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Revert "add time utilities to QuantLib, add a forecastFixing by time to IborIndex"
This reverts commit b8e4607.
1 parent b160ac3 commit f7014c4

8 files changed

Lines changed: 2 additions & 211 deletions

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QuantLib.vcxproj

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@@ -1845,7 +1845,6 @@
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<ClInclude Include="ql\utilities\null_deleter.hpp" />
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<ClInclude Include="ql\utilities\observablevalue.hpp" />
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<ClInclude Include="ql\utilities\steppingiterator.hpp" />
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<ClInclude Include="ql\utilities\time.hpp" />
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<ClInclude Include="ql\utilities\tracing.hpp" />
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<ClInclude Include="ql\utilities\vectors.hpp" />
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<ClInclude Include="ql\auto_link.hpp" />
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<ClCompile Include="ql\time\weekday.cpp" />
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<ClCompile Include="ql\utilities\dataformatters.cpp" />
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<ClCompile Include="ql\utilities\dataparsers.cpp" />
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<ClInclude Include="ql\utilities\time.cpp" />
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<ClCompile Include="ql\utilities\tracing.cpp" />
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<ClCompile Include="ql\cashflow.cpp" />
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<ClCompile Include="ql\currency.cpp" />

QuantLib.vcxproj.filters

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<ClInclude Include="ql\utilities\steppingiterator.hpp">
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<Filter>utilities</Filter>
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</ClInclude>
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<ClInclude Include="ql\utilities\time.hpp">
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<Filter>utilities</Filter>
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</ClInclude>
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<ClInclude Include="ql\utilities\tracing.hpp">
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<ClInclude Include="ql\utilities\tracing.hpp">
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<Filter>utilities</Filter>
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</ClInclude>
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<ClInclude Include="ql\utilities\vectors.hpp">
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<ClCompile Include="ql\utilities\dataparsers.cpp">
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<Filter>utilities</Filter>
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</ClCompile>
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<ClCompile Include="ql\utilities\time.cpp">
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<Filter>utilities</Filter>
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</ClCompile>
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<ClCompile Include="ql\utilities\tracing.cpp">
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<Filter>utilities</Filter>
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</ClCompile>

ql/CMakeLists.txt

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@@ -916,7 +916,6 @@ set(QL_SOURCES
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timegrid.cpp
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utilities/dataformatters.cpp
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utilities/dataparsers.cpp
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utilities/time.cpp
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utilities/tracing.cpp
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version.cpp
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)
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utilities/null_deleter.hpp
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utilities/observablevalue.hpp
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utilities/steppingiterator.hpp
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utilities/time.hpp
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utilities/tracing.hpp
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utilities/vectors.hpp
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volatilitymodel.hpp

ql/indexes/iborindex.cpp

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#include <ql/indexes/iborindex.hpp>
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#include <ql/termstructures/yieldtermstructure.hpp>
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#include <ql/utilities/time.hpp>
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#include <utility>
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namespace QuantLib {
@@ -52,17 +51,6 @@ namespace QuantLib {
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return forecastFixing(d1, d2, t);
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}
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Rate IborIndex::forecastFixing(const Time& fixingTime) const {
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QL_REQUIRE(fixingTime > 0.0, "\n cannot calculate forward rate, " \
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"fixing time must be positive");
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QL_REQUIRE(!termStructure_.empty(),
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"null term structure set to this instance of " << name());
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Time tenorTime = periodToTime(tenor_);
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DiscountFactor disc1 = termStructure_->discount(fixingTime);
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DiscountFactor disc2 = termStructure_->discount(fixingTime + tenorTime);
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return (disc1 / disc2 - 1.0) / tenorTime;
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}
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Date IborIndex::maturityDate(const Date& valueDate) const {
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return fixingCalendar().advance(valueDate,
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tenor_,

ql/indexes/iborindex.hpp

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@@ -46,8 +46,7 @@ namespace QuantLib {
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//! \name InterestRateIndex interface
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//@{
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Date maturityDate(const Date& valueDate) const override;
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Rate forecastFixing(const Date& fixingDate) const override;
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Rate forecastFixing(const Time& fixingTime) const;
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Rate forecastFixing(const Date& fixingDate) const override;
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// @}
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//! \name Inspectors
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//@{

ql/utilities/Makefile.am

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null_deleter.hpp \
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observablevalue.hpp \
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steppingiterator.hpp \
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time.hpp \
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tracing.hpp \
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vectors.hpp
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cpp_files = \
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dataformatters.cpp \
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dataparsers.cpp \
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time.cpp \
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tracing.cpp
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if UNITY_BUILD

ql/utilities/time.cpp

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ql/utilities/time.hpp

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