-
Notifications
You must be signed in to change notification settings - Fork 1.7k
/
prices.hpp
114 lines (94 loc) · 3.96 KB
/
prices.hpp
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
/* -*- 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.
*/
/*! \file prices.hpp
\brief price classes
*/
#ifndef quantlib_prices_hpp
#define quantlib_prices_hpp
#include <ql/timeseries.hpp>
#include <ql/utilities/null.hpp>
namespace QuantLib {
//! Price types
enum PriceType {
Bid, /*!< Bid price. */
Ask, /*!< Ask price. */
Last, /*!< Last price. */
Close, /*!< Close price. */
Mid, /*!< Mid price, calculated as the arithmetic
average of bid and ask prices. */
MidEquivalent, /*!< Mid equivalent price, calculated as
a) the arithmetic average of bid and ask prices
when both are available; b) either the bid or the
ask price if any of them is available;
c) the last price; or d) the close price. */
MidSafe /*!< Safe Mid price, returns the mid price only if
both bid and ask are available. */
};
/*! return the MidEquivalent price, i.e. the mid if available,
or a suitable substitute if the proper mid is not available
*/
Real midEquivalent(Real bid, Real ask, Real last, Real close);
/*! return the MidSafe price, i.e. the mid only if
both bid and ask prices are available
*/
Real midSafe(Real bid, Real ask);
//! interval price
class IntervalPrice {
public:
enum Type { Open, Close, High, Low };
IntervalPrice();
IntervalPrice(Real open, Real close, Real high, Real low);
//! \name Inspectors
//@{
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;
//@}
//! \name Modifiers
//@{
void setValue(Real value, IntervalPrice::Type);
void setValues(Real open, Real close, Real high, Real low);
//@}
//! \name Helper functions
//@{
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_;
};
template <>
class Null<IntervalPrice>
{
public:
Null() = default;
operator IntervalPrice() const { return {}; }
};
}
#endif