Speed up adding fixings (#2085)

lballabio · Oct 15, 2024 · 8d297ba · 8d297ba
2 parents e1701c3 + 0e52676
commit 8d297ba
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Showing 4 changed files with 83 additions and 46 deletions.
diff --git a/ql/index.cpp b/ql/index.cpp
@@ -25,9 +25,7 @@ namespace QuantLib {
                           Real fixing,
                           bool forceOverwrite) {
         checkNativeFixingsAllowed();
-        addFixings(&fixingDate, (&fixingDate)+1,
-                   &fixing,
-                   forceOverwrite);
+        addFixings(&fixingDate, (&fixingDate) + 1, &fixing, forceOverwrite);
     }
 
     void Index::addFixings(const TimeSeries<Real>& t,

diff --git a/ql/index.hpp b/ql/index.hpp
@@ -100,42 +100,9 @@ namespace QuantLib {
                         ValueIterator vBegin,
                         bool forceOverwrite = false) {
             checkNativeFixingsAllowed();
-            std::string tag = name();
-            TimeSeries<Real> h = IndexManager::instance().getHistory(tag);
-            bool noInvalidFixing = true, noDuplicatedFixing = true;
-            Date invalidDate, duplicatedDate;
-            Real nullValue = Null<Real>();
-            Real invalidValue = Null<Real>();
-            Real duplicatedValue = Null<Real>();
-            while (dBegin != dEnd) {
-                bool validFixing = isValidFixingDate(*dBegin);
-                Real currentValue = h[*dBegin];
-                bool missingFixing = forceOverwrite || currentValue == nullValue;
-                if (validFixing) {
-                    if (missingFixing)
-                        h[*(dBegin++)] = *(vBegin++);
-                    else if (close(currentValue, *(vBegin))) {
-                        ++dBegin;
-                        ++vBegin;
-                    } else {
-                        noDuplicatedFixing = false;
-                        duplicatedDate = *(dBegin++);
-                        duplicatedValue = *(vBegin++);
-                    }
-                } else {
-                    noInvalidFixing = false;
-                    invalidDate = *(dBegin++);
-                    invalidValue = *(vBegin++);
-                }
-            }
-            IndexManager::instance().setHistory(tag, h);
-            QL_REQUIRE(noInvalidFixing, "At least one invalid fixing provided: "
-                                            << invalidDate.weekday() << " " << invalidDate << ", "
-                                            << invalidValue);
-            QL_REQUIRE(noDuplicatedFixing, "At least one duplicated fixing provided: "
-                                               << duplicatedDate << ", " << duplicatedValue
-                                               << " while " << h[duplicatedDate]
-                                               << " value is already present");
+            IndexManager::instance().addFixings(
+                name(), dBegin, dEnd, vBegin, forceOverwrite,
+                [this](const Date& d) { return isValidFixingDate(d); });
         }
         //! clears all stored historical fixings
         void clearFixings();

diff --git a/ql/indexes/indexmanager.cpp b/ql/indexes/indexmanager.cpp
@@ -26,15 +26,28 @@ namespace QuantLib {
     }
 
     const TimeSeries<Real>& IndexManager::getHistory(const std::string& name) const {
-        return data_[name].value();
+        return data_[name];
     }
 
     void IndexManager::setHistory(const std::string& name, TimeSeries<Real> history) {
+        notifier(name)->notifyObservers();
         data_[name] = std::move(history);
     }
 
+    void IndexManager::addFixing(const std::string& name,
+                                 const Date& fixingDate,
+                                 Real fixing,
+                                 bool forceOverwrite) {
+        addFixings(name, &fixingDate, (&fixingDate) + 1, &fixing, forceOverwrite);
+    }
+
     ext::shared_ptr<Observable> IndexManager::notifier(const std::string& name) const {
-        return data_[name];
+        auto n = notifiers_.find(name);
+        if(n != notifiers_.end())
+            return n->second;
+        auto o = ext::make_shared<Observable>();
+        notifiers_[name] = o;
+        return o;
     }
 
     std::vector<std::string> IndexManager::histories() const {
@@ -45,14 +58,21 @@ namespace QuantLib {
         return temp;
     }
 
-    void IndexManager::clearHistory(const std::string& name) { data_.erase(name); }
+    void IndexManager::clearHistory(const std::string& name) {
+        notifier(name)->notifyObservers();
+        data_.erase(name);
+    }
 
-    void IndexManager::clearHistories() { data_.clear(); }
+    void IndexManager::clearHistories() {
+        for (auto const& d : data_)
+            notifier(d.first)->notifyObservers();
+        data_.clear();
+    }
 
     bool IndexManager::hasHistoricalFixing(const std::string& name, const Date& fixingDate) const {
         auto const& indexIter = data_.find(name);
         return (indexIter != data_.end()) &&
-               ((*indexIter).second.value()[fixingDate] != Null<Real>());
+               ((*indexIter).second[fixingDate] != Null<Real>());
     }
 
 }
diff --git a/ql/indexes/indexmanager.hpp b/ql/indexes/indexmanager.hpp
@@ -26,6 +26,7 @@
 
 #include <ql/patterns/singleton.hpp>
 #include <ql/timeseries.hpp>
+#include <ql/math/comparison.hpp>
 #include <ql/utilities/observablevalue.hpp>
 #include <algorithm>
 #include <cctype>
@@ -39,6 +40,56 @@ namespace QuantLib {
 
       private:
         IndexManager() = default;
+        friend class Index;
+        //! add a fixing
+        void addFixing(const std::string& name,
+                       const Date& fixingDate,
+                       Real fixing,
+                       bool forceOverwrite = false);
+        //! add fixings
+        template <class DateIterator, class ValueIterator>
+        void addFixings(const std::string& name,
+                        DateIterator dBegin,
+                        DateIterator dEnd,
+                        ValueIterator vBegin,
+                        bool forceOverwrite = false,
+                        const std::function<bool(const Date& d)>& isValidFixingDate = {}) {
+            auto& h = data_[name];
+            bool noInvalidFixing = true, noDuplicatedFixing = true;
+            Date invalidDate, duplicatedDate;
+            Real nullValue = Null<Real>();
+            Real invalidValue = Null<Real>();
+            Real duplicatedValue = Null<Real>();
+            while (dBegin != dEnd) {
+                bool validFixing = isValidFixingDate ? isValidFixingDate(*dBegin) : true;
+                Real currentValue = h[*dBegin];
+                bool missingFixing = forceOverwrite || currentValue == nullValue;
+                if (validFixing) {
+                    if (missingFixing)
+                        h[*(dBegin++)] = *(vBegin++);
+                    else if (close(currentValue, *(vBegin))) {
+                        ++dBegin;
+                        ++vBegin;
+                    } else {
+                        noDuplicatedFixing = false;
+                        duplicatedDate = *(dBegin++);
+                        duplicatedValue = *(vBegin++);
+                    }
+                } else {
+                    noInvalidFixing = false;
+                    invalidDate = *(dBegin++);
+                    invalidValue = *(vBegin++);
+                }
+            }
+            notifier(name)->notifyObservers();
+            QL_REQUIRE(noInvalidFixing, "At least one invalid fixing provided: "
+                                            << invalidDate.weekday() << " " << invalidDate << ", "
+                                            << invalidValue);
+            QL_REQUIRE(noDuplicatedFixing, "At least one duplicated fixing provided: "
+                                               << duplicatedDate << ", " << duplicatedValue
+                                               << " while " << h[duplicatedDate]
+                                               << " value is already present");
+        }
 
       public:
         //! returns whether historical fixings were stored for the index
@@ -47,7 +98,7 @@ namespace QuantLib {
         const TimeSeries<Real>& getHistory(const std::string& name) const;
         //! stores the historical fixings of the index
         void setHistory(const std::string& name, TimeSeries<Real> history);
-        //! observer notifying of changes in the index fixings
+        //! observer notifying of changes in the index fixings_
         ext::shared_ptr<Observable> notifier(const std::string& name) const;
         //! returns all names of the indexes for which fixings were stored
         std::vector<std::string> histories() const;
@@ -67,7 +118,8 @@ namespace QuantLib {
           }
         };
 
-        mutable std::map<std::string, ObservableValue<TimeSeries<Real>>, CaseInsensitiveCompare> data_;
+        mutable std::map<std::string, TimeSeries<Real>, CaseInsensitiveCompare> data_;
+        mutable std::map<std::string, ext::shared_ptr<Observable>> notifiers_;
     };
 
 }