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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap 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 compositequote.hpp
\brief purely virtual base class for market observables
*/
#ifndef quantlib_composite_quote_hpp
#define quantlib_composite_quote_hpp
#include <ql/errors.hpp>
#include <ql/handle.hpp>
#include <ql/quote.hpp>
#include <ql/types.hpp>
#include <utility>
namespace QuantLib {
//! market element whose value depends on two other market element
/*! \test the correctness of the returned values is tested by
checking them against numerical calculations.
*/
template <class BinaryFunction>
class CompositeQuote : public Quote, public Observer {
public:
CompositeQuote(Handle<Quote> element1, Handle<Quote> element2, const BinaryFunction& f);
//! \name inspectors
//@{
Real value1() const { return element1_->value(); }
Real value2() const { return element2_->value(); }
//@}
//! \name Quote interface
//@{
Real value() const override;
bool isValid() const override;
//@}
//! \name Observer interface
//@{
void update() override;
//@}
private:
Handle<Quote> element1_, element2_;
BinaryFunction f_;
};
//! creator method
template <class BinaryFunction>
CompositeQuote<BinaryFunction> makeCompositeQuote(const Handle<Quote>& element1,
const Handle<Quote>& element2,
const BinaryFunction& f) {
return CompositeQuote<BinaryFunction>(element1, element2, f);
}
// inline definitions
template <class BinaryFunction>
inline CompositeQuote<BinaryFunction>::CompositeQuote(Handle<Quote> element1,
Handle<Quote> element2,
const BinaryFunction& f)
: element1_(std::move(element1)), element2_(std::move(element2)), f_(f) {
registerWith(element1_);
registerWith(element2_);
}
template <class BinaryFunction>
inline Real CompositeQuote<BinaryFunction>::value() const {
QL_ENSURE(isValid(), "invalid CompositeQuote");
return f_(element1_->value(),element2_->value());
}
template <class BinaryFunction>
inline bool CompositeQuote<BinaryFunction>::isValid() const {
return !element1_.empty() && !element2_.empty() &&
element1_->isValid() && element2_->isValid();
}
template <class BinaryFunction>
inline void CompositeQuote<BinaryFunction>::update() {
notifyObservers();
}
}
#endif
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