Make cashflow lazy (#1757)

ql/cashflow.hpp

@@ -28,6 +28,7 @@
 #include <ql/event.hpp>
 #include <ql/math/comparison.hpp>
 #include <ql/optional.hpp>
+#include <ql/patterns/lazyobject.hpp>
 #include <vector>
 
 namespace QuantLib {
@@ -36,7 +37,7 @@ namespace QuantLib {
     /*! This class is purely virtual and acts as a base class for the
         actual cash flow implementations.
     */
-    class CashFlow : public Event {
+    class CashFlow : public Event, public LazyObject {
       public:
         ~CashFlow() override = default;
         //! \name Event interface
@@ -50,6 +51,10 @@ namespace QuantLib {
         bool hasOccurred(const Date& refDate = Date(),
                          ext::optional<bool> includeRefDate = ext::nullopt) const override;
         //@}
+        //! \name LazyObject interface
+        //@{
+        void performCalculations() const override {}
+        //@}
         //! \name CashFlow interface
         //@{
         //! returns the amount of the cash flow

ql/cashflows/digitalcoupon.hpp

@@ -90,8 +90,7 @@ namespace QuantLib {
                       Position::Type putPosition = Position::Long,
                       bool isPutITMIncluded = false,
                       Rate putDigitalPayoff = Null<Rate>(),
-                      const ext::shared_ptr<DigitalReplication>& replication =
-                        ext::shared_ptr<DigitalReplication>(),
+                      const ext::shared_ptr<DigitalReplication>& replication = {},
                       bool nakedOption = false);
 
         //@}

ql/cashflows/fixedratecoupon.cpp

@@ -60,10 +60,14 @@ namespace QuantLib {
       rate_(std::move(interestRate)) {}
 
     Real FixedRateCoupon::amount() const {
-        return nominal()*(rate_.compoundFactor(accrualStartDate_,
-                                               accrualEndDate_,
-                                               refPeriodStart_,
-                                               refPeriodEnd_) - 1.0);
+        calculate();
+        return amount_;
+    }
+
+    void FixedRateCoupon::performCalculations() const {
+        amount_ = nominal() * (rate_.compoundFactor(accrualStartDate_, accrualEndDate_,
+                                                    refPeriodStart_, refPeriodEnd_) -
+                               1.0);
     }
 
     Real FixedRateCoupon::accruedAmount(const Date& d) const {

ql/cashflows/fixedratecoupon.hpp

@@ -60,6 +60,10 @@ namespace QuantLib {
                         const Date& refPeriodEnd = Date(),
                         const Date& exCouponDate = Date());
         //@}
+        //! \name LazyObject interface
+        //@{
+        void performCalculations() const override;
+        //@}
         //! \name CashFlow interface
         //@{
         Real amount() const override;
@@ -77,6 +81,7 @@ namespace QuantLib {
         //@}
       private:
         InterestRate rate_;
+        mutable Real amount_;
     };
 
 

ql/cashflows/floatingratecoupon.hpp

@@ -42,7 +42,7 @@ namespace QuantLib {
     class FloatingRateCouponPricer;
 
     //! base floating-rate coupon class
-    class FloatingRateCoupon : public Coupon, public LazyObject {
+    class FloatingRateCoupon : public Coupon {
       public:
         FloatingRateCoupon(const Date& paymentDate,
                            Real nominal,

ql/cashflows/indexedcashflow.cpp

@@ -36,13 +36,17 @@ namespace QuantLib {
     }
 
     Real IndexedCashFlow::amount() const {
+        calculate();
+        return amount_;
+    }
+
+    void IndexedCashFlow::performCalculations() const {
         Real I0 = baseFixing();
         Real I1 = indexFixing();
 
         if (growthOnly_)
-            return notional_ * (I1 / I0 - 1.0);
+            amount_ = notional_ * (I1 / I0 - 1.0);
         else
-            return notional_ * (I1 / I0);
+            amount_ = notional_ * (I1 / I0);
     }
-
 }

ql/cashflows/indexedcashflow.hpp

@@ -42,8 +42,7 @@ namespace QuantLib {
         growthOnly = false means i(T)/i(0), which is a bond-type setting.
         growthOnly = true means i(T)/i(0) - 1, which is a swap-type setting.
     */
-    class IndexedCashFlow : public CashFlow,
-                            public Observer {
+    class IndexedCashFlow : public CashFlow {
       public:
         IndexedCashFlow(Real notional,
                         ext::shared_ptr<Index> index,
@@ -70,15 +69,16 @@ namespace QuantLib {
         //@{
         void accept(AcyclicVisitor&) override;
         //@}
-        //! \name Observer interface
+        //! \name LazyObject interface
         //@{
-        void update() override { notifyObservers(); }
+        void performCalculations() const override;
         //@}
       private:
         Real notional_;
         ext::shared_ptr<Index> index_;
         Date baseDate_, fixingDate_, paymentDate_;
         bool growthOnly_;
+        mutable Real amount_;
     };
 
 

ql/cashflows/inflationcoupon.cpp

@@ -62,11 +62,16 @@ namespace QuantLib {
 
 
     Rate InflationCoupon::rate() const {
+        calculate();
+        return rate_;
+    }
+
+    void InflationCoupon::performCalculations() const {
         QL_REQUIRE(pricer_, "pricer not set");
         // we know it is the correct type because checkPricerImpl checks on setting
         // in general pricer_ will be a derived class, as will *this on calling
         pricer_->initialize(*this);
-        return pricer_->swapletRate();
+        rate_ = pricer_->swapletRate();
     }
 
 

ql/cashflows/inflationcoupon.hpp

@@ -43,8 +43,7 @@ namespace QuantLib {
 
         \note inflation indices do not contain day counters or calendars.
     */
-    class InflationCoupon : public Coupon,
-                            public Observer {
+    class InflationCoupon : public Coupon {
     public:
       InflationCoupon(const Date& paymentDate,
                       Real nominal,
@@ -85,9 +84,9 @@ namespace QuantLib {
       virtual Rate indexFixing() const;
       //@}
 
-      //! \name Observer interface
+      //! \name LazyObject interface
       //@{
-      void update() override { notifyObservers(); }
+      void performCalculations() const override;
       //@}
 
       //! \name Visitability
@@ -103,6 +102,7 @@ namespace QuantLib {
         Period observationLag_;
         DayCounter dayCounter_;
         Natural fixingDays_;
+        mutable Real rate_;
 
         //! makes sure you were given the correct type of pricer
         // this can also done in external pricer setter classes via

ql/experimental/inflation/yoyoptionlethelpers.cpp

@@ -65,7 +65,7 @@ namespace QuantLib {
 
 
     Real YoYOptionletHelper::impliedQuote() const {
-        yoyCapFloor_->recalculate();
+        yoyCapFloor_->deepUpdate();
         return yoyCapFloor_->NPV();
     }
 

ql/instruments/bond.cpp

@@ -355,9 +355,7 @@ namespace QuantLib {
 
     void Bond::deepUpdate() {
         for (auto& cashflow : cashflows_) {
-            if(auto lazy = ext::dynamic_pointer_cast<LazyObject>(cashflow)) {
-                lazy->deepUpdate();
-            }
+            cashflow->deepUpdate();
         }
         update();
     }

ql/instruments/capfloor.cpp

@@ -270,8 +270,7 @@ namespace QuantLib {
 
     void CapFloor::deepUpdate() {
         for (auto& i : floatingLeg_) {
-            if(auto lazy = ext::dynamic_pointer_cast<LazyObject>(i))
-                lazy->deepUpdate();
+            i->deepUpdate();
         }
         update();
     }

ql/instruments/swap.cpp

@@ -160,8 +160,7 @@ namespace QuantLib {
     void Swap::deepUpdate() {
         for (auto& leg : legs_) {
             for (auto& k : leg) {
-                if (auto lazy = ext::dynamic_pointer_cast<LazyObject>(k))
-                    lazy->deepUpdate();
+                k->deepUpdate();
             }
         }
         update();

ql/termstructures/inflation/inflationhelpers.cpp

@@ -74,7 +74,7 @@ namespace QuantLib {
 
 
     Real ZeroCouponInflationSwapHelper::impliedQuote() const {
-        zciis_->recalculate();
+        zciis_->deepUpdate();
         return zciis_->fairRate();
     }
 
@@ -155,7 +155,7 @@ namespace QuantLib {
 
 
     Real YearOnYearInflationSwapHelper::impliedQuote() const {
-        yyiis_->recalculate();
+        yyiis_->deepUpdate();
         return yyiis_->fairRate();
     }