QPR-11772 refactor

Author: pcaspers

ql/CMakeLists.txt

@@ -318,6 +318,7 @@ set(QL_SOURCES
     instruments/quantobarrieroption.cpp
     instruments/quantoforwardvanillaoption.cpp
     instruments/quantovanillaoption.cpp
+    instruments/simplifynotificationgraph.cpp
     instruments/stickyratchet.cpp
     instruments/stock.cpp
     instruments/swap.cpp
@@ -1361,6 +1362,7 @@ set(QL_HEADERS
     instruments/quantobarrieroption.hpp
     instruments/quantoforwardvanillaoption.hpp
     instruments/quantovanillaoption.hpp
+    instruments/simplifynotificationgraph.hpp
     instruments/stickyratchet.hpp
     instruments/stock.hpp
     instruments/swap.hpp

ql/instrument.cpp

@@ -46,18 +46,4 @@ namespace QuantLib {
         QL_FAIL("Instrument::setupArguments() not implemented");
     }
 
-    void passThroughNotifications(Instrument& instrument,
-                                  const std::vector<Leg>& legs,
-                                  bool unregisterCoupons) {
-        for (const auto& leg : legs) {
-            for (auto const& coupon : leg) {
-                instrument.unregisterWith(coupon);
-                instrument.registerWithObservables(coupon);
-                if (unregisterCoupons) {
-                    coupon->unregisterWithAll();
-                }
-            }
-        }
-    }
-
 }

ql/instrument.hpp

@@ -200,23 +200,5 @@ namespace QuantLib {
         calculate();
         return additionalResults_;
     }
-
-    //! Utility function to optimize the observability graph of an instrument
-    /*! This function unregisters the given instrument (e.g. a Swap) from the given cashflows and
-        instead registers with the observables of the cashflows. This is safe to do if
-        - the coupon pricers of the cashflows are set before the function is called and never
-          updated afterwards
-        - the cashflows are not themselves originating notifications, i.e. they only pass through
-          notifications from their observables (which is usually the case)
-        - the set of cashflows does not dynamically change (usually satisfied as well)
-        If unregisterCoupons is set to true, all given cashflows are in addition unregistered from
-        all their observables. This can be done
-        - if the coupons are not asked for results directly
-        - if deepUpdate() is called on the instrument before retrieving a result; to determine
-          whether the result might have changed, isCalculated() can be called on the instrument.
-    */
-    void passThroughNotifications(Instrument& instrument,
-                                  const std::vector<Leg>& legs,
-                                  bool unregisterCoupons = false);
 }
 #endif

ql/instruments/simplifynotificationgraph.cpp

@@ -0,0 +1,45 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2023 Peter Caspers
+
+ 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.
+*/
+
+#include <ql/instruments/simplifynotificationgraph.hpp>
+
+namespace QuantLib {
+
+
+    void simplifyNotificationGraph(Instrument& instrument, const Leg& leg, bool unregisterCoupons) {
+        for (auto const& coupon : leg) {
+            instrument.unregisterWith(coupon);
+            instrument.registerWithObservables(coupon);
+            if (unregisterCoupons) {
+                coupon->unregisterWithAll();
+            }
+        }
+    }
+
+    void simplifyNotificationGraph(Swap& swap, const bool unregisterCoupons) {
+        for (auto const& leg : swap.legs())
+            simplifyNotificationGraph(swap, leg, unregisterCoupons);
+    }
+
+    void simplifyNotificationGraph(Bond& bond, const bool unregisterCoupons) {
+        simplifyNotificationGraph(bond, bond.cashflows(), unregisterCoupons);
+    }
+
+
+}

ql/instruments/simplifynotificationgraph.hpp

@@ -0,0 +1,66 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2023 Peter Caspers
+
+ 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.
+*/
+
+/*! \file simplifynotificationgraph.hpp
+    \brief utility functions to reduce number of notifications sent by observables
+*/
+
+#ifndef quantlib_simplify_notification_graph
+#define quantlib_simplify_notification_graph
+
+#include <ql/cashflow.hpp>
+#include <ql/instrument.hpp>
+#include <ql/instruments/bond.hpp>
+#include <ql/instruments/swap.hpp>
+
+
+namespace QuantLib {
+
+    //! Utility function to optimize the observability graph of an instrument
+    /*! This function unregisters the given instrument from the given cashflows and
+        instead registers with the observables of the cashflows. This is safe to do if
+
+        - the coupon pricers of the cashflows are set before the function is called and never
+          updated afterwards
+        - the cashflows are not themselves originating notifications, i.e. they only pass through
+          notifications from their observables (which is usually the case)
+        - the set of cashflows does not dynamically change (usually satisfied as well)
+
+        If unregisterCoupons is set to true, all given cashflows are in addition unregistered from
+        all their observables. This can be done
+
+        - if the coupons are not asked for results directly
+        - if deepUpdate() is called on the instrument before retrieving a result; to determine
+          whether the result might have changed, isCalculated() can be called on the instrument.
+
+       There are overloads of this function for specific instrument types like Swap, Bond.
+    */
+    void simplifyNotificationGraph(Instrument& instrument,
+                                   const Leg& leg,
+                                   const bool unregisterCoupons = false);
+
+    //! Utility function to opimize the observability graph of a swap
+    void simplifyNotificationGraph(Swap& swap, const bool unregisterCoupons = false);
+
+    //! Utility function to opimize the observability graph of a bond
+    void simplifyNotificationGraph(Bond& bond, const bool unregisterCoupons = false);
+
+}
+
+#endif

ql/termstructures/yield/oisratehelper.cpp

@@ -19,6 +19,7 @@
 */
 
 #include <ql/instruments/makeois.hpp>
+#include <ql/instruments/simplifynotificationgraph.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/termstructures/yield/oisratehelper.hpp>
 #include <ql/utilities/null_deleter.hpp>
@@ -83,7 +84,7 @@ namespace QuantLib {
             swap_ = tmp;
         }
 
-        passThroughNotifications(*swap_, swap_->legs(), true);
+        simplifyNotificationGraph(*swap_, true);
 
         earliestDate_ = swap_->startDate();
         maturityDate_ = swap_->maturityDate();

ql/termstructures/yield/ratehelpers.cpp

@@ -27,6 +27,7 @@
 #include <ql/currency.hpp>
 #include <ql/indexes/swapindex.hpp>
 #include <ql/instruments/makevanillaswap.hpp>
+#include <ql/instruments/simplifynotificationgraph.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/quote.hpp>
 #include <ql/termstructures/yield/ratehelpers.hpp>
@@ -833,7 +834,7 @@ namespace QuantLib {
             .withFloatingLegEndOfMonth(endOfMonth_)
             .withIndexedCoupons(useIndexedCoupons_);
 
-        passThroughNotifications(*swap_, swap_->legs(), true);
+        simplifyNotificationGraph(*swap_, true);
 
         earliestDate_ = swap_->startDate();
         maturityDate_ = swap_->maturityDate();