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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2005, 2006 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
<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.
*/
/*! \file indexmanager.hpp
\brief global repository for past index fixings
*/
#ifndef quantlib_index_manager_hpp
#define quantlib_index_manager_hpp
#include <ql/patterns/singleton.hpp>
#include <ql/timeseries.hpp>
#include <ql/math/comparison.hpp>
#include <ql/utilities/observablevalue.hpp>
#include <algorithm>
#include <cctype>
namespace QuantLib {
//! global repository for past index fixings
/*! \note index names are case insensitive */
class IndexManager : public Singleton<IndexManager> {
friend class Singleton<IndexManager>;
friend class Index;
private:
IndexManager() = default;
public:
//! returns all names of the indexes for which fixings were stored
std::vector<std::string> histories() const;
//! clears all stored fixings
void clearHistories();
// deprecated in order to be moved into the private section
/*! \deprecated Use Index::hasHistoricalFixing instead.
Deprecated in version 1.37.
*/
[[deprecated("Use Index::hasHistoricalFixing instead")]]
bool hasHistory(const std::string& name) const;
/*! \deprecated Use Index::timeSeries instead.
Deprecated in version 1.37.
*/
[[deprecated("Use Index::timeSeries instead")]]
const TimeSeries<Real>& getHistory(const std::string& name) const;
/*! \deprecated Use Index::clearFixings instead.
Deprecated in version 1.37.
*/
[[deprecated("Use Index::clearFixings instead")]]
void clearHistory(const std::string& name);
/*! \deprecated Use Index::hasHistoricalFixing instead.
Deprecated in version 1.37.
*/
[[deprecated("Use Index::hasHistoricalFixing instead")]]
bool hasHistoricalFixing(const std::string& name, const Date& fixingDate) const;
/*! \deprecated Use Index::addFixings instead.
Deprecated in version 1.37.
*/
[[deprecated("Use Index::addFixings instead")]]
void setHistory(const std::string& name, TimeSeries<Real> history);
/*! \deprecated Register with the relevant index instead.
Deprecated in version 1.37.
*/
[[deprecated("Register with the relevant index instead")]]
ext::shared_ptr<Observable> notifier(const std::string& name) const;
private:
struct CaseInsensitiveCompare {
bool operator()(const std::string& s1, const std::string& s2) const {
return std::lexicographical_compare(s1.begin(), s1.end(), s2.begin(), s2.end(), [](const auto& c1, const auto& c2) {
return std::toupper(static_cast<unsigned char>(c1)) < std::toupper(static_cast<unsigned char>(c2));
});
}
};
mutable std::map<std::string, TimeSeries<Real>, CaseInsensitiveCompare> data_;
mutable std::map<std::string, ext::shared_ptr<Observable>> notifiers_;
//! add a fixing
void addFixing(const std::string& name,
const Date& fixingDate,
Real fixing,
bool forceOverwrite = false);
//! add fixings
template <class DateIterator, class ValueIterator>
void addFixings(const std::string& name,
DateIterator dBegin,
DateIterator dEnd,
ValueIterator vBegin,
bool forceOverwrite = false,
const std::function<bool(const Date& d)>& isValidFixingDate = {}) {
auto& h = data_[name];
bool noInvalidFixing = true, noDuplicatedFixing = true;
Date invalidDate, duplicatedDate;
Real nullValue = Null<Real>();
Real invalidValue = Null<Real>();
Real duplicatedValue = Null<Real>();
while (dBegin != dEnd) {
bool validFixing = isValidFixingDate ? isValidFixingDate(*dBegin) : true;
Real currentValue = h[*dBegin];
bool missingFixing = forceOverwrite || currentValue == nullValue;
if (validFixing) {
if (missingFixing)
h[*(dBegin++)] = *(vBegin++);
else if (close(currentValue, *(vBegin))) {
++dBegin;
++vBegin;
} else {
noDuplicatedFixing = false;
duplicatedDate = *(dBegin++);
duplicatedValue = *(vBegin++);
}
} else {
noInvalidFixing = false;
invalidDate = *(dBegin++);
invalidValue = *(vBegin++);
}
}
QL_DEPRECATED_DISABLE_WARNING
notifier(name)->notifyObservers();
QL_DEPRECATED_ENABLE_WARNING
QL_REQUIRE(noInvalidFixing, "At least one invalid fixing provided: "
<< invalidDate.weekday() << " " << invalidDate << ", "
<< invalidValue);
QL_REQUIRE(noDuplicatedFixing, "At least one duplicated fixing provided: "
<< duplicatedDate << ", " << duplicatedValue
<< " while " << h[duplicatedDate]
<< " value is already present");
}
};
}
#endif
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