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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2025 Eugene Toder
Copyright (C) 2025 Peter Caspers
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/termstructures/multicurve.hpp>
namespace QuantLib {
MultiCurve::MultiCurve(Real accuracy)
: multiCurveBootstrap_(ext::make_shared<MultiCurveBootstrap>(accuracy)) {}
MultiCurve::MultiCurve(const ext::shared_ptr<OptimizationMethod>& optimizer,
const ext::shared_ptr<EndCriteria>& endCriteria)
: multiCurveBootstrap_(ext::make_shared<MultiCurveBootstrap>(optimizer, endCriteria)) {}
Handle<YieldTermStructure>
MultiCurve::addBootstrappedCurve(RelinkableHandle<YieldTermStructure>& internalHandle,
ext::shared_ptr<YieldTermStructure>&& curve) {
QL_REQUIRE(internalHandle.empty(),
"internal handle must be empty; was the curve added already?");
auto mcProv = ext::dynamic_pointer_cast<MultiCurveBootstrapProvider>(curve);
QL_REQUIRE(mcProv != nullptr, "curve must be a MultiCurveBootstrapProvider");
const auto *bootstrap = mcProv->multiCurveBootstrapContributor();
QL_REQUIRE(bootstrap, "curve does not provide a valid multi curve bootstrap contributor");
multiCurveBootstrap_->add(bootstrap);
return addCurve(internalHandle, std::move(curve));
}
Handle<YieldTermStructure>
MultiCurve::addNonBootstrappedCurve(RelinkableHandle<YieldTermStructure>& internalHandle,
ext::shared_ptr<YieldTermStructure>&& curve) {
QL_REQUIRE(internalHandle.empty(),
"internal handle must be empty; was the curve added already?");
QL_REQUIRE(curve != nullptr, "curve must not be null");
multiCurveBootstrap_->addObserver(curve.get());
return addCurve(internalHandle, std::move(curve));
}
Handle<YieldTermStructure>
MultiCurve::addCurve(RelinkableHandle<YieldTermStructure>& internalHandle,
ext::shared_ptr<YieldTermStructure>&& curve) {
internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),
false);
Handle<YieldTermStructure> externalHandle(ext::shared_ptr<YieldTermStructure>(
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
ext::static_pointer_cast<MultiCurve>(shared_from_this())
#else
shared_from_this()
#endif
,
curve.get()));
registerWithObservables(curve);
curves_.push_back(curve);
return externalHandle;
}
void MultiCurve::update() {
for (auto const& c : curves_)
c->update();
}
}
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