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
|
/* -*- 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
<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.
*/
#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;
break;
case Close:
close_ = value;
break;
case High:
high_ = value;
break;
case Low:
low_ = value;
break;
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 (const auto& i : ts) {
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());
}
}
|
