1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: TimeSeries Class Template Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a></div>
<h1>TimeSeries Class Template Reference</h1><!-- doxytag: class="QuantLib::TimeSeries" --><code>#include <ql/timeseries.hpp></code>
<p>
<p>
<a href="class_quant_lib_1_1_time_series-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class T, class Container = std::map<Date, T>><br>
class QuantLib::TimeSeries< T, Container ></h3>
Container for historical data.
<p>
This class acts as a generic repository for a set of historical data. Any single datum can be accessed through its date, while sets of consecutive data can be accessed through iterators.<p>
<dl class="pre" compact><dt><b>Precondition:</b></dt><dd>The <code>Container</code> type must satisfy the requirements set by the C++ standard for associative containers. </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Iterators</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0833e882f7bd9b10baa8f4ff433ebbd4"></a><!-- doxytag: member="QuantLib::TimeSeries::const_iterator" ref="0833e882f7bd9b10baa8f4ff433ebbd4" args="" -->
typedef Container::const_iterator </td><td class="memItemRight" valign="bottom"><b>const_iterator</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c0b036b5ea9f5adcc582bb896944d33"></a><!-- doxytag: member="QuantLib::TimeSeries::const_reverse_iterator" ref="3c0b036b5ea9f5adcc582bb896944d33" args="" -->
typedef <br>
Container::const_reverse_iterator </td><td class="memItemRight" valign="bottom"><b>const_reverse_iterator</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fc6ae8faab5b59232739b1e5d9751c3b"></a><!-- doxytag: member="QuantLib::TimeSeries::begin" ref="fc6ae8faab5b59232739b1e5d9751c3b" args="() const " -->
const_iterator </td><td class="memItemRight" valign="bottom"><b>begin</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="066c654fb9659541595b543efd628b22"></a><!-- doxytag: member="QuantLib::TimeSeries::end" ref="066c654fb9659541595b543efd628b22" args="() const " -->
const_iterator </td><td class="memItemRight" valign="bottom"><b>end</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e06bd8bc03daaea09a997ca6c982fd12"></a><!-- doxytag: member="QuantLib::TimeSeries::rbegin" ref="e06bd8bc03daaea09a997ca6c982fd12" args="() const " -->
const_reverse_iterator </td><td class="memItemRight" valign="bottom"><b>rbegin</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b7d8fd541e3a34a3b30f3a9002db6246"></a><!-- doxytag: member="QuantLib::TimeSeries::rend" ref="b7d8fd541e3a34a3b30f3a9002db6246" args="() const " -->
const_reverse_iterator </td><td class="memItemRight" valign="bottom"><b>rend</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3f309f410cacd8b9af5dd47d20fb559d"></a><!-- doxytag: member="QuantLib::TimeSeries::key_type" ref="3f309f410cacd8b9af5dd47d20fb559d" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>key_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="265a253612b46abed17c61b0a5e5ce30"></a><!-- doxytag: member="QuantLib::TimeSeries::value_type" ref="265a253612b46abed17c61b0a5e5ce30" args="" -->
typedef T </td><td class="memItemRight" valign="bottom"><b>value_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#b23fa5e29fa4062e597a71f8750e1672">TimeSeries</a> ()</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2">template<class DateIterator, class ValueIterator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top"> </td><td class="memTemplItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#3fd3124fcacbb08a32ccd0e74afbbb97">TimeSeries</a> (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin)</td></tr>
<tr><td class="memTemplParams" nowrap colspan="2">template<class ValueIterator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top"> </td><td class="memTemplItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#7f2f0606683b8cb5601c8b9d9ba2d589">TimeSeries</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &firstDate, ValueIterator begin, ValueIterator end)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="89f577dafd1b1413b3efb0964c14d92b"></a><!-- doxytag: member="QuantLib::TimeSeries::firstDate" ref="89f577dafd1b1413b3efb0964c14d92b" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#89f577dafd1b1413b3efb0964c14d92b">firstDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the first date for which a historical datum exists <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="82fb26af3e6b94b1bad6e21f0d6a56ac"></a><!-- doxytag: member="QuantLib::TimeSeries::lastDate" ref="82fb26af3e6b94b1bad6e21f0d6a56ac" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#82fb26af3e6b94b1bad6e21f0d6a56ac">lastDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the last date for which a historical datum exists <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d78a687cf2a391198bb3cbc08bc06cb"></a><!-- doxytag: member="QuantLib::TimeSeries::size" ref="9d78a687cf2a391198bb3cbc08bc06cb" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#9d78a687cf2a391198bb3cbc08bc06cb">size</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the number of historical data including null ones <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c6e61de369e994009e36f344f99c15ad"></a><!-- doxytag: member="QuantLib::TimeSeries::empty" ref="c6e61de369e994009e36f344f99c15ad" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#c6e61de369e994009e36f344f99c15ad">empty</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the series contains any data <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Historical data access</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="640449f3131e686290c6c1d0bbb043b3"></a><!-- doxytag: member="QuantLib::TimeSeries::operator[]" ref="640449f3131e686290c6c1d0bbb043b3" args="(const Date &d) const " -->
T </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#640449f3131e686290c6c1d0bbb043b3">operator[]</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the (possibly null) datum corresponding to the given date <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3f62282db5196704781ec6e5caa6c48f"></a><!-- doxytag: member="QuantLib::TimeSeries::operator[]" ref="3f62282db5196704781ec6e5caa6c48f" args="(const Date &d)" -->
T & </td><td class="memItemRight" valign="bottom"><b>operator[]</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Utilities</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="29ddcedccaeac592df6f492817d24243"></a><!-- doxytag: member="QuantLib::TimeSeries::find" ref="29ddcedccaeac592df6f492817d24243" args="(const Date &)" -->
const_iterator </td><td class="memItemRight" valign="bottom"><b>find</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b7b03c23ac83d89c3637b46769c665b7"></a><!-- doxytag: member="QuantLib::TimeSeries::dates" ref="b7b03c23ac83d89c3637b46769c665b7" args="() const " -->
std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#b7b03c23ac83d89c3637b46769c665b7">dates</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the dates for which historical data exist <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fbac7e75441b2d40f9f5de2897f3604b"></a><!-- doxytag: member="QuantLib::TimeSeries::values" ref="fbac7e75441b2d40f9f5de2897f3604b" args="() const " -->
std::vector< T > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_time_series.html#fbac7e75441b2d40f9f5de2897f3604b">values</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the historical data <br></td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="b23fa5e29fa4062e597a71f8750e1672"></a><!-- doxytag: member="QuantLib::TimeSeries::TimeSeries" ref="b23fa5e29fa4062e597a71f8750e1672" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a> </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Default constructor
</div>
</div><p>
<a class="anchor" name="3fd3124fcacbb08a32ccd0e74afbbb97"></a><!-- doxytag: member="QuantLib::TimeSeries::TimeSeries" ref="3fd3124fcacbb08a32ccd0e74afbbb97" args="(DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a> </td>
<td>(</td>
<td class="paramtype">DateIterator </td>
<td class="paramname"> <em>dBegin</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">DateIterator </td>
<td class="paramname"> <em>dEnd</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">ValueIterator </td>
<td class="paramname"> <em>vBegin</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This constructor initializes the history with a set of values passed as two sequences, the first containing dates and the second containing corresponding values.
</div>
</div><p>
<a class="anchor" name="7f2f0606683b8cb5601c8b9d9ba2d589"></a><!-- doxytag: member="QuantLib::TimeSeries::TimeSeries" ref="7f2f0606683b8cb5601c8b9d9ba2d589" args="(const Date &firstDate, ValueIterator begin, ValueIterator end)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"> <em>firstDate</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">ValueIterator </td>
<td class="paramname"> <em>begin</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">ValueIterator </td>
<td class="paramname"> <em>end</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This constructor initializes the history with a set of values. Such values are assigned to a corresponding number of consecutive dates starting from <b><em>firstDate</em></b> included.
</div>
</div><p>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
