index.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
 Copyright (C) 2007, 2008 Ferdinando Ametrano
 Copyright (C) 2007 Chiara Fornarola
 
 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
 <http://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.
*/
 
#ifndef quantlib_index_hpp
#define quantlib_index_hpp
 
#include <ql/indexes/indexmanager.hpp>
#include <ql/math/comparison.hpp>
#include <ql/time/calendar.hpp>
 
namespace QuantLib {
 
 
    class Index : public Observable {
      public:
        ~Index() override = default;
 
        virtual std::string name() const = 0;
        virtual Calendar fixingCalendar() const = 0;
        virtual bool isValidFixingDate(const Date& fixingDate) const = 0;
        bool hasHistoricalFixing(const Date& fixingDate) const;
 
        virtual Real fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const = 0;
        const TimeSeries<Real>& timeSeries() const {
            return IndexManager::instance().getHistory(name());
        }
 
        virtual bool allowsNativeFixings() { return true; }
 
        virtual void addFixing(const Date& fixingDate, Real fixing, bool forceOverwrite = false);
 
        void addFixings(const TimeSeries<Real>& t, bool forceOverwrite = false);
 
        template <class DateIterator, class ValueIterator>
        void addFixings(DateIterator dBegin,
                        DateIterator dEnd,
                        ValueIterator vBegin,
                        bool forceOverwrite = false) {
            checkNativeFixingsAllowed();
            std::string tag = name();
            TimeSeries<Real> h = IndexManager::instance().getHistory(tag);
            bool noInvalidFixing = true, noDuplicatedFixing = true;
            Date invalidDate, duplicatedDate;
            Real nullValue = Null<Real>();
            Real invalidValue = Null<Real>();
            Real duplicatedValue = Null<Real>();
            while (dBegin != dEnd) {
                bool validFixing = isValidFixingDate(*dBegin);
                Real currentValue = h[*dBegin];
                bool missingFixing = forceOverwrite || currentValue == nullValue;
                if (validFixing) {
                    if (missingFixing)
                        h[*(dBegin++)] = *(vBegin++);
                    else if (close(currentValue, *(vBegin))) {
                        ++dBegin;
                        ++vBegin;
                    } else {
                        noDuplicatedFixing = false;
                        duplicatedDate = *(dBegin++);
                        duplicatedValue = *(vBegin++);
                    }
                } else {
                    noInvalidFixing = false;
                    invalidDate = *(dBegin++);
                    invalidValue = *(vBegin++);
                }
            }
            IndexManager::instance().setHistory(tag, h);
            QL_REQUIRE(noInvalidFixing, "At least one invalid fixing provided: "
                                            << invalidDate.weekday() << " " << invalidDate << ", "
                                            << invalidValue);
            QL_REQUIRE(noDuplicatedFixing, "At least one duplicated fixing provided: "
                                               << duplicatedDate << ", " << duplicatedValue
                                               << " while " << h[duplicatedDate]
                                               << " value is already present");
        }
        void clearFixings();
 
      private:
        void checkNativeFixingsAllowed();
    };
 
    inline bool Index::hasHistoricalFixing(const Date& fixingDate) const {
        return IndexManager::instance().hasHistoricalFixing(name(), fixingDate);
    }
 
}
 
#endif