/*
Copyright (C) 2009 John Martin
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2005, 2006, 2007, 2008 StatPro Italia srl
Copyright (C) 2007 Ferdinando Ametrano
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
package org.jquantlib.termstructures;
import java.util.List;
import org.jquantlib.QL;
import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.quotes.Handle;
import org.jquantlib.quotes.Quote;
import org.jquantlib.quotes.SimpleQuote;
import org.jquantlib.time.Date;
import org.jquantlib.util.DefaultObservable;
import org.jquantlib.util.Observable;
import org.jquantlib.util.Observer;
import org.jquantlib.util.TypedVisitable;
import org.jquantlib.util.TypedVisitor;
import org.jquantlib.util.Visitor;
/**
* Base helper class for bootstrapping
* <p>
* This class provides an abstraction for the instruments used to bootstrap a term structure.
* <p>
* It is advised that a bootstrap helper for an instrument contains an instance of the actual
* instrument class to ensure consistancy between the algorithms used during bootstrapping and later
* instrument pricing. This is not yet fully enforced in the available rate helpers.
*/
public abstract class BootstrapHelper <TS extends TermStructure> implements Observer, Observable, TypedVisitable<BootstrapHelper> {
protected Handle <Quote> quote;
protected TS termStructure;
protected Date earliestDate;
protected Date latestDate;
public BootstrapHelper(final Handle<Quote> quote) {
this.quote = quote;
this.quote.addObserver(this);
}
public BootstrapHelper(final double quote) {
this.quote = new Handle<Quote>(new SimpleQuote(quote));
}
public abstract double impliedQuote();
public double quoteError() {
return quote.currentLink().value() - impliedQuote();
}
public boolean quoteIsValid() {
return quote.currentLink().isValid();
}
public void setTermStructure(final TS c) {
QL.ensure(c != null, "TermStructure cannot be null");
this.termStructure = c;
}
public Date earliestDate() {
return this.earliestDate;
}
public Date latestDate() {
return this.latestDate;
}
//
// implements Observer
//
public void update() {
this.notifyObservers();
}
//
// implements Observable
//
/**
* Implements multiple inheritance via delegate pattern to an inner class
*
* @see Observable
*/
private final Observable delegatedObservable = new DefaultObservable(this);
@Override
public final void addObserver(final Observer observer) {
delegatedObservable.addObserver(observer);
}
@Override
public final int countObservers() {
return delegatedObservable.countObservers();
}
@Override
public final void deleteObserver(final Observer observer) {
delegatedObservable.deleteObserver(observer);
}
@Override
public final void notifyObservers() {
delegatedObservable.notifyObservers();
}
@Override
public final void notifyObservers(final Object arg) {
delegatedObservable.notifyObservers(arg);
}
@Override
public final void deleteObservers() {
delegatedObservable.deleteObservers();
}
@Override
public final List<Observer> getObservers() {
return delegatedObservable.getObservers();
}
//
// implements TypedVisitable
//
@Override
public void accept(final TypedVisitor<BootstrapHelper> v) {
final Visitor<BootstrapHelper> v1 = (v!=null) ? v.getVisitor(this.getClass()) : null;
if (v1 != null) {
v1.visit(this);
} else {
throw new LibraryException("not a bootstrap helper visitor");//TODO: message
}
}
}