/src/quantlib/ql/settings.hpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2007, 2011 Ferdinando Ametrano |
5 | | Copyright (C) 2007 François du Vignaud |
6 | | Copyright (C) 2004, 2005, 2007, 2009 StatPro Italia srl |
7 | | |
8 | | This file is part of QuantLib, a free-software/open-source library |
9 | | for financial quantitative analysts and developers - http://quantlib.org/ |
10 | | |
11 | | QuantLib is free software: you can redistribute it and/or modify it |
12 | | under the terms of the QuantLib license. You should have received a |
13 | | copy of the license along with this program; if not, please email |
14 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
15 | | <http://quantlib.org/license.shtml>. |
16 | | |
17 | | This program is distributed in the hope that it will be useful, but WITHOUT |
18 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
19 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
20 | | */ |
21 | | |
22 | | /*! \file settings.hpp |
23 | | \brief global repository for run-time library settings |
24 | | */ |
25 | | |
26 | | #ifndef quantlib_settings_hpp |
27 | | #define quantlib_settings_hpp |
28 | | |
29 | | #include <ql/patterns/singleton.hpp> |
30 | | #include <ql/time/date.hpp> |
31 | | #include <ql/utilities/observablevalue.hpp> |
32 | | #include <ql/optional.hpp> |
33 | | |
34 | | namespace QuantLib { |
35 | | |
36 | | //! global repository for run-time library settings |
37 | | class Settings : public Singleton<Settings> { |
38 | | friend class Singleton<Settings>; |
39 | | private: |
40 | | Settings(); |
41 | | class DateProxy : public ObservableValue<Date> { |
42 | | public: |
43 | | DateProxy(); |
44 | | DateProxy& operator=(const Date&); |
45 | | operator Date() const; |
46 | | }; |
47 | | friend std::ostream& operator<<(std::ostream&, const DateProxy&); |
48 | | public: |
49 | | //! the date at which pricing is to be performed. |
50 | | /*! Client code can inspect the evaluation date, as in: |
51 | | \code |
52 | | Date d = Settings::instance().evaluationDate(); |
53 | | \endcode |
54 | | where today's date is returned if the evaluation date is |
55 | | set to the null date (its default value;) can set it to a |
56 | | new value, as in: |
57 | | \code |
58 | | Settings::instance().evaluationDate() = d; |
59 | | \endcode |
60 | | and can register with it, as in: |
61 | | \code |
62 | | registerWith(Settings::instance().evaluationDate()); |
63 | | \endcode |
64 | | to be notified when it is set to a new value. |
65 | | \warning a notification is not sent when the evaluation |
66 | | date changes for natural causes---i.e., a date |
67 | | was not explicitly set (which results in today's |
68 | | date being used for pricing) and the current date |
69 | | changes as the clock strikes midnight. |
70 | | */ |
71 | | DateProxy& evaluationDate(); |
72 | | const DateProxy& evaluationDate() const; |
73 | | |
74 | | /*! Call this to prevent the evaluation date to change at |
75 | | midnight (and, incidentally, to gain quite a bit of |
76 | | performance.) If no evaluation date was previously set, |
77 | | it is equivalent to setting the evaluation date to |
78 | | Date::todaysDate(); if an evaluation date other than |
79 | | Date() was already set, it has no effect. |
80 | | */ |
81 | | void anchorEvaluationDate(); |
82 | | /*! Call this to reset the evaluation date to |
83 | | Date::todaysDate() and allow it to change at midnight. It |
84 | | is equivalent to setting the evaluation date to Date(). |
85 | | This comes at the price of losing some performance, since |
86 | | the evaluation date is re-evaluated each time it is read. |
87 | | */ |
88 | | void resetEvaluationDate(); |
89 | | |
90 | | /*! This flag specifies whether or not Events occurring on the reference |
91 | | date should, by default, be taken into account as not happened yet. |
92 | | It can be overridden locally when calling the Event::hasOccurred |
93 | | method. |
94 | | */ |
95 | | bool& includeReferenceDateEvents(); |
96 | | bool includeReferenceDateEvents() const; |
97 | | |
98 | | /*! If set, this flag specifies whether or not CashFlows |
99 | | occurring on today's date should enter the NPV. When the |
100 | | NPV date (i.e., the date at which the cash flows are |
101 | | discounted) equals today's date, this flag overrides the |
102 | | behavior chosen for includeReferenceDate. It cannot be overridden |
103 | | locally when calling the CashFlow::hasOccurred method. |
104 | | */ |
105 | | ext::optional<bool>& includeTodaysCashFlows(); |
106 | | ext::optional<bool> includeTodaysCashFlows() const; |
107 | | |
108 | | bool& enforcesTodaysHistoricFixings(); |
109 | | bool enforcesTodaysHistoricFixings() const; |
110 | | |
111 | | private: |
112 | | DateProxy evaluationDate_; |
113 | | bool includeReferenceDateEvents_ = false; |
114 | | ext::optional<bool> includeTodaysCashFlows_; |
115 | | bool enforcesTodaysHistoricFixings_ = false; |
116 | | }; |
117 | | |
118 | | |
119 | | // helper class to temporarily and safely change the settings |
120 | | class SavedSettings { // NOLINT(cppcoreguidelines-special-member-functions) |
121 | | public: |
122 | | SavedSettings(); |
123 | | ~SavedSettings(); |
124 | | private: |
125 | | Date evaluationDate_; |
126 | | bool includeReferenceDateEvents_; |
127 | | ext::optional<bool> includeTodaysCashFlows_; |
128 | | bool enforcesTodaysHistoricFixings_; |
129 | | }; |
130 | | |
131 | | |
132 | | // inline |
133 | | |
134 | 521k | inline Settings::DateProxy::operator Date() const { |
135 | 521k | if (value() == Date()) |
136 | 521k | return Date::todaysDate(); |
137 | 0 | else |
138 | 0 | return value(); |
139 | 521k | } |
140 | | |
141 | 0 | inline Settings::DateProxy& Settings::DateProxy::operator=(const Date& d) { |
142 | 0 | if (value() != d) // avoid notifications if the date doesn't actually change |
143 | 0 | ObservableValue<Date>::operator=(d); |
144 | 0 | return *this; |
145 | 0 | } |
146 | | |
147 | 1.20M | inline Settings::DateProxy& Settings::evaluationDate() { |
148 | 1.20M | return evaluationDate_; |
149 | 1.20M | } |
150 | | |
151 | 0 | inline const Settings::DateProxy& Settings::evaluationDate() const { |
152 | 0 | return evaluationDate_; |
153 | 0 | } |
154 | | |
155 | 521k | inline bool& Settings::includeReferenceDateEvents() { |
156 | 521k | return includeReferenceDateEvents_; |
157 | 521k | } |
158 | | |
159 | 0 | inline bool Settings::includeReferenceDateEvents() const { |
160 | 0 | return includeReferenceDateEvents_; |
161 | 0 | } |
162 | | |
163 | 2.70k | inline ext::optional<bool>& Settings::includeTodaysCashFlows() { |
164 | 2.70k | return includeTodaysCashFlows_; |
165 | 2.70k | } |
166 | | |
167 | 0 | inline ext::optional<bool> Settings::includeTodaysCashFlows() const { |
168 | 0 | return includeTodaysCashFlows_; |
169 | 0 | } |
170 | | |
171 | 2.70k | inline bool& Settings::enforcesTodaysHistoricFixings() { |
172 | 2.70k | return enforcesTodaysHistoricFixings_; |
173 | 2.70k | } |
174 | | |
175 | 0 | inline bool Settings::enforcesTodaysHistoricFixings() const { |
176 | 0 | return enforcesTodaysHistoricFixings_; |
177 | 0 | } |
178 | | |
179 | | } |
180 | | |
181 | | #endif |