prices.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 Copyright (C) 2006 Katiuscia Manzoni
 Copyright (C) 2006 Joseph Wang
 
 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_prices_hpp
#define quantlib_prices_hpp
 
#include <ql/timeseries.hpp>
#include <ql/utilities/null.hpp>
 
namespace QuantLib {
 
    enum PriceType {
         Bid,          
         Ask,          
         Last,         
         Close,        
         Mid,          
         MidEquivalent, 
         MidSafe       
    };
 
    Real midEquivalent(Real bid, Real ask, Real last, Real close);
 
    Real midSafe(Real bid, Real ask);
 
    class IntervalPrice {
      public:
        enum Type { Open, Close, High, Low };
 
        IntervalPrice();
        IntervalPrice(Real open, Real close, Real high, Real low);
 
 
        Real open() const { return open_; }
        Real close() const { return close_; }
        Real high() const { return high_; }
        Real low() const { return low_; }
        Real value(IntervalPrice::Type) const;
 
 
        void setValue(Real value, IntervalPrice::Type);
        void setValues(Real open, Real close, Real high, Real low);
 
 
        static TimeSeries<IntervalPrice> makeSeries(
                                               const std::vector<Date>& d,
                                               const std::vector<Real>& open,
                                               const std::vector<Real>& close,
                                               const std::vector<Real>& high,
                                               const std::vector<Real>& low);
        static std::vector<Real> extractValues(
                                          const TimeSeries<IntervalPrice>&,
                                          IntervalPrice::Type);
        static TimeSeries<Real> extractComponent(
                                          const TimeSeries<IntervalPrice>&,
                                          enum IntervalPrice::Type);
      private:
        Real open_, close_, high_, low_;
    };
 
    #ifdef QL_NULL_AS_FUNCTIONS
 
    template <>
    inline IntervalPrice Null<IntervalPrice>() {
        return {};
    };
 
    #else
 
    template <>
    class Null<IntervalPrice>
    {
      public:
        Null() = default;
        operator IntervalPrice() const { return {}; }
    };
 
    #endif
 
}
 
#endif