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Pass Schedule by value and move (#1942)
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@lballabio
lballabio authored Apr 8, 2024
2 parents 7c12452 + bdbb8e1 commit daec722
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Showing 48 changed files with 195 additions and 204 deletions.
16 changes: 7 additions & 9 deletions ql/cashflows/cpicoupon.cpp
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Expand Up @@ -255,14 +255,13 @@ namespace QuantLib {
return notional() * (I1 / I0);
}

CPILeg::CPILeg(const Schedule& schedule,
CPILeg::CPILeg(Schedule schedule,
ext::shared_ptr<ZeroInflationIndex> index,
const Real baseCPI,
const Period& observationLag)
: schedule_(schedule), index_(std::move(index)), baseCPI_(baseCPI),
: schedule_(std::move(schedule)), index_(std::move(index)), baseCPI_(baseCPI),
observationLag_(observationLag), paymentDayCounter_(Thirty360(Thirty360::BondBasis)),
paymentCalendar_(schedule.calendar()),

paymentCalendar_(schedule_.calendar()),
spreads_(std::vector<Real>(1, 0)), baseDate_(Null<Date>()) {}


Expand Down Expand Up @@ -366,15 +365,15 @@ namespace QuantLib {
Size n = schedule_.size()-1;
Leg leg;
leg.reserve(n+1); // +1 for notional, we always have some sort ...

Date baseDate = baseDate_;
// BaseDate and baseCPI are not given, use the first date as startDate and the baseFixingg
// should be at startDate - observationLag

if (n>0) {
QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(),
"no fixedRates or spreads given");

if (baseDate_ == Null<Date>() && baseCPI_ == Null<Real>()) {
baseDate = schedule_.date(0) - observationLag_;
}
Expand Down Expand Up @@ -435,7 +434,7 @@ namespace QuantLib {
Date paymentDate = paymentCalendar_.adjust(schedule_.date(n), paymentAdjustment_);
leg.push_back(ext::make_shared<CPICashFlow>
(detail::get(notionals_, n, 0.0), index_,
baseDate, baseCPI_,
baseDate, baseCPI_,
schedule_.date(n), observationLag_, observationInterpolation_,
paymentDate, subtractInflationNominal_));

Expand All @@ -446,4 +445,3 @@ namespace QuantLib {
}

}

2 changes: 1 addition & 1 deletion ql/cashflows/cpicoupon.hpp
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Expand Up @@ -276,7 +276,7 @@ namespace QuantLib {
*/
class CPILeg {
public:
CPILeg(const Schedule& schedule,
CPILeg(Schedule schedule,
ext::shared_ptr<ZeroInflationIndex> index,
Real baseCPI,
const Period& observationLag);
Expand Down
4 changes: 2 additions & 2 deletions ql/cashflows/fixedratecoupon.cpp
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Expand Up @@ -89,8 +89,8 @@ namespace QuantLib {
}


FixedRateLeg::FixedRateLeg(const Schedule& schedule)
: schedule_(schedule), paymentCalendar_(schedule.calendar()) {}
FixedRateLeg::FixedRateLeg(Schedule schedule)
: schedule_(std::move(schedule)), paymentCalendar_(schedule_.calendar()) {}

FixedRateLeg& FixedRateLeg::withNotionals(Real notional) {
notionals_ = vector<Real>(1,notional);
Expand Down
2 changes: 1 addition & 1 deletion ql/cashflows/fixedratecoupon.hpp
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Expand Up @@ -89,7 +89,7 @@ namespace QuantLib {
//! helper class building a sequence of fixed rate coupons
class FixedRateLeg {
public:
FixedRateLeg(const Schedule& schedule);
FixedRateLeg(Schedule schedule);
FixedRateLeg& withNotionals(Real);
FixedRateLeg& withNotionals(const std::vector<Real>&);
FixedRateLeg& withCouponRates(Rate,
Expand Down
8 changes: 4 additions & 4 deletions ql/cashflows/overnightindexedcoupon.cpp
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Expand Up @@ -146,7 +146,7 @@ namespace QuantLib {
const Date& refPeriodStart,
const Date& refPeriodEnd,
const DayCounter& dayCounter,
bool telescopicValueDates,
bool telescopicValueDates,
RateAveraging::Type averagingMethod)
: FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
overnightIndex ? overnightIndex->fixingDays() : 0,
Expand Down Expand Up @@ -269,8 +269,8 @@ namespace QuantLib {
}
}

OvernightLeg::OvernightLeg(const Schedule& schedule, ext::shared_ptr<OvernightIndex> i)
: schedule_(schedule), overnightIndex_(std::move(i)), paymentCalendar_(schedule.calendar()) {
OvernightLeg::OvernightLeg(Schedule schedule, ext::shared_ptr<OvernightIndex> i)
: schedule_(std::move(schedule)), overnightIndex_(std::move(i)), paymentCalendar_(schedule_.calendar()) {
QL_REQUIRE(overnightIndex_, "no index provided");
}

Expand Down Expand Up @@ -370,7 +370,7 @@ namespace QuantLib {
detail::get(spreads_, i, 0.0),
refStart, refEnd,
paymentDayCounter_,
telescopicValueDates_,
telescopicValueDates_,
averagingMethod_)));
}
return cashflows;
Expand Down
2 changes: 1 addition & 1 deletion ql/cashflows/overnightindexedcoupon.hpp
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Expand Up @@ -98,7 +98,7 @@ namespace QuantLib {
//! helper class building a sequence of overnight coupons
class OvernightLeg {
public:
OvernightLeg(const Schedule& schedule, ext::shared_ptr<OvernightIndex> overnightIndex);
OvernightLeg(Schedule schedule, ext::shared_ptr<OvernightIndex> overnightIndex);
OvernightLeg& withNotionals(Real notional);
OvernightLeg& withNotionals(const std::vector<Real>& notionals);
OvernightLeg& withPaymentDayCounter(const DayCounter&);
Expand Down
9 changes: 4 additions & 5 deletions ql/cashflows/subperiodcoupon.cpp
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Expand Up @@ -42,7 +42,7 @@ namespace QuantLib {
const Date& exCouponDate)
: FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
fixingDays, index, gearing, couponSpread,
refPeriodStart, refPeriodEnd, dayCounter,
refPeriodStart, refPeriodEnd, dayCounter,
false, exCouponDate),
rateSpread_(rateSpread) {
Schedule sch = MakeSchedule()
Expand Down Expand Up @@ -107,7 +107,7 @@ namespace QuantLib {
}
}

Real SubPeriodsPricer::swapletPrice() const {
Real SubPeriodsPricer::swapletPrice() const {
QL_FAIL("SubPeriodsPricer::swapletPrice not implemented");
}

Expand Down Expand Up @@ -155,8 +155,8 @@ namespace QuantLib {
return coupon_->gearing() * rate + coupon_->spread();
}

SubPeriodsLeg::SubPeriodsLeg(const Schedule& schedule, ext::shared_ptr<IborIndex> i)
: schedule_(schedule), index_(std::move(i)), paymentCalendar_(schedule.calendar()) {
SubPeriodsLeg::SubPeriodsLeg(Schedule schedule, ext::shared_ptr<IborIndex> i)
: schedule_(std::move(schedule)), index_(std::move(i)), paymentCalendar_(schedule_.calendar()) {
QL_REQUIRE(index_, "no index provided");
}

Expand Down Expand Up @@ -306,4 +306,3 @@ namespace QuantLib {
return cashflows;
}
}

2 changes: 1 addition & 1 deletion ql/cashflows/subperiodcoupon.hpp
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Expand Up @@ -120,7 +120,7 @@ namespace QuantLib {
//! helper class building a sequence of overnight coupons
class SubPeriodsLeg {
public:
SubPeriodsLeg(const Schedule &schedule, ext::shared_ptr<IborIndex> index);
SubPeriodsLeg(Schedule schedule, ext::shared_ptr<IborIndex> index);
SubPeriodsLeg& withNotionals(Real notional);
SubPeriodsLeg& withNotionals(const std::vector<Real>& notionals);
SubPeriodsLeg& withPaymentDayCounter(const DayCounter&);
Expand Down
20 changes: 10 additions & 10 deletions ql/experimental/averageois/arithmeticaverageois.cpp
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Expand Up @@ -27,11 +27,11 @@ namespace QuantLib {

ArithmeticAverageOIS::ArithmeticAverageOIS(Type type,
Real nominal,
const Schedule& fixedLegSchedule,
Schedule fixedLegSchedule,
Rate fixedRate,
DayCounter fixedDC,
ext::shared_ptr<OvernightIndex> overnightIndex,
const Schedule& overnightLegSchedule,
Schedule overnightLegSchedule,
Spread spread,
Real meanReversionSpeed,
Real volatility,
Expand All @@ -43,16 +43,16 @@ namespace QuantLib {
overnightIndex_(std::move(overnightIndex)), spread_(spread), byApprox_(byApprox),
mrs_(meanReversionSpeed), vol_(volatility) {

initialize(fixedLegSchedule, overnightLegSchedule);
initialize(std::move(fixedLegSchedule), std::move(overnightLegSchedule));
}

ArithmeticAverageOIS::ArithmeticAverageOIS(Type type,
std::vector<Real> nominals,
const Schedule& fixedLegSchedule,
Schedule fixedLegSchedule,
Rate fixedRate,
DayCounter fixedDC,
ext::shared_ptr<OvernightIndex> overnightIndex,
const Schedule& overnightLegSchedule,
Schedule overnightLegSchedule,
Spread spread,
Real meanReversionSpeed,
Real volatility,
Expand All @@ -64,18 +64,18 @@ namespace QuantLib {
overnightIndex_(std::move(overnightIndex)), spread_(spread), byApprox_(byApprox),
mrs_(meanReversionSpeed), vol_(volatility) {

initialize(fixedLegSchedule, overnightLegSchedule);
initialize(std::move(fixedLegSchedule), std::move(overnightLegSchedule));
}

void ArithmeticAverageOIS::initialize(const Schedule& fixedLegSchedule,
const Schedule& overnightLegSchedule) {
void ArithmeticAverageOIS::initialize(Schedule fixedLegSchedule,
Schedule overnightLegSchedule) {
if (fixedDC_==DayCounter())
fixedDC_ = overnightIndex_->dayCounter();
legs_[0] = FixedRateLeg(fixedLegSchedule)
legs_[0] = FixedRateLeg(std::move(fixedLegSchedule))
.withNotionals(nominals_)
.withCouponRates(fixedRate_, fixedDC_);

legs_[1] = OvernightLeg(overnightLegSchedule, overnightIndex_)
legs_[1] = OvernightLeg(std::move(overnightLegSchedule), overnightIndex_)
.withNotionals(nominals_)
.withSpreads(spread_);

Expand Down
11 changes: 5 additions & 6 deletions ql/experimental/averageois/arithmeticaverageois.hpp
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Expand Up @@ -37,22 +37,22 @@ namespace QuantLib {
public:
ArithmeticAverageOIS(Type type,
Real nominal,
const Schedule& fixedLegSchedule,
Schedule fixedLegSchedule,
Rate fixedRate,
DayCounter fixedDC,
ext::shared_ptr<OvernightIndex> overnightIndex,
const Schedule& overnightLegSchedule,
Schedule overnightLegSchedule,
Spread spread = 0.0,
Real meanReversionSpeed = 0.03,
Real volatility = 0.00, // NO convexity adjustment by default
bool byApprox = false); // TRUE to use Katsumi Takada approximation
ArithmeticAverageOIS(Type type,
std::vector<Real> nominals,
const Schedule& fixedLegSchedule,
Schedule fixedLegSchedule,
Rate fixedRate,
DayCounter fixedDC,
ext::shared_ptr<OvernightIndex> overnightIndex,
const Schedule& overnightLegSchedule,
Schedule overnightLegSchedule,
Spread spread = 0.0,
Real meanReversionSpeed = 0.03,
Real volatility = 0.00, // NO convexity adjustment by default
Expand Down Expand Up @@ -88,8 +88,7 @@ namespace QuantLib {
Spread fairSpread() const;
//@}
private:
void initialize(const Schedule& fixedLegSchedule,
const Schedule& overnightLegSchedule);
void initialize(Schedule fixedLegSchedule, Schedule overnightLegSchedule);
Type type_;
std::vector<Real> nominals_;

Expand Down
11 changes: 5 additions & 6 deletions ql/experimental/callablebonds/callablebond.cpp
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Expand Up @@ -357,7 +357,7 @@ namespace QuantLib {
dayCounter,
compounding,
frequency);

if ( P == 0.0 )
return 0;
else
Expand Down Expand Up @@ -389,13 +389,13 @@ namespace QuantLib {
dayCounter,
compounding,
frequency);

if ( P == 0.0 )
return 0;
else
{
return (Ppp + Pmm - 2*P) / ( std::pow(bump,2) * P);
}
}

}

Expand Down Expand Up @@ -482,7 +482,7 @@ namespace QuantLib {
CallableFixedRateBond::CallableFixedRateBond(
Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
Schedule schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
Expand All @@ -499,7 +499,7 @@ namespace QuantLib {
frequency_ = schedule.hasTenor() ? schedule.tenor().frequency() : NoFrequency;

cashflows_ =
FixedRateLeg(schedule)
FixedRateLeg(std::move(schedule))
.withNotionals(faceAmount)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
Expand Down Expand Up @@ -533,4 +533,3 @@ namespace QuantLib {
}

}

2 changes: 1 addition & 1 deletion ql/experimental/callablebonds/callablebond.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -200,7 +200,7 @@ namespace QuantLib {
public:
CallableFixedRateBond(Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
Schedule schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention = Following,
Expand Down
6 changes: 3 additions & 3 deletions ql/experimental/catbonds/catbond.cpp
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Expand Up @@ -45,7 +45,7 @@ namespace QuantLib {
arguments->notionalRisk = notionalRisk_;
arguments->startDate = issueDate();
}

void CatBond::fetchResults(const PricingEngine::results* r) const {
Bond::fetchResults(r);

Expand All @@ -59,7 +59,7 @@ namespace QuantLib {

FloatingCatBond::FloatingCatBond(Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
Schedule schedule,
const ext::shared_ptr<IborIndex>& iborIndex,
const DayCounter& paymentDayCounter,
const ext::shared_ptr<NotionalRisk>& notionalRisk,
Expand All @@ -76,7 +76,7 @@ namespace QuantLib {

maturityDate_ = schedule.endDate();

cashflows_ = IborLeg(schedule, iborIndex)
cashflows_ = IborLeg(std::move(schedule), iborIndex)
.withNotionals(faceAmount)
.withPaymentDayCounter(paymentDayCounter)
.withPaymentAdjustment(paymentConvention)
Expand Down
2 changes: 1 addition & 1 deletion ql/experimental/catbonds/catbond.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -94,7 +94,7 @@ namespace QuantLib {
public:
FloatingCatBond(Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
Schedule schedule,
const ext::shared_ptr<IborIndex>& iborIndex,
const DayCounter& accrualDayCounter,
const ext::shared_ptr<NotionalRisk>& notionalRisk,
Expand Down
13 changes: 6 additions & 7 deletions ql/experimental/credit/nthtodefault.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -32,7 +32,7 @@ namespace QuantLib {
const ext::shared_ptr<Basket>& basket,
Size n,
Protection::Side side,
const Schedule& premiumSchedule,
Schedule premiumSchedule,
Rate upfrontRate,
Rate premiumRate,
const DayCounter& dayCounter,
Expand All @@ -41,19 +41,19 @@ namespace QuantLib {
)
: basket_(basket), n_(n),
side_(side), nominal_(nominal),
premiumSchedule_(premiumSchedule), premiumRate_(premiumRate),
upfrontRate_(upfrontRate),
premiumSchedule_(std::move(premiumSchedule)), premiumRate_(premiumRate),
upfrontRate_(upfrontRate),
dayCounter_(dayCounter), settlePremiumAccrual_(settlePremiumAccrual)
{
QL_REQUIRE(n_ <= basket_->size(),
QL_REQUIRE(n_ <= basket_->size(),
"NTD order provided is larger than the basket size.");

// Basket inception must lie before contract protection start.
QL_REQUIRE(basket->refDate() <= premiumSchedule.startDate(),
QL_REQUIRE(basket->refDate() <= premiumSchedule_.startDate(),
//using the start date of the schedule might be wrong, think of the CDS rule
"Basket did not exist before contract start.");

premiumLeg_ = FixedRateLeg(premiumSchedule)
premiumLeg_ = FixedRateLeg(premiumSchedule_)
.withNotionals(nominal)
.withCouponRates(premiumRate, dayCounter)
.withPaymentAdjustment(Unadjusted);
Expand Down Expand Up @@ -156,4 +156,3 @@ namespace QuantLib {
}

}

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