termstructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2004, 2005, 2006, 2007 StatPro Italia srl
 
 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_term_structure_hpp
#define quantlib_term_structure_hpp
 
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/settings.hpp>
#include <ql/handle.hpp>
#include <ql/math/interpolations/extrapolation.hpp>
#include <ql/utilities/null.hpp>
 
namespace QuantLib {
 
    class TermStructure : public virtual Observer,
                          public virtual Observable,
                          public Extrapolator {
      public:
 
        explicit TermStructure(DayCounter dc = DayCounter());
        explicit TermStructure(const Date& referenceDate,
                               Calendar calendar = Calendar(),
                               DayCounter dc = DayCounter());
        TermStructure(Natural settlementDays, Calendar, DayCounter dc = DayCounter());
        ~TermStructure() override = default;
 
 
        virtual DayCounter dayCounter() const;
        Time timeFromReference(const Date& date) const;
        virtual Date maxDate() const = 0;
        virtual Time maxTime() const;
        virtual const Date& referenceDate() const;
        virtual Calendar calendar() const;
        virtual Natural settlementDays() const;
 
        void update() override;
      protected:
        void checkRange(const Date& d,
                        bool extrapolate) const;
        void checkRange(Time t,
                        bool extrapolate) const;
        bool moving_ = false;
        mutable bool updated_ = true;
        Calendar calendar_;
      private:
        mutable Date referenceDate_;
        Natural settlementDays_;
        DayCounter dayCounter_;
    };
 
    // inline definitions
 
    inline DayCounter TermStructure::dayCounter() const {
        return dayCounter_;
    }
 
    inline Time TermStructure::maxTime() const {
        return timeFromReference(maxDate());
    }
 
    inline Calendar TermStructure::calendar() const {
        return calendar_;
    }
 
    inline Natural TermStructure::settlementDays() const {
        QL_REQUIRE(settlementDays_!=Null<Natural>(),
                   "settlement days not provided for this instance");
        return settlementDays_;
    }
 
    inline Time TermStructure::timeFromReference(const Date& d) const {
        return dayCounter().yearFraction(referenceDate(), d);
    }
 
}
 
#endif