derivedquote.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2006 François du Vignaud
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap 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.
*/
 
/*! \file derivedquote.hpp
    \brief market quote whose value depends on another quote
*/
 
#ifndef quantlib_derived_quote_hpp
#define quantlib_derived_quote_hpp
 
#include <ql/handle.hpp>
#include <ql/quote.hpp>
#include <utility>
 
namespace QuantLib {
 
    //! market quote whose value depends on another quote
    /*! \test the correctness of the returned values is tested by
              checking them against numerical calculations.
    */
    template <class UnaryFunction>
    class DerivedQuote : public Quote, public Observer {
      public:
        DerivedQuote(Handle<Quote> element, const UnaryFunction& f);
        //! \name Quote interface
        //@{
        Real value() const override;
        bool isValid() const override;
        //@}
        //! \name Observer interface
        //@{
        void update() override;
        //@}
      private:
        Handle<Quote> element_;
        UnaryFunction f_;
    };
 
    //! creator method
    template <class UnaryFunction>
    DerivedQuote<UnaryFunction> makeDerivedQuote(const Handle<Quote>& element,
                                                 const UnaryFunction& f) {
        return DerivedQuote<UnaryFunction>(element, f);
    }
 
    // inline definitions
    template <class UnaryFunction>
    inline DerivedQuote<UnaryFunction>::DerivedQuote(Handle<Quote> element, const UnaryFunction& f)
    : element_(std::move(element)), f_(f) {
        registerWith(element_);
    }
 
    template <class UnaryFunction>
    inline Real DerivedQuote<UnaryFunction>::value() const {
        QL_ENSURE(isValid(), "invalid DerivedQuote");
        return f_(element_->value());
    }
 
    template <class UnaryFunction>
    inline bool DerivedQuote<UnaryFunction>::isValid() const {
        return !element_.empty() && element_->isValid();
    }
 
    template <class UnaryFunction>
    inline void DerivedQuote<UnaryFunction>::update() {
        notifyObservers();
    }
 
}
 
#endif