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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
Copyright (C) 2006 Katiuscia Manzoni
Copyright (C) 2006 Joseph Wang
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/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.
*/
#include <ql/prices.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
Real midEquivalent(const Real bid,
const Real ask,
const Real last,
const Real close)
{
if (bid != Null<Real>() && bid > 0.0) {
if (ask != Null<Real>() && ask > 0.0) return ((bid+ask)/2.0);
else return bid;
} else {
if (ask != Null<Real>() && ask > 0.0) return ask;
else if (last != Null<Real>() && last > 0.0) return last;
else {
QL_REQUIRE(close != Null<Real>() && close > 0.0,
"all input prices are invalid");
return close;
}
}
}
Real midSafe(const Real bid,
const Real ask)
{
QL_REQUIRE(bid != Null<Real>() && bid > 0.0,
"invalid bid price");
QL_REQUIRE(ask != Null<Real>() && ask > 0.0,
"invalid ask price");
return (bid+ask)/2.0;
}
IntervalPrice::IntervalPrice()
: open_(Null<Real>()), close_(Null<Real>()),
high_(Null<Real>()), low_(Null<Real>()) {}
IntervalPrice::IntervalPrice(Real open, Real close, Real high, Real low)
: open_(open), close_(close), high_(high), low_(low) {}
Real IntervalPrice::value(IntervalPrice::Type t) const {
switch(t) {
case Open:
return open_;
case Close:
return close_;
case High:
return high_;
case Low:
return low_;
default:
QL_FAIL("Unknown price type");
}
}
void IntervalPrice::setValue(Real value,
IntervalPrice::Type t) {
switch(t) {
case Open:
open_ = value;
case Close:
close_ = value;
case High:
high_ = value;
case Low:
low_ = value;
default:
QL_FAIL("Unknown price type");
}
}
void IntervalPrice::setValues(Real open, Real close, Real high, Real low) {
open_ = open; close_ = close; high_ = high; low_ = low;
}
TimeSeries<IntervalPrice> 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) {
Size dsize = d.size();
QL_REQUIRE((open.size() == dsize && close.size() == dsize &&
high.size() == dsize && low.size() == dsize),
"size mismatch (" << dsize << ", "
<< open.size() << ", "
<< close.size() << ", "
<< high.size() << ", "
<< low.size() << ")");
TimeSeries<IntervalPrice> retval;
std::vector<Date>::const_iterator i;
std::vector<Real>::const_iterator openi, closei, highi, lowi;
openi = open.begin();
closei = close.begin();
highi = high.begin();
lowi = low.begin();
for (i = d.begin(); i != d.end(); i++) {
retval[*i] = IntervalPrice(*openi, *closei, *highi, *lowi);
++openi; ++closei; ++highi; ++lowi;
}
return retval;
}
std::vector<Real> IntervalPrice::extractValues(
const TimeSeries<IntervalPrice>& ts,
IntervalPrice::Type t) {
std::vector<Real> returnval;
returnval.reserve(ts.size());
for (TimeSeries<IntervalPrice>::const_iterator i = ts.begin();
i != ts.end(); i++) {
returnval.push_back(i->second.value(t));
}
return returnval;
}
TimeSeries<Real> IntervalPrice::extractComponent(
const TimeSeries<IntervalPrice>& ts,
IntervalPrice::Type t) {
std::vector<Date> dates = ts.dates();
std::vector<Real> values = extractValues(ts, t);
return TimeSeries<Real>(dates.begin(), dates.end(), values.begin());
}
}
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