notification pass through utility (#1761)

QuantLib.vcxproj

@@ -947,6 +947,7 @@
     <ClInclude Include="ql\instruments\quantobarrieroption.hpp" />
     <ClInclude Include="ql\instruments\quantoforwardvanillaoption.hpp" />
     <ClInclude Include="ql\instruments\quantovanillaoption.hpp" />
+    <ClInclude Include="ql\instruments\simplifynotificationgraph.hpp" />
     <ClInclude Include="ql\instruments\stickyratchet.hpp" />
     <ClInclude Include="ql\instruments\stock.hpp" />
     <ClInclude Include="ql\instruments\swap.hpp" />
@@ -2205,6 +2206,7 @@
     <ClCompile Include="ql\instruments\quantobarrieroption.cpp" />
     <ClCompile Include="ql\instruments\quantoforwardvanillaoption.cpp" />
     <ClCompile Include="ql\instruments\quantovanillaoption.cpp" />
+    <ClCompile Include="ql\instruments\simplifynotificationgraph.cpp" />
     <ClCompile Include="ql\instruments\stickyratchet.cpp" />
     <ClCompile Include="ql\instruments\stock.cpp" />
     <ClCompile Include="ql\instruments\swap.cpp" />

QuantLib.vcxproj.filters

@@ -882,6 +882,9 @@
     <ClInclude Include="ql\instruments\quantovanillaoption.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\simplifynotificationgraph.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\stickyratchet.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -4733,6 +4736,9 @@
     <ClCompile Include="ql\instruments\quantovanillaoption.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\simplifynotificationgraph.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\stickyratchet.cpp">
       <Filter>instruments</Filter>
     </ClCompile>

ql/CMakeLists.txt

@@ -318,6 +318,7 @@ set(QL_SOURCES
     instruments/quantobarrieroption.cpp
     instruments/quantoforwardvanillaoption.cpp
     instruments/quantovanillaoption.cpp
+    instruments/simplifynotificationgraph.cpp
     instruments/stickyratchet.cpp
     instruments/stock.cpp
     instruments/swap.cpp
@@ -1361,6 +1362,7 @@ set(QL_HEADERS
     instruments/quantobarrieroption.hpp
     instruments/quantoforwardvanillaoption.hpp
     instruments/quantovanillaoption.hpp
+    instruments/simplifynotificationgraph.hpp
     instruments/stickyratchet.hpp
     instruments/stock.hpp
     instruments/swap.hpp

ql/instruments/Makefile.am

@@ -57,6 +57,7 @@ this_include_HEADERS = \
     quantobarrieroption.hpp \
     quantoforwardvanillaoption.hpp \
     quantovanillaoption.hpp \
+    simplifynotificationgraph.hpp \
     stickyratchet.hpp \
     stock.hpp \
     swap.hpp \
@@ -119,6 +120,7 @@ cpp_files = \
     quantobarrieroption.cpp \
     quantoforwardvanillaoption.cpp \
     quantovanillaoption.cpp \
+    simplifynotificationgraph.cpp \
     stickyratchet.cpp \
     stock.cpp \
     swap.cpp \

ql/instruments/simplifynotificationgraph.cpp

@@ -0,0 +1,45 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2023 Peter Caspers
+
+ 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/instruments/simplifynotificationgraph.hpp>
+
+namespace QuantLib {
+
+
+    void simplifyNotificationGraph(Instrument& instrument, const Leg& leg, bool unregisterCoupons) {
+        for (auto const& coupon : leg) {
+            instrument.unregisterWith(coupon);
+            instrument.registerWithObservables(coupon);
+            if (unregisterCoupons) {
+                coupon->unregisterWithAll();
+            }
+        }
+    }
+
+    void simplifyNotificationGraph(Swap& swap, const bool unregisterCoupons) {
+        for (auto const& leg : swap.legs())
+            simplifyNotificationGraph(swap, leg, unregisterCoupons);
+    }
+
+    void simplifyNotificationGraph(Bond& bond, const bool unregisterCoupons) {
+        simplifyNotificationGraph(bond, bond.cashflows(), unregisterCoupons);
+    }
+
+
+}

ql/instruments/simplifynotificationgraph.hpp

@@ -0,0 +1,66 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2023 Peter Caspers
+
+ 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 simplifynotificationgraph.hpp
+    \brief utility functions to reduce number of notifications sent by observables
+*/
+
+#ifndef quantlib_simplify_notification_graph
+#define quantlib_simplify_notification_graph
+
+#include <ql/cashflow.hpp>
+#include <ql/instrument.hpp>
+#include <ql/instruments/bond.hpp>
+#include <ql/instruments/swap.hpp>
+
+
+namespace QuantLib {
+
+    //! Utility function to optimize the observability graph of an instrument
+    /*! This function unregisters the given instrument from the given cashflows and
+        instead registers with the observables of the cashflows. This is safe to do if
+
+        - the coupon pricers of the cashflows are set before the function is called and never
+          updated afterwards
+        - the cashflows are not themselves originating notifications, i.e. they only pass through
+          notifications from their observables (which is usually the case)
+        - the set of cashflows does not dynamically change (usually satisfied as well)
+
+        If unregisterCoupons is set to true, all given cashflows are in addition unregistered from
+        all their observables. This can be done
+
+        - if the coupons are not asked for results directly
+        - if deepUpdate() is called on the instrument before retrieving a result; to determine
+          whether the result might have changed, isCalculated() can be called on the instrument.
+
+       There are overloads of this function for specific instrument types like Swap, Bond.
+    */
+    void simplifyNotificationGraph(Instrument& instrument,
+                                   const Leg& leg,
+                                   const bool unregisterCoupons = false);
+
+    //! Utility function to opimize the observability graph of a swap
+    void simplifyNotificationGraph(Swap& swap, const bool unregisterCoupons = false);
+
+    //! Utility function to opimize the observability graph of a bond
+    void simplifyNotificationGraph(Bond& bond, const bool unregisterCoupons = false);
+
+}
+
+#endif

ql/instruments/swap.cpp

@@ -141,6 +141,8 @@ namespace QuantLib {
 
     Size Swap::numberOfLegs() const { return legs_.size(); }
 
+    const std::vector<Leg>& Swap::legs() const { return legs_; }
+
     Date Swap::startDate() const {
         QL_REQUIRE(!legs_.empty(), "no legs given");
         Date d = CashFlows::startDate(legs_[0]);

ql/instruments/swap.hpp

@@ -76,6 +76,7 @@ namespace QuantLib {
         //! \name Additional interface
         //@{
         Size numberOfLegs() const;
+        const std::vector<Leg>& legs() const;
         virtual Date startDate() const;
         virtual Date maturityDate() const;
         Real legBPS(Size j) const {

ql/patterns/lazyobject.hpp

@@ -40,6 +40,8 @@ namespace QuantLib {
         //@{
         void update() override;
         //@}
+        /*! Returns true if the instrument is calculated */
+        bool isCalculated() const;
         /*! \name Calculations
             These methods do not modify the structure of the object
             and are therefore declared as <tt>const</tt>. Data members
@@ -260,6 +262,10 @@ namespace QuantLib {
             }
         }
     }
+
+    inline bool LazyObject::isCalculated() const {
+        return calculated_;
+    }
 }
 
 #endif

ql/termstructures/yield/oisratehelper.cpp

@@ -19,6 +19,7 @@
 */
 
 #include <ql/instruments/makeois.hpp>
+#include <ql/instruments/simplifynotificationgraph.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/termstructures/yield/oisratehelper.hpp>
 #include <ql/utilities/null_deleter.hpp>
@@ -83,6 +84,8 @@ namespace QuantLib {
             swap_ = tmp;
         }
 
+        simplifyNotificationGraph(*swap_, true);
+
         earliestDate_ = swap_->startDate();
         maturityDate_ = swap_->maturityDate();
 

ql/termstructures/yield/ratehelpers.cpp

@@ -27,6 +27,7 @@
 #include <ql/currency.hpp>
 #include <ql/indexes/swapindex.hpp>
 #include <ql/instruments/makevanillaswap.hpp>
+#include <ql/instruments/simplifynotificationgraph.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/quote.hpp>
 #include <ql/termstructures/yield/ratehelpers.hpp>
@@ -833,6 +834,8 @@ namespace QuantLib {
             .withFloatingLegEndOfMonth(endOfMonth_)
             .withIndexedCoupons(useIndexedCoupons_);
 
+        simplifyNotificationGraph(*swap_, true);
+
         earliestDate_ = swap_->startDate();
         maturityDate_ = swap_->maturityDate();