| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2023 Peter Caspers |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file simplifynotificationgraph.hpp |
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| 21 | \brief utility functions to reduce number of notifications sent by observables |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_simplify_notification_graph |
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| 25 | #define quantlib_simplify_notification_graph |
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| 26 | |
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| 27 | #include <ql/cashflow.hpp> |
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| 28 | #include <ql/instrument.hpp> |
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| 29 | #include <ql/instruments/bond.hpp> |
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| 30 | #include <ql/instruments/swap.hpp> |
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| 31 | |
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| 32 | |
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| 33 | namespace QuantLib { |
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| 34 | |
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| 35 | //! Utility function to optimize the observability graph of an instrument |
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| 36 | /*! This function unregisters the given instrument from the given cashflows and |
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| 37 | instead registers with the observables of the cashflows. This is safe to do if |
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| 38 | |
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| 39 | - the coupon pricers of the cashflows are set before the function is called and never |
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| 40 | updated afterwards |
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| 41 | - the cashflows are not themselves originating notifications, i.e. they only pass through |
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| 42 | notifications from their observables (which is usually the case) |
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| 43 | - the set of cashflows does not dynamically change (usually satisfied as well) |
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| 44 | |
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| 45 | If unregisterCoupons is set to true, all given cashflows are in addition unregistered from |
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| 46 | all their observables. This can be done |
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| 47 | |
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| 48 | - if the coupons are not asked for results directly |
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| 49 | - if deepUpdate() is called on the instrument before retrieving a result; to determine |
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| 50 | whether the result might have changed, isCalculated() can be called on the instrument. |
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| 51 | |
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| 52 | There are overloads of this function for specific instrument types like Swap, Bond. |
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| 53 | */ |
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| 54 | void simplifyNotificationGraph(Instrument& instrument, |
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| 55 | const Leg& leg, |
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| 56 | bool unregisterCoupons = false); |
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| 57 | |
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| 58 | //! Utility function to opimize the observability graph of a swap |
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| 59 | void simplifyNotificationGraph(Swap& swap, bool unregisterCoupons = false); |
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| 60 | |
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| 61 | //! Utility function to opimize the observability graph of a bond |
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| 62 | void simplifyNotificationGraph(Bond& bond, bool unregisterCoupons = false); |
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| 63 | |
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| 64 | } |
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| 65 | |
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| 66 | #endif |
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| 67 | |
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