Coverage Report

Created: 2026-06-08 06:47

next uncovered line (L), next uncovered region (R), next uncovered branch (B)
/src/quantlib/ql/instruments/perpetualfutures.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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 Copyright (C) 2025 Hiroto Ogawa
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 This file is part of QuantLib, a free-software/open-source library
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 for financial quantitative analysts and developers - http://quantlib.org/
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 QuantLib is free software: you can redistribute it and/or modify it
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 under the terms of the QuantLib license.  You should have received a
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 copy of the license along with this program; if not, please email
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 <https://www.quantlib.org/license.shtml>.
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 This program is distributed in the hope that it will be useful, but WITHOUT
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 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
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*/
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#include <ql/instruments/perpetualfutures.hpp>
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#include <ql/time/calendars/nullcalendar.hpp>
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#include <utility>
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namespace QuantLib {
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    PerpetualFutures::PerpetualFutures(
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        PerpetualFutures::PayoffType payoffType,
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        PerpetualFutures::FundingType fundingType,
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        Period fundingFrequency,
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        Calendar cal,
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        DayCounter dc) : payoffType_(payoffType), fundingType_(fundingType), fundingFrequency_(fundingFrequency),
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        cal_(std::move(cal)), dc_(std::move(dc)) {
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    }
Unexecuted instantiation: QuantLib::PerpetualFutures::PerpetualFutures(QuantLib::PerpetualFutures::PayoffType, QuantLib::PerpetualFutures::FundingType, QuantLib::Period, QuantLib::Calendar, QuantLib::DayCounter)
Unexecuted instantiation: QuantLib::PerpetualFutures::PerpetualFutures(QuantLib::PerpetualFutures::PayoffType, QuantLib::PerpetualFutures::FundingType, QuantLib::Period, QuantLib::Calendar, QuantLib::DayCounter)
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    void PerpetualFutures::setupArguments(PricingEngine::arguments* args) const {
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        auto* moreArgs = dynamic_cast<PerpetualFutures::arguments*>(args);
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        QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
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        moreArgs->payoffType = payoffType_;
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        moreArgs->fundingType = fundingType_;
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        moreArgs->fundingFrequency = fundingFrequency_;
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        moreArgs->cal = cal_;
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        moreArgs->dc = dc_;
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    }
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    PerpetualFutures::arguments::arguments()
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    : payoffType(PerpetualFutures::PayoffType(-1)), fundingType(PerpetualFutures::FundingType(-1)),
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      fundingFrequency(Period(8, Hours)), cal(NullCalendar()),
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      dc(ActualActual(ActualActual::ISDA)) {}
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    void PerpetualFutures::arguments::validate() const {
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        switch (payoffType) {
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            case PerpetualFutures::Linear:
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            case PerpetualFutures::Inverse:
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            case PerpetualFutures::Quanto:
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                break;
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            default:
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                QL_FAIL("unknown payoff type");
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        }
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        switch (fundingType) {
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            case PerpetualFutures::FundingWithPreviousSpot:
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                break;
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            case PerpetualFutures::FundingWithCurrentSpot:
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                break;
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            default:
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                QL_FAIL("unknown funding type");
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        }
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    }
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    std::ostream& operator<<(std::ostream& out, PerpetualFutures::PayoffType type) {
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        switch (type) {
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            case PerpetualFutures::Linear:
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                return out << "Linear";
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            case PerpetualFutures::Inverse:
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                return out << "Inverse";
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            case PerpetualFutures::Quanto:
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                return out << "Quanto";
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            default:
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                QL_FAIL("unknown PerpetualFutures::PayoffType(" << int(type) << ")");
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        }
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    }
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    std::ostream& operator<<(std::ostream& out, PerpetualFutures::FundingType type) {
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        switch (type) {
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            case PerpetualFutures::FundingWithPreviousSpot:
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                return out << "FundingWithPreviousSpot";
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            case PerpetualFutures::FundingWithCurrentSpot:
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                return out << "FundingWithCurrentSpot";
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            default:
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                QL_FAIL("unknown PerpetualFutures::FundingType(" << int(type) << ")");
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        }
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    }
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}
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