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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 J. Erik Radmall
Copyright (C) 2009 StatPro Italia 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/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/unitofmeasureconversionmanager.hpp>
#include <ql/experimental/commodities/petroleumunitsofmeasure.hpp>
#include <ql/errors.hpp>
#include <algorithm>
using namespace std;
namespace QuantLib {
namespace {
bool matches(const UnitOfMeasureConversion& c1,
const UnitOfMeasureConversion& c2) {
return c1.commodityType() == c2.commodityType() &&
((c1.source() == c2.source() && c1.target() == c2.target())
|| (c1.source() == c2.target() && c1.target() == c2.source()));
}
bool matches(const UnitOfMeasureConversion& c,
const CommodityType& commodityType,
const UnitOfMeasure& source,
const UnitOfMeasure& target) {
return c.commodityType() == commodityType &&
((c.source() == source && c.target() == target)
|| (c.source() == target && c.target() == source));
}
bool matches(const UnitOfMeasureConversion& c,
const CommodityType& commodityType,
const UnitOfMeasure& source) {
return c.commodityType() == commodityType &&
(c.source() == source || c.target() == source);
}
}
UnitOfMeasureConversionManager::UnitOfMeasureConversionManager() {
addKnownConversionFactors();
}
void UnitOfMeasureConversionManager::add(const UnitOfMeasureConversion& c) {
// not fast, but hopefully we won't have a lot of entries.
for (list<UnitOfMeasureConversion>::iterator i = data_.begin();
i != data_.end(); ++i) {
if (matches(*i, c)) {
data_.erase(i);
break;
}
}
data_.push_back(c);
}
UnitOfMeasureConversion UnitOfMeasureConversionManager::lookup(
const CommodityType& commodityType,
const UnitOfMeasure& source,
const UnitOfMeasure& target,
UnitOfMeasureConversion::Type type) const {
if (type == UnitOfMeasureConversion::Direct) {
return directLookup(commodityType,source,target);
} else if (!source.triangulationUnitOfMeasure().empty()) {
const UnitOfMeasure& link = source.triangulationUnitOfMeasure();
if (link == target)
return directLookup(commodityType,source,link);
else
return UnitOfMeasureConversion::chain(
directLookup(commodityType,source,link),
lookup(commodityType,link,target));
} else if (!target.triangulationUnitOfMeasure().empty()) {
const UnitOfMeasure& link = target.triangulationUnitOfMeasure();
if (source == link)
return directLookup(commodityType,link,target);
else
return UnitOfMeasureConversion::chain(
lookup(commodityType,source,link),
directLookup(commodityType,link,target));
} else {
return smartLookup(commodityType,source,target);
}
}
void UnitOfMeasureConversionManager::clear() {
data_.clear();
addKnownConversionFactors();
}
void UnitOfMeasureConversionManager::addKnownConversionFactors() {
add(UnitOfMeasureConversion(NullCommodityType(),
MBUnitOfMeasure(),
BarrelUnitOfMeasure(),
1000));
add(UnitOfMeasureConversion(NullCommodityType(),
BarrelUnitOfMeasure(),
GallonUnitOfMeasure(),
42));
add(UnitOfMeasureConversion(NullCommodityType(),
GallonUnitOfMeasure(),
MBUnitOfMeasure(),
1000 * 42));
add(UnitOfMeasureConversion(NullCommodityType(),
LitreUnitOfMeasure(),
GallonUnitOfMeasure(),
3.78541));
add(UnitOfMeasureConversion(NullCommodityType(),
BarrelUnitOfMeasure(),
LitreUnitOfMeasure(),
158.987));
add(UnitOfMeasureConversion(NullCommodityType(),
KilolitreUnitOfMeasure(),
BarrelUnitOfMeasure(),
6.28981));
add(UnitOfMeasureConversion(NullCommodityType(),
TokyoKilolitreUnitOfMeasure(),
BarrelUnitOfMeasure(),
6.28981));
}
UnitOfMeasureConversion UnitOfMeasureConversionManager::directLookup(
const CommodityType& commodityType,
const UnitOfMeasure& source,
const UnitOfMeasure& target) const {
for (list<UnitOfMeasureConversion>::const_iterator i = data_.begin();
i != data_.end(); ++i) {
if (matches(*i, commodityType, source, target)) {
return *i;
}
}
// Here, the code used to look for conversions with null
// commodity type as a fall-back. However, this would only
// affect direct lookups and not other matches being tried in
// the smart-lookup loop. To implement the complete fall-back
// strategy, we should either duplicate the loop (as we would
// duplicate it here---smelly) or change the 'matches'
// functions so that a null commodity type matches. However,
// in the second case we would also have to take care that
// conversions with a null type be at the end of the list so
// that they don't supersede specific types. We'll have to
// think a bit about this, so no fall-back for the time being.
QL_FAIL("no direct conversion available from "
<< commodityType.code() << " " << source.code()
<< " to " << target.code());
}
UnitOfMeasureConversion UnitOfMeasureConversionManager::smartLookup(
const CommodityType& commodityType,
const UnitOfMeasure& source,
const UnitOfMeasure& target,
list<string> forbidden) const {
try {
return directLookup(commodityType,source,target);
} catch (Error&) {
; // no direct conversion available; turn to smart lookup.
}
// The source unit is forbidden to subsequent lookups in order
// to avoid cycles.
forbidden.push_back(source.code());
for (list<UnitOfMeasureConversion>::const_iterator i = data_.begin();
i != data_.end(); ++i) {
// we look for conversion data which involve our source unit...
if (matches(*i, commodityType, source)) {
const UnitOfMeasure& other =
source == i->source() ? i->target() : i->source();
if (find(forbidden.begin(),forbidden.end(),
other.code()) == forbidden.end()) {
// if we can get to the target from here...
try {
UnitOfMeasureConversion tail =
smartLookup(commodityType,other,target);
// ..we're done.
return UnitOfMeasureConversion::chain(*i,tail);
} catch (Error&) {
// otherwise, we just discard this conversion.
;
}
}
}
}
// if the loop completed, we have no way to return the
// requested conversion.
QL_FAIL("no conversion available for "
<< commodityType.code() << " from "
<< source.code() << " to " << target.code());
}
}
|
