quantlib


C++: Derive a class template from QuantLib::PiecewiseYieldCurve


I would like to derive a class template from QuantLib::PiecewiseYieldCurve. This is my derived class definition:
#include <ql\termstructures\yield\piecewiseyieldcurve.hpp>
#include <MarKetQuote\include\OISQuote.h>
#include <vector>
using namespace QuantLib;
/*! \brief Class to bootstrap an OIS curve.
*/
template <class Traits, class Interpolator,
template <class> class Bootstrap = IterativeBootstrap>
class OISCurve : public PiecewiseYieldCurve < Traits, Interpolator, Bootstrap >
{
private:
/** Typedef to refer to the specialized class.
It was necessary to add it in other to be able to declare the constructor as in QuantLib::PiecewiseYieldCurve.
*/
typedef OISCurve<Traits, Interpolator, Bootstrap> this_ois_curve;
public:
/** Constructor.
*/
OISCurve(
const Date& referenceDate,
const std::vector<OISQuote>& quotes,
const DayCounter& dayCounter,
Real accuracy,
const Interpolator& i = Interpolator(),
const Bootstrap<this_ois_curve>& bootstrap = Bootstrap<this_ois_curve>());
};
OISQuote is simply a class derived from QuantLib::SimpleQuote. I'm not familiar with this type of complicated templating, but to my limited understanding the above should be ok. It compiles actually. The problem arises when I try to instantiate a specialized class like this:
OISCurve<Discount, LogLinear> oisCurve = OISCurve<Discount, LogLinear>(Date::todaysDate(), quotes, Actual360(), 1.0e-12);
I get a linking error LNK2019 (using visual studio):
main.obj : error LNK2019: unresolved external symbol "public: __cdecl OISCurve<struct QuantLib::Discount,class QuantLib::LogLinear,class QuantLib::IterativeBootstrap>::OISCurve<struct QuantLib::Discount,class QuantLib::LogLinear,class QuantLib::IterativeBootstrap>(class QuantLib::Date const &,class std::vector<class OISQuote,class std::allocator<class OISQuote> > const &,class QuantLib::DayCounter const &,double,class QuantLib::LogLinear const &)" (??0?$OISCurve#UDiscount#QuantLib##VLogLinear#2#VIterativeBootstrap#2###QEAA#AEBVDate#QuantLib##AEBV?$vector#VOISQuote##V?$allocator#VOISQuote###std###std##AEBVDayCounter#2#NAEBVLogLinear#2##Z) referenced in function main
1>C:\Users\u8998\PricingEngine\build\Debug\main.exe : fatal error LNK1120: 1 unresolved externals
Thanks for the help.
EDIT:
Sorry for the late reply. Thank you #LuigiBallabio and #StudentT for your answers. My problem ended up being caused by my inexperience with class templates. I had my declaration in a header file and my implementation in a cpp file exactly as with any other class. Following the guidelines in the accepted answer of this question I modified my code accordingly:
OISCurve.h
#ifndef OIS_CURVE_H
#define OIS_CURVE_H
#include <ql\termstructures\yield\piecewiseyieldcurve.hpp>
#include <ql\termstructures\yield\ratehelpers.hpp>
#include <ql\quote.hpp>
#include <vector>
#include <boost\shared_ptr.hpp>
using namespace QuantLib;
template <class Traits, class Interpolator,
template <class> class Bootstrap = IterativeBootstrap>
class OISCurve : public PiecewiseYieldCurve < Traits, Interpolator, Bootstrap >
{
public:
OISCurve(const Date& referenceDate,
const std::vector<boost::shared_ptr<Quote>>& quotes,
const DayCounter& dayCounter,
Real accuracy);
friend std::vector<boost::shared_ptr<RateHelper>> getRateHelpers(const std::vector<boost::shared_ptr<Quote>>& quotes);
private:
std::vector<boost::shared_ptr<Quote>> quotes_;
};
#include <CurveBootstrapping\src\OISCurve.cpp>
#endif
OISCurve.cpp
#include "OISCurve.h"
#include <ql\errors.hpp>
#include <algorithm>
#include <boost\foreach.hpp>
#include <ql\termstructures\yield\oisratehelper.hpp>
#include <MarKetQuote\include\OISQuote.h>
#include <ql\handle.hpp>
#include <ql\indexes\ibor\eonia.hpp>
#ifndef OIS_CURVE_IMPL
#define OIS_CURVE_IMPL
template <class T, class I, template <class> class B>
OISCurve<T, I, B>::OISCurve(
const Date& referenceDate,
const std::vector<boost::shared_ptr<Quote>>& quotes,
const DayCounter& dayCounter,
Real accuracy)
: PiecewiseYieldCurve < T, I, B >(referenceDate,
initializeQuotesAndGetRateHelpers(quotes),
dayCounter,
accuracy)
{
std::cout << "constructor works" << std::endl;
}
std::vector<boost::shared_ptr<RateHelper>> getRateHelpers(const std::vector<boost::shared_ptr<Quote>>& quotes)
{
QL_REQUIRE(std::all_of(quotes.begin(), quotes.end(), [](boost::shared_ptr<Quote> quote){ return boost::dynamic_pointer_cast<OISQuote>(quote) != 0; }),
"All quotes must be OISQuotes!");
std::vector<boost::shared_ptr<RateHelper>> rateHelpers;
BOOST_FOREACH(boost::shared_ptr<Quote> quote, quotes)
{
rateHelpers.push_back(boost::shared_ptr<RateHelper>(new OISRateHelper(2,
boost::dynamic_pointer_cast<OISQuote>(quote)->tenor(),
Handle<Quote>(quote),
boost::shared_ptr<OvernightIndex>(new Eonia()))));
}
return rateHelpers;
}
#endif
This is the solution i liked the most.
I don't think this questions relates to quantitative finance at all, but I'll answer anyway.
You have not provided an implementation to the constructor of the class OISCurve.
To link your program, do this:
OISCurve(
const Date& referenceDate,
const std::vector<OISQuote>& quotes,
const DayCounter& dayCounter,
Real accuracy,
const Interpolator& i = Interpolator(),
const Bootstrap<this_ois_curve>& bootstrap = Bootstrap<this_ois_curve>())
: <Call Parent Constructor>
{
}
You will need to replace with a call to an actual constructor defined in PiecewiseYieldCurve. There are six such constructors, so you will need to select the one that you think most appropriate. Please note that you will need to give the parent constructor a list of instruments, but it's missing in your constructor definition.

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