genericindex.hpp

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/*
 Copyright (C) 2020 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 qle/indexes/genericindex.hpp
    \brief generic index class for storing price histories
    \ingroup indexes
*/
 
#pragma once
 
#include <ql/index.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
 
namespace QuantExt {
 
//! Generic Index
/*! \ingroup indexes */
class GenericIndex : public QuantLib::Index {
public:
    explicit GenericIndex(const std::string& name, const QuantLib::Date& expiry = QuantLib::Date()) : 
        name_(name), expiry_(expiry) {}
    //! \name Index interface
    //@{
    std::string name() const override { return name_; }
    const QuantLib::Date& expiry() const { return expiry_; }
    QuantLib::Calendar fixingCalendar() const override { return QuantLib::NullCalendar(); }
    bool isValidFixingDate(const QuantLib::Date& fixingDate) const override { return true; }
    QuantLib::Real fixing(const QuantLib::Date& fixingDate, bool forecastTodaysFixing = false) const override {
        if (expiry_ != QuantLib::Date() && fixingDate >= expiry_)
            QL_FAIL("GenericIndex, fixingDate is after expiry");
        QuantLib::Real tmp = timeSeries()[fixingDate];
        QL_REQUIRE(tmp != QuantLib::Null<QuantLib::Real>(), "Missing " << name() << " fixing for " << fixingDate);
        return tmp;
    }
 
private:
    std::string name_;
    QuantLib::Date expiry_;
};
 
} // namespace QuantExt