10097394869

Committed 25 Jul 2024 03:42PM UTC coverage: 72.623% (-0.001%) from 72.624%

Build # 10097394869

Build Type

push

github

Committed by

lballabio

Commit Message

Automated fixes by clang-tidy

Run Details

19 of 27 new or added lines in 18 files covered. (70.37%)

1 existing line in 1 file now uncovered.

55035 of 75782 relevant lines covered (72.62%)

8648991.77 hits per line

Source File
Press 'n' to go to next uncovered line, 'b' for previous

0.0

/ql/experimental/commodities/commoditycurve.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2008 J. Erik Radmall

 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.
*/

#include <ql/experimental/commodities/commoditycurve.hpp>
#include <ql/experimental/commodities/commoditypricinghelpers.hpp>
#include <utility>

namespace QuantLib {

    CommodityCurve::CommodityCurve(std::string name,
                                   CommodityType commodityType,
                                   Currency currency,
                                   UnitOfMeasure unitOfMeasure,
                                   const Calendar& calendar,
                                   const std::vector<Date>& dates,
                                   std::vector<Real> prices,
                                   const DayCounter& dayCounter)
    : TermStructure(dates[0], calendar, dayCounter), name_(std::move(name)),
      commodityType_(std::move(commodityType)), unitOfMeasure_(std::move(unitOfMeasure)),
      currency_(std::move(currency)), dates_(dates), data_(std::move(prices)),
      interpolator_(ForwardFlat()), basisOfCurveUomConversionFactor_(1) {

        QL_REQUIRE(dates_.size()>1, "too few dates");
        QL_REQUIRE(data_.size()==dates_.size(), "dates/prices count mismatch");

        times_.resize(dates_.size());
        times_[0]=0.0;
        for (Size i = 1; i < dates_.size(); i++) {
            QL_REQUIRE(dates_[i] > dates_[i-1],
                       "invalid date (" << dates_[i] << ", vs "
                       << dates_[i-1] << ")");
            times_[i] = dayCounter.yearFraction(dates_[0], dates_[i]);
        }

        interpolation_ =
            interpolator_.interpolate(times_.begin(), times_.end(),
                                      data_.begin());
        interpolation_.update();
    }

    CommodityCurve::CommodityCurve(std::string name,
                                   CommodityType commodityType,
                                   Currency currency,
                                   UnitOfMeasure unitOfMeasure,
                                   const Calendar& calendar,
                                   const DayCounter& dayCounter)
    : TermStructure(0, calendar, dayCounter), name_(std::move(name)),
      commodityType_(std::move(commodityType)), unitOfMeasure_(std::move(unitOfMeasure)),
      currency_(std::move(currency)), interpolator_(ForwardFlat()),
      basisOfCurveUomConversionFactor_(1) {}

    void CommodityCurve::setPrices(std::map<Date, Real>& prices) {
        QL_REQUIRE(prices.size()>1, "too few prices");

        dates_.clear();
        data_.clear();
        for (auto i = prices.begin(); i != prices.end(); ++i) {
            dates_.push_back(i->first);
            data_.push_back(i->second);
        }

        times_.resize(dates_.size());
        times_[0]=0.0;
        for (Size i = 1; i < dates_.size(); i++)
            times_[i] = dayCounter().yearFraction(dates_[0], dates_[i]);

        interpolation_ =
            interpolator_.interpolate(times_.begin(), times_.end(),
                                      data_.begin());
        interpolation_.update();
    }

    void CommodityCurve::setBasisOfCurve(
                      const ext::shared_ptr<CommodityCurve>& basisOfCurve) {
        basisOfCurve_ = basisOfCurve;
        basisOfCurveUomConversionFactor_ =
            CommodityPricingHelper::calculateUomConversionFactor(
                                                commodityType_,
                                                basisOfCurve_->unitOfMeasure_,
                                                unitOfMeasure_);
    }

    std::ostream& operator<<(std::ostream& out, const CommodityCurve& curve) {
        out << "[" << curve.name_ << "] (" << curve.currency_.code()
            << "/" << curve.unitOfMeasure_.code() << ")";
        if (curve.basisOfCurve_ != nullptr)
            out << "; basis to (" << (*curve.basisOfCurve_) << ")";
        return out;
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2008 J. Erik Radmall
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
20	#include <ql/experimental/commodities/commoditycurve.hpp>
21	#include <ql/experimental/commodities/commoditypricinghelpers.hpp>
22	#include <utility>
23
24	namespace QuantLib {
25
26	CommodityCurve::CommodityCurve(std::string name,	×
27	CommodityType commodityType,
28	Currency currency,
29	UnitOfMeasure unitOfMeasure,
30	const Calendar& calendar,
31	const std::vector<Date>& dates,
32	std::vector<Real> prices,
33	const DayCounter& dayCounter)	×
34	: TermStructure(dates[0], calendar, dayCounter), name_(std::move(name)),	×
35	commodityType_(std::move(commodityType)), unitOfMeasure_(std::move(unitOfMeasure)),
36	currency_(std::move(currency)), dates_(dates), data_(std::move(prices)),	×
37	interpolator_(ForwardFlat()), basisOfCurveUomConversionFactor_(1) {	×
38
39	QL_REQUIRE(dates_.size()>1, "too few dates");	×
40	QL_REQUIRE(data_.size()==dates_.size(), "dates/prices count mismatch");	×
41
42	times_.resize(dates_.size());	×
43	times_[0]=0.0;	×
44	for (Size i = 1; i < dates_.size(); i++) {	×
45	QL_REQUIRE(dates_[i] > dates_[i-1],	×
46	"invalid date (" << dates_[i] << ", vs "
47	<< dates_[i-1] << ")");
48	times_[i] = dayCounter.yearFraction(dates_[0], dates_[i]);	×
49	}
50
51	interpolation_ =
52	interpolator_.interpolate(times_.begin(), times_.end(),	×
53	data_.begin());	×
54	interpolation_.update();	×
55	}	×
56
57	CommodityCurve::CommodityCurve(std::string name,	×
58	CommodityType commodityType,
59	Currency currency,
60	UnitOfMeasure unitOfMeasure,
61	const Calendar& calendar,
62	const DayCounter& dayCounter)	×
63	: TermStructure(0, calendar, dayCounter), name_(std::move(name)),
64	commodityType_(std::move(commodityType)), unitOfMeasure_(std::move(unitOfMeasure)),
65	currency_(std::move(currency)), interpolator_(ForwardFlat()),
66	basisOfCurveUomConversionFactor_(1) {}	×
67
68	void CommodityCurve::setPrices(std::map<Date, Real>& prices) {	×
69	QL_REQUIRE(prices.size()>1, "too few prices");	×
70
71	dates_.clear();	×
72	data_.clear();	×
NEW 73	for (auto i = prices.begin(); i != prices.end(); ++i) {	×
74	dates_.push_back(i->first);	×
75	data_.push_back(i->second);	×
76	}
77
78	times_.resize(dates_.size());	×
79	times_[0]=0.0;	×
80	for (Size i = 1; i < dates_.size(); i++)	×
81	times_[i] = dayCounter().yearFraction(dates_[0], dates_[i]);	×
82
83	interpolation_ =
84	interpolator_.interpolate(times_.begin(), times_.end(),	×
85	data_.begin());	×
86	interpolation_.update();	×
87	}	×
88
89	void CommodityCurve::setBasisOfCurve(	×
90	const ext::shared_ptr<CommodityCurve>& basisOfCurve) {
91	basisOfCurve_ = basisOfCurve;	×
92	basisOfCurveUomConversionFactor_ =	×
93	CommodityPricingHelper::calculateUomConversionFactor(	×
94	commodityType_,	×
95	basisOfCurve_->unitOfMeasure_,	×
96	unitOfMeasure_);	×
97	}	×
98
99	std::ostream& operator<<(std::ostream& out, const CommodityCurve& curve) {	×
100	out << "[" << curve.name_ << "] (" << curve.currency_.code()	×
101	<< "/" << curve.unitOfMeasure_.code() << ")";	×
102	if (curve.basisOfCurve_ != nullptr)	×
103	out << "; basis to (" << (*curve.basisOfCurve_) << ")";	×
104	return out;	×
105	}
106
107	}

lballabio / QuantLib / 10097394869

Source File Press 'n' to go to next uncovered line, 'b' for previous

Source File
Press 'n' to go to next uncovered line, 'b' for previous