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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email quantlib-dev@lists.sf.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_timeseries_i
#define quantlib_timeseries_i
%include common.i
%include types.i
%include date.i
%{
using QuantLib::TimeSeries;
using QuantLib::IntervalPrice;
%}
template <class T, class Container = std::map<Date, T> >
class TimeSeries {
#if defined (SWIGPYTHON) || defined(SWIGRUBY)
%rename(__len__) size;
#endif
public:
TimeSeries();
%extend {
TimeSeries(const std::vector<Date>& d, const std::vector<T>& v) {
return new TimeSeries<T>(d.begin(), d.end(), v.begin());
}
}
std::vector<Date> dates();
std::vector<T> values();
Size size();
%extend {
#if defined(SWIGPYTHON) || defined(SWIGRUBY) || defined(SWIGR)
T __getitem__(const Date& d) {
return (*self)[d];
}
void __setitem__(const Date& d, const T& value) {
(*self)[d] = value;
}
#endif
}
};
%template(RealTimeSeries) TimeSeries<Real>;
%template(IntervalPriceTimeSeries) TimeSeries<IntervalPrice>;
%template(IntervalPriceVector) std::vector<IntervalPrice>;
class IntervalPrice {
enum Type {Open, Close, High, Low};
public:
IntervalPrice(Real, Real, Real, Real);
void setValue(Real, IntervalPrice::Type);
void setValues(Real, Real, Real, Real);
Real value(IntervalPrice::Type t);
Real open();
Real close();
Real high();
Real low();
static TimeSeries<IntervalPrice> makeSeries(const std::vector<Date>& d,
const std::vector<Real>& open,
const std::vector<Real>& close,
const std::vector<Real>& high,
const std::vector<Real>& low);
static std::vector<Real> extractValues(TimeSeries<IntervalPrice>,
IntervalPrice::Type t);
static TimeSeries<Real> extractComponent(TimeSeries<IntervalPrice>,
IntervalPrice::Type t);
};
typedef RealTimeSeries VolatilityTimeSeries;
#if defined(SWIGR)
%Rruntime %{
setMethod('as.data.frame', '_p_TimeSeriesTdouble_std__mapTDate_double_t_t',
function(x,row.names,optional)
data.frame("date"=as(x$dates(), "character"),
"values"=as(x$values(), "numeric")))
setMethod("print", '_p_TimeSeriesTdouble_std_mapTDate_double_t_t',
function(x) print(as.data.frame(x)))
setMethod('as.data.frame', '_p_TimeSeriesTIntervalPrice_std_mapTDate_IntervalPrice_t_t',
function(x,row.names,optional)
data.frame("date"=as(x$dates(), "character"),
"open"=as(IntervalPrice_extractValues(x, "Open"), "numeric"),
"close"=as(IntervalPrice_extractValues(x, "Close"), "numeric"),
"high"=as(IntervalPrice_extractValues(x, "High"), "numeric"),
"low"=as(IntervalPrice_extractValues(x, "Low"), "numeric")))
setMethod("print", '_p_TimeSeriesTIntervalPrice_std_mapTDate_IntervalPrice_t_t',
function(x) print(as.data.frame(x)))
%}
#endif
#endif
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