Reduce duplication in rate helpers constructors (#1911)

lballabio · Feb 19, 2024 · 72012a7 · 72012a7
2 parents ce909f4 + 30d6eb5
commit 72012a7
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Showing 10 changed files with 60 additions and 189 deletions.
diff --git a/Examples/CDS/CDS.cpp b/Examples/CDS/CDS.cpp
@@ -98,7 +98,7 @@ void example01() {
     std::vector<ext::shared_ptr<DefaultProbabilityHelper>> instruments;
     for (Size i = 0; i < 4; i++) {
         instruments.push_back(ext::make_shared<SpreadCdsHelper>(
-                                Handle<Quote>(ext::make_shared<SimpleQuote>(quoted_spreads[i])),
+                                makeQuoteHandle(quoted_spreads[i]),
                                 tenors[i], settlementDays, calendar, Quarterly, Following,
                                 DateGeneration::TwentiethIMM, Actual365Fixed(),
                                 recovery_rate, tsCurve));

diff --git a/Examples/CVAIRS/CVAIRS.cpp b/Examples/CVAIRS/CVAIRS.cpp
@@ -69,7 +69,7 @@ int main(int, char* []) {
         vector<ext::shared_ptr<RateHelper>> swapHelpers;
         for(Size i=0; i<sizeof(tenorsSwapMkt)/sizeof(Size); i++)
             swapHelpers.push_back(ext::make_shared<SwapRateHelper>(
-                Handle<Quote>(ext::make_shared<SimpleQuote>(ratesSwapmkt[i])),
+                    makeQuoteHandle(ratesSwapmkt[i]),
                     tenorsSwapMkt[i] * Years,
                     TARGET(),
                     Quarterly,

diff --git a/Examples/ConvertibleBonds/ConvertibleBonds.cpp b/Examples/ConvertibleBonds/ConvertibleBonds.cpp
@@ -144,7 +144,7 @@ int main(int, char* []) {
         auto exercise = ext::make_shared<EuropeanExercise>(exerciseDate);
         auto amExercise = ext::make_shared<AmericanExercise>(settlementDate, exerciseDate);
 
-        Handle<Quote> underlyingH(ext::make_shared<SimpleQuote>(underlying));
+        auto underlyingH = makeQuoteHandle(underlying);
 
         Handle<YieldTermStructure> flatTermStructure(
             ext::make_shared<FlatForward>(settlementDate, riskFreeRate, dayCounter));
@@ -160,7 +160,7 @@ int main(int, char* []) {
 
         Size timeSteps = 801;
 
-        Handle<Quote> creditSpread(ext::make_shared<SimpleQuote>(spreadRate));
+        auto creditSpread = makeQuoteHandle(spreadRate);
 
         auto rate = ext::make_shared<SimpleQuote>(riskFreeRate);
 

diff --git a/Examples/DiscreteHedging/DiscreteHedging.cpp b/Examples/DiscreteHedging/DiscreteHedging.cpp
@@ -300,8 +300,7 @@ void ReplicationError::compute(Size nTimeSteps, Size nSamples)
     Calendar calendar = TARGET();
     Date today = Date::todaysDate();
     DayCounter dayCount = Actual365Fixed();
-    Handle<Quote> stateVariable(
-                          ext::make_shared<SimpleQuote>(s0_));
+    auto stateVariable = makeQuoteHandle(s0_);
     Handle<YieldTermStructure> riskFreeRate(
                           ext::make_shared<FlatForward>(today, r_, dayCount));
     Handle<YieldTermStructure> dividendYield(

diff --git a/Examples/EquityOption/EquityOption.cpp b/Examples/EquityOption/EquityOption.cpp
@@ -97,7 +97,7 @@ int main(int, char* []) {
 
         auto americanExercise = ext::make_shared<AmericanExercise>(settlementDate, maturity);
 
-        Handle<Quote> underlyingH(ext::make_shared<SimpleQuote>(underlying));
+        auto underlyingH = makeQuoteHandle(underlying);
 
         // bootstrap the yield/dividend/vol curves
         Handle<YieldTermStructure> flatTermStructure(

diff --git a/Examples/Gaussian1dModels/Gaussian1dModels.cpp b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
@@ -118,7 +118,7 @@ void printModelCalibration(
 
 // here the main part of the code starts
 
-int main(int argc, char *argv[]) {
+int main(int, char *[]) {
 
     try {
 
@@ -137,9 +137,8 @@ int main(int argc, char *argv[]) {
         Real forward6mLevel = 0.025;
         Real oisLevel = 0.02;
 
-        Handle<Quote> forward6mQuote(
-            ext::make_shared<SimpleQuote>(forward6mLevel));
-        Handle<Quote> oisQuote(ext::make_shared<SimpleQuote>(oisLevel));
+        auto forward6mQuote = makeQuoteHandle(forward6mLevel);
+        auto oisQuote = makeQuoteHandle(oisLevel);
 
         Handle<YieldTermStructure> yts6m(ext::make_shared<FlatForward>(
             0, TARGET(), forward6mQuote, Actual365Fixed()));
@@ -156,7 +155,7 @@ int main(int argc, char *argv[]) {
             << "\nat a level of " << forward6mLevel << std::endl;
 
         Real volLevel = 0.20;
-        Handle<Quote> volQuote(ext::make_shared<SimpleQuote>(volLevel));
+        auto volQuote = makeQuoteHandle(volLevel);
         Handle<SwaptionVolatilityStructure> swaptionVol(
             ext::make_shared<ConstantSwaptionVolatility>(
                 0, TARGET(), ModifiedFollowing, volQuote, Actual365Fixed()));
@@ -483,8 +482,7 @@ int main(int argc, char *argv[]) {
                "\npricing this using the LinearTsrPricer for CMS coupon "
                "estimation" << std::endl;
 
-        Handle<Quote> reversionQuote(
-            ext::make_shared<SimpleQuote>(reversion));
+        auto reversionQuote = makeQuoteHandle(reversion);
 
         const Leg &leg0 = underlying4->leg(0);
         const Leg &leg1 = underlying4->leg(1);

diff --git a/ql/handle.hpp b/ql/handle.hpp
@@ -42,9 +42,9 @@ namespace QuantLib {
       protected:
         class Link : public Observable, public Observer {
           public:
-            explicit Link(const ext::shared_ptr<T>& h,
+            explicit Link(ext::shared_ptr<T> h,
                           bool registerAsObserver);
-            void linkTo(const ext::shared_ptr<T>&,
+            void linkTo(ext::shared_ptr<T>,
                         bool registerAsObserver);
             bool empty() const { return !h_; }
             const ext::shared_ptr<T>& currentLink() const { return h_; }
@@ -75,9 +75,9 @@ namespace QuantLib {
         //@{
         Handle()
         : Handle(ext::shared_ptr<T>()) {}
-        explicit Handle(const ext::shared_ptr<T>& p,
+        explicit Handle(ext::shared_ptr<T> p,
                         bool registerAsObserver = true)
-        : link_(new Link(p,registerAsObserver)) {}
+        : link_(new Link(std::move(p), registerAsObserver)) {}
         //@}
         //! dereferencing
         const ext::shared_ptr<T>& currentLink() const;
@@ -125,17 +125,17 @@ namespace QuantLib {
     // inline definitions
 
     template <class T>
-    inline Handle<T>::Link::Link(const ext::shared_ptr<T>& h, bool registerAsObserver) {
-        linkTo(h,registerAsObserver);
+    inline Handle<T>::Link::Link(ext::shared_ptr<T> h, bool registerAsObserver) {
+        linkTo(std::move(h), registerAsObserver);
     }
 
     template <class T>
-    inline void Handle<T>::Link::linkTo(const ext::shared_ptr<T>& h,
+    inline void Handle<T>::Link::linkTo(ext::shared_ptr<T> h,
                                         bool registerAsObserver) {
         if ((h != h_) || (isObserver_ != registerAsObserver)) {
             if (h_ && isObserver_)
                 unregisterWith(h_);
-            h_ = h;
+            h_ = std::move(h);
             isObserver_ = registerAsObserver;
             if (h_ && isObserver_)
                 registerWith(h_);

diff --git a/ql/quotes/simplequote.hpp b/ql/quotes/simplequote.hpp
@@ -48,8 +48,15 @@ namespace QuantLib {
         Real value_;
     };
 
+    RelinkableHandle<Quote> makeQuoteHandle(Real value);
+
+
     // inline definitions
 
+    inline RelinkableHandle<Quote> makeQuoteHandle(Real value) {
+        return RelinkableHandle<Quote>(ext::make_shared<SimpleQuote>(value));
+    }
+
     inline SimpleQuote::SimpleQuote(Real value)
     : value_(value) {}
 

diff --git a/ql/termstructures/bootstraphelper.hpp b/ql/termstructures/bootstraphelper.hpp
@@ -155,8 +155,7 @@ namespace QuantLib {
 
     template <class TS>
     BootstrapHelper<TS>::BootstrapHelper(Real quote)
-    : quote_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(quote)))),
-      termStructure_(nullptr) {}
+    : quote_(makeQuoteHandle(quote)), termStructure_(nullptr) {}
 
     template <class TS>
     void BootstrapHelper<TS>::setTermStructure(TS* t) {