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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 J. Erik Radmall
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/experimental/commodities/commoditycurve.hpp>
#include <ql/experimental/commodities/commoditypricinghelpers.hpp>
namespace QuantLib {
CommodityCurve::CommodityCurve(const std::string& name,
const CommodityType& commodityType,
const Currency& currency,
const UnitOfMeasure& unitOfMeasure,
const Calendar& calendar,
const std::vector<Date>& dates,
const std::vector<Real>& prices,
const DayCounter& dayCounter)
: TermStructure(dates[0], calendar, dayCounter),
name_(name), commodityType_(commodityType), unitOfMeasure_(unitOfMeasure),
currency_(currency), dates_(dates), data_(prices),
interpolator_(ForwardFlat()), basisOfCurveUomConversionFactor_(1) {
QL_REQUIRE(dates_.size()>1, "too few dates");
QL_REQUIRE(data_.size()==dates_.size(), "dates/prices count mismatch");
times_.resize(dates_.size());
times_[0]=0.0;
for (Size i = 1; i < dates_.size(); i++) {
QL_REQUIRE(dates_[i] > dates_[i-1],
"invalid date (" << dates_[i] << ", vs "
<< dates_[i-1] << ")");
times_[i] = dayCounter.yearFraction(dates_[0], dates_[i]);
}
interpolation_ =
interpolator_.interpolate(times_.begin(), times_.end(),
data_.begin());
interpolation_.update();
}
CommodityCurve::CommodityCurve(const std::string& name,
const CommodityType& commodityType,
const Currency& currency,
const UnitOfMeasure& unitOfMeasure,
const Calendar& calendar,
const DayCounter& dayCounter)
: TermStructure(0, calendar, dayCounter),
name_(name), commodityType_(commodityType), unitOfMeasure_(unitOfMeasure),
currency_(currency), interpolator_(ForwardFlat()),
basisOfCurveUomConversionFactor_(1) {}
void CommodityCurve::setPrices(std::map<Date, Real>& prices) {
QL_REQUIRE(prices.size()>1, "too few prices");
dates_.clear();
data_.clear();
for (std::map<Date, Real>::const_iterator i = prices.begin(); i != prices.end(); ++i) {
dates_.push_back(i->first);
data_.push_back(i->second);
}
times_.resize(dates_.size());
times_[0]=0.0;
for (Size i = 1; i < dates_.size(); i++)
times_[i] = dayCounter().yearFraction(dates_[0], dates_[i]);
interpolation_ =
interpolator_.interpolate(times_.begin(), times_.end(),
data_.begin());
interpolation_.update();
}
void CommodityCurve::setBasisOfCurve(
const ext::shared_ptr<CommodityCurve>& basisOfCurve) {
basisOfCurve_ = basisOfCurve;
basisOfCurveUomConversionFactor_ =
CommodityPricingHelper::calculateUomConversionFactor(
commodityType_,
basisOfCurve_->unitOfMeasure_,
unitOfMeasure_);
}
std::ostream& operator<<(std::ostream& out, const CommodityCurve& curve) {
out << "[" << curve.name_ << "] (" << curve.currency_.code()
<< "/" << curve.unitOfMeasure_.code() << ")";
if (curve.basisOfCurve_ != 0)
out << "; basis to (" << (*curve.basisOfCurve_) << ")";
return out;
}
}
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