fixings.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/marketdata/loader.hpp
    \brief Market Datum Loader Interface
    \ingroup marketdata
*/
 
#pragma once
 
#include <ql/time/date.hpp>
 
#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/marketdatum.hpp>
#include <ored/utilities/serializationdate.hpp>
 
#include <boost/serialization/serialization.hpp>
#include <ql/shared_ptr.hpp>
 
#include <vector>
 
namespace ore {
namespace data {
 
//! Fixing data structure
/*!
  \ingroup marketdata
*/
struct Fixing {
    //! Fixing date
    QuantLib::Date date = QuantLib::Date();
    //! Index name
    std::string name = string();
    //! Fixing amount
    QuantLib::Real fixing = QuantLib::Null<QuantLib::Real>();
 
    //! Constructor
    Fixing() {}
    Fixing(const QuantLib::Date& d, const std::string& s, const QuantLib::Real f) : date(d), name(s), fixing(f) {}
    bool empty() { return name.empty() && date == QuantLib::Date() && fixing == QuantLib::Null<QuantLib::Real>(); }
 
private:
    //! Serialization
    friend class boost::serialization::access;
    template <class Archive> void serialize(Archive& ar, const unsigned int version) {
        ar& date;
        ar& name;
        ar& fixing;
    }
};
 
//! Compare fixings
bool operator<(const Fixing& f1, const Fixing& f2);
 
//! Utility to write a vector of fixings in the QuantLib index manager's fixing history
void applyFixings(const std::set<Fixing>& fixings);
 
} // namespace data
} // namespace ore