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find: Container for historical data.

NAME

QuantLib::TimeSeries - Container for historical data.

SYNOPSIS

#include <ql/timeseries.hpp>

Public Types

typedef Date key_type

typedef T value_type

Public Member Functions

TimeSeries ()

template<class DateIterator , class ValueIterator > TimeSeries (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin)

template<class ValueIterator > TimeSeries (const Date &firstDate, ValueIterator begin, ValueIterator end)

Inspectors

Date firstDate () const
returns the first date for which a historical datum exists
Date lastDate () const
returns the last date for which a historical datum exists
Size size () const
returns the number of historical data including null ones
bool empty () const
returns whether the series contains any data

Historical data access

T operator[] (const Date &d) const
returns the (possibly null) datum corresponding to the given date
T & operator[] (const Date &d)

Utilities

const_iterator find (const Date &)

std::vector< Date > dates () const
returns the dates for which historical data exist
std::vector< T > values () const
returns the historical data

Iterators

typedef Container::const_iterator const_iterator

typedef Container::const_reverse_iterator const_reverse_iterator

const_iterator begin () const

const_iterator end () const

const_reverse_iterator rbegin () const

const_reverse_iterator rend () const

Detailed Description

template<class T, class Container = std::map<Date, T>> class QuantLib::TimeSeries< T, Container >

This class acts as a generic repository for a set of historical data. Any single datum can be accessed through its date, while sets of consecutive data can be accessed through iterators.

Precondition:

The Container type must satisfy the requirements set by the C++ standard for associative containers.

Constructor & Destructor Documentation

TimeSeries ()

Default constructor

TimeSeries (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin)

This constructor initializes the history with a set of values passed as two sequences, the first containing dates and the second containing corresponding values.

TimeSeries (const Date & firstDate, ValueIterator begin, ValueIterator end)

This constructor initializes the history with a set of values. Such values are assigned to a corresponding number of consecutive dates starting from firstDate included.

Author

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