TimeSeries< T, Container > Class Template Reference

Container for historical data. More...

#include <ql/timeseries.hpp>

Inheritance diagram for TimeSeries< T, Container >:

Collaboration diagram for TimeSeries< T, Container >:

Classes
struct	reverse
struct	reverse< container, std::bidirectional_iterator_tag >

Public Types
typedef Date	key_type
typedef T	value_type

Public Member Functions
	TimeSeries ()=default
template<class DateIterator , class ValueIterator >
	TimeSeries (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin)
template<class ValueIterator >
	TimeSeries (const Date &firstDate, ValueIterator begin, ValueIterator end)
Inspectors
Date	firstDate () const
	returns the first date for which a historical datum exists More...
Date	lastDate () const
	returns the last date for which a historical datum exists More...
Size	size () const
	returns the number of historical data including null ones More...
bool	empty () const
	returns whether the series contains any data More...
Historical data access
T	operator[] (const Date &d) const
	returns the (possibly null) datum corresponding to the given date More...
T &	operator[] (const Date &d)

Private Attributes
Container	values_

Iterators
typedef Container::const_iterator	const_iterator
typedef const_iterator::iterator_category	iterator_category
typedef std::conditional_t< std::is_same< iterator_category, std::bidirectional_iterator_tag >::value||std::is_base_of< std::bidirectional_iterator_tag, iterator_category >::value, std::bidirectional_iterator_tag, std::input_iterator_tag >	enable_reverse
typedef reverse< Container, enable_reverse >::const_reverse_iterator	const_reverse_iterator
typedef Container::value_type	container_value_type
typedef ext::function< Date(const container_value_type &)>	projection_time
typedef ext::function< T(const container_value_type &)>	projection_value
const_iterator	cbegin () const
const_iterator	cend () const
const_iterator	begin () const
const_iterator	end () const
const_reverse_iterator	crbegin () const
const_reverse_iterator	crend () const
const_reverse_iterator	rbegin () const
const_reverse_iterator	rend () const

Projection iterators
typedef boost::transform_iterator< projection_time, const_iterator >	const_time_iterator
typedef boost::transform_iterator< projection_value, const_iterator >	const_value_iterator
typedef boost::transform_iterator< projection_time, const_reverse_iterator >	const_reverse_time_iterator
typedef boost::transform_iterator< projection_value, const_reverse_iterator >	const_reverse_value_iterator
QL_DEPRECATED_DISABLE_WARNING const_value_iterator	cbegin_values () const
const_value_iterator	cend_values () const
const_reverse_value_iterator	crbegin_values () const
const_reverse_value_iterator	crend_values () const
const_time_iterator	cbegin_time () const
const_time_iterator	cend_time () const
const_reverse_time_iterator	crbegin_time () const
const_reverse_time_iterator	crend_time () const

Utilities
const_iterator	find (const Date &)
std::vector< Date >	dates () const
	returns the dates for which historical data exist More...
std::vector< T >	values () const
	returns the historical data More...
static const Date &	get_time (const container_value_type &v)
static const T &	get_value (const container_value_type &v)

Detailed Description

template<class T, class Container = std::map<Date, T>>
class QuantLib::TimeSeries< T, Container >

Container for historical data.

This class acts as a generic repository for a set of historical data. Any single datum can be accessed through its date, while sets of consecutive data can be accessed through iterators.

Precondition

The Container type must satisfy the requirements set by the C++ standard for associative containers.

Definition at line 51 of file timeseries.hpp.

Member Typedef Documentation

key_type

typedef Date key_type

Definition at line 53 of file timeseries.hpp.

value_type

typedef T value_type

Definition at line 54 of file timeseries.hpp.

const_iterator

typedef Container::const_iterator const_iterator

Definition at line 110 of file timeseries.hpp.

iterator_category

typedef const_iterator::iterator_category iterator_category

Definition at line 111 of file timeseries.hpp.

enable_reverse

typedef std::conditional_t< std::is_same<iterator_category, std::bidirectional_iterator_tag>::value || std::is_base_of<std::bidirectional_iterator_tag, iterator_category>::value, std::bidirectional_iterator_tag, std::input_iterator_tag> enable_reverse

Definition at line 150 of file timeseries.hpp.

const_reverse_iterator

typedef reverse<Container,enable_reverse>::const_reverse_iterator const_reverse_iterator

Definition at line 154 of file timeseries.hpp.

container_value_type

typedef Container::value_type container_value_type

private

Definition at line 171 of file timeseries.hpp.

projection_time

typedef ext::function<Date(const container_value_type&)> projection_time

private

Definition at line 173 of file timeseries.hpp.

projection_value

typedef ext::function<T(const container_value_type&)> projection_value

private

Definition at line 175 of file timeseries.hpp.

const_time_iterator

typedef boost::transform_iterator<projection_time, const_iterator> const_time_iterator

Deprecated:

Use const_iterator instead and access the first data member. Deprecated in version 1.31.

Definition at line 185 of file timeseries.hpp.

const_value_iterator

typedef boost::transform_iterator<projection_value, const_iterator> const_value_iterator

Deprecated:

Use const_iterator instead and access the second data member. Deprecated in version 1.31.

Definition at line 191 of file timeseries.hpp.

const_reverse_time_iterator

typedef boost::transform_iterator<projection_time, const_reverse_iterator> const_reverse_time_iterator

Deprecated:

Use const_reverse_iterator instead and access the first data member. Deprecated in version 1.31.

Definition at line 197 of file timeseries.hpp.

const_reverse_value_iterator

typedef boost::transform_iterator<projection_value, const_reverse_iterator> const_reverse_value_iterator

Deprecated:

Use const_reverse_iterator instead and access the second data member. Deprecated in version 1.31.

Definition at line 203 of file timeseries.hpp.

Constructor & Destructor Documentation

TimeSeries() [1/3]

TimeSeries ( )

default

Default constructor

TimeSeries() [2/3]

TimeSeries	(	DateIterator	dBegin,
		DateIterator	dEnd,
		ValueIterator	vBegin
	)

This constructor initializes the history with a set of values passed as two sequences, the first containing dates and the second containing corresponding values.

Definition at line 65 of file timeseries.hpp.

TimeSeries() [3/3]

TimeSeries	(	const Date &	firstDate,
		ValueIterator	begin,
		ValueIterator	end
	)

This constructor initializes the history with a set of values. Such values are assigned to a corresponding number of consecutive dates starting from firstDate included.

Definition at line 76 of file timeseries.hpp.

Here is the call graph for this function:

Member Function Documentation

firstDate()

Date firstDate

returns the first date for which a historical datum exists

Definition at line 295 of file timeseries.hpp.

Here is the caller graph for this function:

lastDate()

Date lastDate

returns the last date for which a historical datum exists

Definition at line 301 of file timeseries.hpp.

Here is the caller graph for this function:

size()

Size size

returns the number of historical data including null ones

Definition at line 307 of file timeseries.hpp.

Here is the caller graph for this function:

empty()

bool empty

returns whether the series contains any data

Definition at line 312 of file timeseries.hpp.

Here is the caller graph for this function:

operator[]() [1/2]

T operator[]

(

const Date &

d

)

const

returns the (possibly null) datum corresponding to the given date

Definition at line 96 of file timeseries.hpp.

operator[]() [2/2]

T & operator[]

(

const Date &

d

)

Definition at line 102 of file timeseries.hpp.

cbegin()

TimeSeries< T, C >::const_iterator cbegin

Definition at line 318 of file timeseries.hpp.

Here is the caller graph for this function:

cend()

TimeSeries< T, C >::const_iterator cend

Definition at line 324 of file timeseries.hpp.

Here is the caller graph for this function:

begin()

const_iterator begin

(

)

const

Definition at line 158 of file timeseries.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

end()

const_iterator end

(

)

const

Definition at line 159 of file timeseries.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

crbegin()

const_reverse_iterator crbegin

(

)

const

Definition at line 160 of file timeseries.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

crend()

const_reverse_iterator crend

(

)

const

Definition at line 163 of file timeseries.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

rbegin()

const_reverse_iterator rbegin

(

)

const

Definition at line 166 of file timeseries.hpp.

Here is the call graph for this function:

rend()

const_reverse_iterator rend

(

)

const

Definition at line 167 of file timeseries.hpp.

Here is the call graph for this function:

cbegin_values()

QL_DEPRECATED_DISABLE_WARNING const_value_iterator cbegin_values

(

)

const

Deprecated:

Use cbegin instead and access the second data member. Deprecated in version 1.31.

Definition at line 211 of file timeseries.hpp.

Here is the call graph for this function:

cend_values()

const_value_iterator cend_values

(

)

const

Deprecated:

Use cend instead and access the second data member. Deprecated in version 1.31.

Definition at line 219 of file timeseries.hpp.

Here is the call graph for this function:

crbegin_values()

const_reverse_value_iterator crbegin_values

(

)

const

Deprecated:

Use crbegin instead and access the second data member. Deprecated in version 1.31.

Definition at line 227 of file timeseries.hpp.

Here is the call graph for this function:

crend_values()

const_reverse_value_iterator crend_values

(

)

const

Deprecated:

Use crend instead and access the second data member. Deprecated in version 1.31.

Definition at line 235 of file timeseries.hpp.

Here is the call graph for this function:

cbegin_time()

const_time_iterator cbegin_time

(

)

const

Deprecated:

Use cbegin instead and access the first data member. Deprecated in version 1.31.

Definition at line 243 of file timeseries.hpp.

Here is the call graph for this function:

cend_time()

const_time_iterator cend_time

(

)

const

Deprecated:

Use cend instead and access the first data member. Deprecated in version 1.31.

Definition at line 251 of file timeseries.hpp.

Here is the call graph for this function:

crbegin_time()

const_reverse_time_iterator crbegin_time

(

)

const

Deprecated:

Use crbegin instead and access the first data member. Deprecated in version 1.31.

Definition at line 259 of file timeseries.hpp.

Here is the call graph for this function:

crend_time()

const_reverse_time_iterator crend_time

(

)

const

Deprecated:

Use crend instead and access the first data member. Deprecated in version 1.31.

Definition at line 267 of file timeseries.hpp.

Here is the call graph for this function:

find()

TimeSeries< T, C >::const_iterator find

(

const Date &

d

)

Definition at line 330 of file timeseries.hpp.

Here is the caller graph for this function:

dates()

std::vector< Date > dates

returns the dates for which historical data exist

Definition at line 340 of file timeseries.hpp.

Here is the caller graph for this function:

values()

std::vector< T > values

returns the historical data

Definition at line 349 of file timeseries.hpp.

Here is the caller graph for this function:

get_time()

static const Date & get_time ( const container_value_type &  v )

staticprivate

Definition at line 283 of file timeseries.hpp.

Here is the caller graph for this function:

get_value()

static const T & get_value ( const container_value_type &  v )

staticprivate

Definition at line 286 of file timeseries.hpp.

Here is the caller graph for this function:

Member Data Documentation

values_

Container values_

mutableprivate

Definition at line 56 of file timeseries.hpp.