QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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simplifynotificationgraph.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2023 Peter Caspers
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22namespace QuantLib {
23
24
25 void simplifyNotificationGraph(Instrument& instrument, const Leg& leg, bool unregisterCoupons) {
26 for (auto const& coupon : leg) {
27 instrument.unregisterWith(coupon);
28 instrument.registerWithObservables(coupon);
29 if (unregisterCoupons) {
30 coupon->unregisterWithAll();
31 }
32 }
33 }
34
35 void simplifyNotificationGraph(Swap& swap, const bool unregisterCoupons) {
36 for (auto const& leg : swap.legs())
37 simplifyNotificationGraph(swap, leg, unregisterCoupons);
38 }
39
40 void simplifyNotificationGraph(Bond& bond, const bool unregisterCoupons) {
41 simplifyNotificationGraph(bond, bond.cashflows(), unregisterCoupons);
42 }
43
44
45}
Base bond class.
Definition: bond.hpp:59
const Leg & cashflows() const
Definition: bond.hpp:344
Abstract instrument class.
Definition: instrument.hpp:44
Size unregisterWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:245
void registerWithObservables(const ext::shared_ptr< Observer > &)
Definition: observable.hpp:237
Interest rate swap.
Definition: swap.hpp:41
Definition: any.hpp:35
void swap(Array &v, Array &w) noexcept
Definition: array.hpp:903
void simplifyNotificationGraph(Instrument &instrument, const Leg &leg, bool unregisterCoupons)
Utility function to optimize the observability graph of an instrument.
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.
Definition: cashflow.hpp:78
utility functions to reduce number of notifications sent by observables