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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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
<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 interpolatedcurve.hpp
\brief Helper class to build interpolated term structures
*/
#ifndef quantlib_interpolated_curve_hpp
#define quantlib_interpolated_curve_hpp
#include <ql/math/comparison.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/time/date.hpp>
#include <ql/time/daycounter.hpp>
#include <utility>
#include <vector>
namespace QuantLib {
//! Helper class to build interpolated term structures
/*! Interpolated term structures can use protected or private
inheritance from this class to obtain the relevant data
members and implement correct copy behavior.
*/
template <class Interpolator>
class InterpolatedCurve {
public:
~InterpolatedCurve() = default;
protected:
//! \name Building
//@{
InterpolatedCurve(std::vector<Time> times,
std::vector<Real> data,
const Interpolator& i = Interpolator())
: times_(std::move(times)), data_(std::move(data)), interpolator_(i) {}
InterpolatedCurve(std::vector<Time> times,
const Interpolator& i = Interpolator())
: times_(std::move(times)), data_(times_.size()), interpolator_(i) {}
InterpolatedCurve(Size n,
const Interpolator& i = Interpolator())
: times_(n), data_(n), interpolator_(i) {}
InterpolatedCurve(const Interpolator& i = Interpolator())
: interpolator_(i) {}
//@}
//! \name Copying
//@{
InterpolatedCurve(const InterpolatedCurve& c)
: times_(c.times_), data_(c.data_), interpolator_(c.interpolator_) {
setupInterpolation();
}
InterpolatedCurve& operator=(const InterpolatedCurve& c) {
times_ = c.times_;
data_ = c.data_;
interpolator_ = c.interpolator_;
setupInterpolation();
return *this;
}
//@}
//! \name Moving
//@{
InterpolatedCurve(InterpolatedCurve&& c) noexcept
: times_(std::move(c.times_)), data_(std::move(c.data_)), interpolator_(std::move(c.interpolator_)) {
setupInterpolation();
}
InterpolatedCurve& operator=(InterpolatedCurve&& c) noexcept {
times_ = std::move(c.times_);
data_ = std::move(c.data_);
interpolator_ = std::move(c.interpolator_);
setupInterpolation();
return *this;
}
//@}
//! \name Utilities
//@{
void setupTimes(const std::vector<Date>& dates,
Date referenceDate,
const DayCounter& dayCounter) {
times_.resize(dates.size());
times_[0] = dayCounter.yearFraction(referenceDate, dates[0]);
for (Size i = 1; i < dates.size(); i++) {
QL_REQUIRE(dates[i] > dates[i-1],
"dates not sorted: " << dates[i] << " passed after " << dates[i-1]);
times_[i] = dayCounter.yearFraction(referenceDate, dates[i]);
QL_REQUIRE(!close(this->times_[i], this->times_[i-1]),
"two passed dates (" << dates[i-1] << " and " << dates[i]
<< ") correspond to the same time "
<< "under this curve's day count convention (" << dayCounter << ")");
}
}
void setupInterpolation() {
interpolation_ = interpolator_.interpolate(times_.begin(),
times_.end(),
data_.begin());
}
//@}
mutable std::vector<Time> times_;
mutable std::vector<Real> data_;
mutable Interpolation interpolation_;
Interpolator interpolator_;
// Usually, the maximum date is the one corresponding to the
// last node. However, it might happen that a bit of
// extrapolation is used by construction; for instance, when a
// curve is bootstrapped and the last relevant date for an
// instrument is after the corresponding pillar.
// We provide here a slot to store this information, so that
// it's available to all derived classes (we should have
// probably done the same with the dates_ vector, but moving
// it here might not be entirely backwards-compatible).
Date maxDate_;
};
}
#endif
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