies due to "seeing in the
42 future"
43 */
44 class Index : public Observable {
45 public:
46 ~Index() override = default;
47 //! Returns the name of the index.
48 /*! \warning This method is used for output and comparison
49 between indexes. It is <b>not</b> meant to be
50 used for writing switch-on-type code.
51 */
52 virtual std::string name() const = 0;
53 //! returns the calendar defining valid fixing dates
54 virtual Calendar fixingCalendar() const = 0;
55 //! returns TRUE if the fixing date is a valid one
56 virtual bool isValidFixingDate(const Date& fixingDate) const = 0;
57 //! returns whether a historical fixing was stored for the given date
58 bool hasHistoricalFixing(const Date& fixingDate) const;
59 //! returns the fixing at the given date
60 /*! the date passed as arguments must be the actual calendar
61 date of the fixing; no settlement days must be used.
62 */
63 virtual Real fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const = 0;
64 //! returns the fixing TimeSeries
65 const TimeSeries<Real>& timeSeries() const {
66 return IndexManager::instance().getHistory(name: name());
67 }
68 //! check if index allows for native fixings.
69 /*! If this returns false, calls to addFixing and similar
70 methods will raise an exception.
71 */
72 virtual bool allowsNativeFixings() { return true; }
73 //! stores the historical fixing at the given date
74 /*! the date passed as arguments must be the actual calendar
75 date of the fixing; no settlement days must be used.
76 */
77 virtual void addFixing(const Date& fixingDate, Real fixing, bool forceOverwrite = false);
78 //! stores historical fixings from a TimeSeries
79 /*! the dates in the TimeSeries must be the actual calendar
80 dates of the fixings; no settlement days must be used.
81 */
82 void addFixings(const TimeSeries<Real>& t, bool forceOverwrite = false);
83 //! stores historical fixings at the given dates
84 /*! the dates passed as arguments must be the actual calendar
85 dates of the fixings; no settlement days must be used.
86 */
87 template <class DateIterator, class ValueIterator>
88 void addFixings(DateIterator dBegin,
89 DateIterator dEnd,
90 ValueIterator vBegin,
91 bool forceOverwrite = false) {
92 checkNativeFixingsAllowed();
93 std::string tag = name();
94 TimeSeries<Real> h = IndexManager::instance().getHistory(name: tag);
95 bool noInvalidFixing = true, noDuplicatedFixing = true;
96 Date invalidDate, duplicatedDate;
97 Real nullValue = Null<Real>();
98 Real invalidValue = Null<Real>();
99 Real duplicatedValue = Null<Real>();
100 while (dBegin != dEnd) {
101 bool validFixing = isValidFixingDate(fixingDate: *dBegin);
102 Real currentValue = h[*dBegin];
103 bool missingFixing = forceOverwrite || currentValue == nullValue;
104 if (validFixing) {
105 if (missingFixing)
106 h[*(dBegin++)] = *(vBegin++);
107 else if (close(currentValue, *(vBegin))) {
108 ++dBegin;
109 ++vBegin;
110 } else {
111 noDuplicatedFixing = false;
112 duplicatedDate = *(dBegin++);
113 duplicatedValue = *(vBegin++);
114 }
115 } else {
116 noInvalidFixing = false;
117 invalidDate = *(dBegin++);
118 invalidValue = *(vBegin++);
119 }
120 }
121 IndexManager::instance().setHistory(name: tag, history: h);
122 QL_REQUIRE(noInvalidFixing, "At least one invalid fixing provided: "
123 << invalidDate.weekday() << " " << invalidDate << ", "
124 << invalidValue);
125 QL_REQUIRE(noDuplicatedFixing, "At least one duplicated fixing provided: "
126 << duplicatedDate << ", " << duplicatedValue
127 << " while " << h[duplicatedDate]
128 << " value is already present");
129 }
130 //! clears all stored historical fixings
131 void clearFixings();
132
133 private:
134 //! check if index allows for native fixings
135 void checkNativeFixingsAllowed();
136 };
137
138 inline bool Index::hasHistoricalFixing(const Date& fixingDate) const {
139 return IndexManager::instance().hasHistoricalFixing(name: name(), fixingDate);
140 }
141
142}
143
144#endif
145

source code of quantlib/ql/index.hpp