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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003 StatPro Italia srl
Copyright (C) 2005 Dominic Thuillier
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
<https://www.quantlib.org/license.shtml>.
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_market_elements_i
#define quantlib_market_elements_i
%include common.i
%include observer.i
%include functions.i
%include indexes.i
%include null.i
%{
using QuantLib::Quote;
using QuantLib::makeQuoteHandle;
%}
%shared_ptr(Quote)
class Quote : public Observable {
private:
Quote();
public:
Real value() const;
bool isValid() const;
};
%template(QuoteHandle) Handle<Quote>;
%template(RelinkableQuoteHandle) RelinkableHandle<Quote>;
RelinkableHandle<Quote> makeQuoteHandle(Real value);
#if defined(SWIGPYTHON)
%typecheck(SWIG_TYPECHECK_DOUBLE) std::variant<Real, Handle<Quote>>, const std::variant<Real, Handle<Quote>>& %{
{
int res = SWIG_AsVal_double($input, NULL);
$1 = SWIG_CheckState(res);
}
if (!$1) {
int res = SWIG_ConvertPtr($input, 0, $descriptor(Handle<Quote>*), SWIG_POINTER_NO_NULL | 0);
$1 = SWIG_CheckState(res);;
}
%}
%typemap(in) std::variant<Real, Handle<Quote>> (int res, Real val, void * argp) %{
res = SWIG_AsVal_double($input, &val);
if (SWIG_IsOK(res)) {
$1 = val;
} else {
res = SWIG_ConvertPtr($input, &argp, $descriptor(Handle<Quote>*), SWIG_POINTER_NO_NULL);
if (!SWIG_IsOK(res)) {
SWIG_exception_fail(SWIG_ArgError(res), "in method '$symname', argument $argnum of type '$type'");
} else if (!argp) {
SWIG_exception_fail(SWIG_ValueError, "invalid null reference in method '$symname', argument $argnum of type '$type'");
} else {
Handle< Quote > * h = reinterpret_cast< Handle< Quote > * >(argp);
$1 = *h;
if (SWIG_IsNewObj(res)) delete h;
}
}
%}
%typemap(in) const std::variant<Real, Handle<Quote>>& (std::variant<Real, Handle<Quote>> temp, int res, Real val, void * argp) %{
res = SWIG_AsVal_double($input, &val);
if (SWIG_IsOK(res)) {
temp = val;
$1 = &temp;
} else {
res = SWIG_ConvertPtr($input, &argp, $descriptor(Handle<Quote>*), SWIG_POINTER_NO_NULL);
if (!SWIG_IsOK(res)) {
SWIG_exception_fail(SWIG_ArgError(res), "in method '$symname', argument $argnum of type '$type'");
} else if (!argp) {
SWIG_exception_fail(SWIG_ValueError, "invalid null reference in method '$symname', argument $argnum of type '$type'");
} else {
Handle< Quote > * h = reinterpret_cast< Handle< Quote > * >(argp);
temp = *h;
$1 = &temp;
if (SWIG_IsNewObj(res)) delete h;
}
}
%}
#endif
// actual quotes
%{
using QuantLib::SimpleQuote;
using QuantLib::LastFixingQuote;
using QuantLib::FuturesConvAdjustmentQuote;
%}
%shared_ptr(SimpleQuote)
class SimpleQuote : public Quote {
public:
SimpleQuote(doubleOrNull value = Null<Real>());
void setValue(doubleOrNull value = Null<Real>());
void reset();
};
%shared_ptr(LastFixingQuote)
class LastFixingQuote : public Quote {
public:
LastFixingQuote(const ext::shared_ptr<Index>& index);
ext::shared_ptr<Index> index() const;
Date referenceDate() const;
};
%shared_ptr(FuturesConvAdjustmentQuote)
class FuturesConvAdjustmentQuote : public Quote {
public:
FuturesConvAdjustmentQuote(const ext::shared_ptr<IborIndex>& index,
const Date& futuresDate,
const Handle<Quote>& futuresQuote,
const Handle<Quote>& volatility,
const Handle<Quote>& meanReversion);
FuturesConvAdjustmentQuote(const ext::shared_ptr<IborIndex>& index,
const std::string& immCode,
const Handle<Quote>& futuresQuote,
const Handle<Quote>& volatility,
const Handle<Quote>& meanReversion);
Real futuresValue() const;
Real volatility() const;
Real meanReversion() const;
Date immDate() const;
};
#if defined(SWIGPYTHON)
%{
using QuantLib::DerivedQuote;
using QuantLib::CompositeQuote;
%}
%shared_ptr(DerivedQuote<UnaryFunction>)
template <class F>
class DerivedQuote : public Quote {
public:
%extend {
DerivedQuote(const Handle<Quote>& h,
PyObject* function) {
return new DerivedQuote<F>(h,F(function));
}
}
};
%template(DerivedQuote) DerivedQuote<UnaryFunction>;
%shared_ptr(CompositeQuote<BinaryFunction>)
template <class F>
class CompositeQuote : public Quote {
public:
%extend {
CompositeQuote(const Handle<Quote>& h1,
const Handle<Quote>& h2,
PyObject* function) {
return new CompositeQuote<F>(h1,h2,F(function));
}
}
};
%template(CompositeQuote) CompositeQuote<BinaryFunction>;
#endif
#if defined(SWIGCSHARP)
SWIG_STD_VECTOR_ENHANCED( ext::shared_ptr<Quote> )
SWIG_STD_VECTOR_ENHANCED( Handle<Quote> )
SWIG_STD_VECTOR_ENHANCED( RelinkableHandle<Quote> )
#endif
namespace std {
%template(QuoteVector) vector<ext::shared_ptr<Quote> >;
%template(QuoteVectorVector) vector<vector<ext::shared_ptr<Quote> > >;
%template(QuoteHandleVector) vector<Handle<Quote> >;
%template(QuoteHandleVectorVector) vector<vector<Handle<Quote> > >;
%template(RelinkableQuoteHandleVector) vector<RelinkableHandle<Quote> >;
%template(RelinkableQuoteHandleVectorVector)
vector<vector<RelinkableHandle<Quote> > >;
}
#endif
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