handle refactor

Makefile

@@ -33,6 +33,7 @@ clean:
 	find quantlib -name \*.c -exec rm {} +
 	find quantlib -name \*.h -exec rm {} +
 	-rm quantlib/termstructures/yields/{piecewise_yield_curve,discount_curve,forward_curve,zero_curve}.{pxd,pyx}
+	-rm quantlib/handle.{pxd,pyx}
 	rm -rf build
 	rm -rf dist
 

quantlib/_cashflow.pxd

@@ -2,7 +2,7 @@ from quantlib.types cimport Real
 from libcpp cimport bool
 from libcpp.vector cimport vector
 
-from quantlib.handle cimport shared_ptr, optional
+from quantlib.ext cimport shared_ptr, optional
 from quantlib.time._date cimport Date
 
 cdef extern from 'ql/event.hpp' namespace 'QuantLib' nogil:

quantlib/_handle.pxd

@@ -0,0 +1,17 @@
+from libcpp cimport bool
+from .ext cimport shared_ptr
+
+cdef extern from 'ql/handle.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass Handle[T]:
+        Handle()
+        Handle(Handle&)
+        Handle(shared_ptr[T]&)
+        Handle(shared_ptr[T]&, bool registerAsObserver)
+        shared_ptr[T]& currentLink()
+        bool empty()
+
+    cdef cppclass RelinkableHandle[T](Handle):
+        RelinkableHandle()
+        RelinkableHandle(shared_ptr[T]&, bool registerAsObserver)
+        void linkTo(shared_ptr[T]&, bool registerAsObserver)
+        void reset()

quantlib/_instrument.pxd

@@ -1,6 +1,6 @@
 from quantlib.types cimport Real
 
-from quantlib.handle cimport shared_ptr
+from .ext cimport shared_ptr
 from quantlib.pricingengines._pricing_engine cimport PricingEngine
 from quantlib.time._date cimport Date
 from libcpp.string cimport string

quantlib/_observable.pxd

@@ -1,4 +1,4 @@
-from .handle cimport shared_ptr
+from .ext cimport shared_ptr
 from .types cimport Size
 
 cdef extern from 'ql/patterns/observable.hpp' namespace 'QuantLib' nogil:

quantlib/_option.pxd

@@ -1,7 +1,7 @@
 from ._instrument cimport Instrument
 from ._exercise cimport Exercise
 from ._payoffs cimport Payoff
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 
 
 cdef extern from 'ql/option.hpp' namespace 'QuantLib' nogil:

quantlib/_settings.pxd

@@ -1,8 +1,7 @@
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport optional, shared_ptr
 from quantlib._observable cimport Observable
 from quantlib.time._date cimport Date
 from libcpp cimport bool
-from .handle cimport optional
 
 cdef extern from "ql/settings.hpp" namespace "QuantLib" nogil:
     cdef cppclass Settings:

quantlib/cashflow.pxd

@@ -1,6 +1,6 @@
 cimport quantlib._cashflow as _cf
 
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from libcpp.vector cimport vector
 
 cdef class CashFlow:

quantlib/cashflow.pyx

@@ -15,7 +15,7 @@ from libcpp.vector cimport vector
 from libcpp cimport bool
 from cpython.datetime cimport date, import_datetime
 from cython.operator cimport dereference as deref, preincrement as preinc
-from quantlib.handle cimport shared_ptr, optional
+from quantlib.ext cimport shared_ptr, optional
 
 import_datetime()
 

quantlib/cashflows/_cap_floored_coupon.pxd

@@ -1,14 +1,14 @@
 include '../types.pxi'
 from libcpp cimport bool
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from quantlib.indexes._ibor_index cimport IborIndex
 from quantlib.indexes._swap_index cimport SwapIndex
 from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from ._floating_rate_coupon cimport FloatingRateCoupon
 from ._coupon_pricer cimport FloatingRateCouponPricer
 
-cdef extern from 'ql/cashflows/capflooredcoupon.hpp' namespace 'QuantLib':
+cdef extern from 'ql/cashflows/capflooredcoupon.hpp' namespace 'QuantLib' nogil:
     # Capped and/or floored floating-rate coupon
     # The payoff $P$ of a capped floating-rate coupon is:
     # \[ P = N \times T \times \min(a L + b, C). \]

quantlib/cashflows/_cms_coupon.pxd

@@ -1,13 +1,13 @@
 include '../types.pxi'
 
 from libcpp cimport bool
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.indexes._swap_index cimport SwapIndex
 from ._floating_rate_coupon cimport FloatingRateCoupon
 
-cdef extern from 'ql/cashflows/cmscoupon.hpp' namespace 'QuantLib':
+cdef extern from 'ql/cashflows/cmscoupon.hpp' namespace 'QuantLib' nogil:
     cdef cppclass CmsCoupon(FloatingRateCoupon):
         CmsCoupon(const Date& paymentDate,
                   Real nominal,

quantlib/cashflows/_conundrum_pricer.pxd

@@ -12,7 +12,7 @@ cdef extern from 'ql/cashflows/conundrumpricer.hpp' namespace 'QuantLib::GFuncti
         ParallelShifts
         NonParallelShifts
 
-cdef extern from 'ql/cashflows/conundrumpricer.hpp' namespace 'QuantLib':
+cdef extern from 'ql/cashflows/conundrumpricer.hpp' namespace 'QuantLib' nogil:
     cdef cppclass HaganPricer(CmsCouponPricer):
         pass
 

quantlib/cashflows/_coupon_pricer.pxd

@@ -1,6 +1,8 @@
+from libcpp cimport bool
 from quantlib.types cimport Rate, Real
 
-from quantlib.handle cimport shared_ptr, Handle
+from quantlib.ext cimport shared_ptr, optional
+from quantlib.handle cimport Handle
 from quantlib.termstructures.volatility.optionlet._optionlet_volatility_structure cimport OptionletVolatilityStructure
 from quantlib.termstructures.volatility.swaption._swaption_vol_structure cimport SwaptionVolatilityStructure
 from quantlib._cashflow cimport Leg
@@ -10,7 +12,6 @@ from quantlib._quote cimport Quote
 cdef extern from 'ql/cashflows/couponpricer.hpp' namespace 'QuantLib' nogil:
 
     cdef cppclass FloatingRateCouponPricer:
-        FloatingRateCouponPricer() except +
         Real swapletPrice() except +
         Rate swapletRate() except +
         Real capletPrice(Rate effectiveCap) except +
@@ -20,21 +21,20 @@ cdef extern from 'ql/cashflows/couponpricer.hpp' namespace 'QuantLib' nogil:
         void initialize(const FloatingRateCoupon& coupon)
 
     cdef cppclass IborCouponPricer(FloatingRateCouponPricer):
-        IborCouponPricer() except +
         IborCouponPricer(
-            const Handle[OptionletVolatilityStructure]& v) except +
+            const Handle[OptionletVolatilityStructure]& v,
+            optional[bool] useIndexedCoupon) except +
 
     cdef cppclass BlackIborCouponPricer(IborCouponPricer):
-        BlackIborCouponPricer() except +
         BlackIborCouponPricer(
             Handle[OptionletVolatilityStructure]& v,
             TimingAdjustment timing_adjustment,
-            const Handle[Quote] correlation) except +
+            const Handle[Quote] correlation,
+            optional[bool] useIndexedCoupon) except +
 
     void setCouponPricer(Leg& leg, shared_ptr[FloatingRateCouponPricer]& pricer) except +
 
     cdef cppclass CmsCouponPricer(FloatingRateCouponPricer):
-        CmsCouponPricer()
         CmsCouponPricer(const Handle[SwaptionVolatilityStructure]& v) except +
         Handle[SwaptionVolatilityStructure] swaptionVolatility()
         void setSwaptionVolatility(const Handle[SwaptionVolatilityStructure]& v)

quantlib/cashflows/_dividend.pxd

@@ -1,5 +1,5 @@
 from libcpp.vector cimport vector
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from quantlib.types cimport Real
 from quantlib.time._date cimport Date
 

quantlib/cashflows/_floating_rate_coupon.pxd

@@ -1,6 +1,6 @@
 from quantlib.types cimport Natural, Rate, Real, Spread
 from libcpp cimport bool
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib._cashflow cimport CashFlow

quantlib/cashflows/_ibor_coupon.pxd

@@ -1,15 +1,15 @@
 include '../types.pxi'
 
 from libcpp cimport bool
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib._cashflow cimport CashFlow
 from quantlib._interest_rate cimport InterestRate
 from quantlib.cashflows._floating_rate_coupon cimport FloatingRateCoupon
 from quantlib.indexes._ibor_index cimport IborIndex
 
-cdef extern from 'ql/cashflows/iborcoupon.hpp' namespace 'QuantLib':
+cdef extern from 'ql/cashflows/iborcoupon.hpp' namespace 'QuantLib' nogil:
     cdef cppclass IborCoupon(FloatingRateCoupon):
         IborCoupon(const Date& paymentDate,
                    Real nominal,

quantlib/cashflows/_inflation_coupon_pricer.pxd

@@ -1,7 +1,8 @@
-from quantlib.handle cimport shared_ptr, Handle
+from quantlib.handle cimport Handle
+from quantlib.ext cimport shared_ptr
 from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
 from quantlib._cashflow cimport Leg
-cdef extern from 'ql/cashflows/inflationcouponpricer.hpp' namespace 'QuantLib':
+cdef extern from 'ql/cashflows/inflationcouponpricer.hpp' namespace 'QuantLib' nogil:
     cdef cppclass InflationCouponPricer:
         pass
 

quantlib/cashflows/_overnight_indexed_coupon.pxd

@@ -2,7 +2,7 @@ from quantlib.types cimport Integer, Natural, Rate, Real, Spread, Time
 
 from libcpp cimport bool
 from libcpp.vector cimport vector
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._schedule cimport Schedule

quantlib/cashflows/cap_floored_coupon.pyx

@@ -2,7 +2,7 @@ include '../types.pxi'
 from libcpp cimport bool
 from cython.operator cimport dereference as deref
 from quantlib.utilities.null cimport Null
-from quantlib.handle cimport shared_ptr, static_pointer_cast
+from quantlib.ext cimport shared_ptr, static_pointer_cast
 from quantlib.cashflows.coupon_pricer cimport FloatingRateCouponPricer
 from quantlib.indexes.ibor_index cimport IborIndex
 from quantlib.indexes.swap_index cimport SwapIndex

quantlib/cashflows/cms_coupon.pyx

@@ -1,7 +1,7 @@
-include '../types.pxi'
+from quantlib.types cimport Natural, Real
 from libcpp cimport bool
 from cython.operator cimport dereference as deref
-from quantlib.handle cimport shared_ptr, static_pointer_cast
+from quantlib.ext cimport shared_ptr, static_pointer_cast
 from quantlib.time.date cimport Date
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.indexes.swap_index cimport SwapIndex

quantlib/cashflows/conundrum_pricer.pyx

@@ -1,11 +1,6 @@
-include '../types.pxi'
-
+from quantlib.types cimport Rate, Real
 from . cimport _conundrum_pricer as _conp
-from . cimport _coupon_pricer as _cp
-cimport quantlib.termstructures.volatility.swaption._swaption_vol_structure as _svs
-from quantlib.termstructures.volatility.swaption.swaption_vol_structure \
-    cimport SwaptionVolatilityStructure
-from quantlib.handle cimport Handle, shared_ptr, static_pointer_cast
+from quantlib.handle cimport HandleSwaptionVolatilityStructure
 from quantlib.quote cimport Quote
 
 cpdef enum YieldCurveModel:
@@ -16,27 +11,32 @@ cpdef enum YieldCurveModel:
 
 
 cdef class NumericHaganPricer(CmsCouponPricer):
-    def __init__(self, swaption_vol not None,
+    def __init__(self, HandleSwaptionVolatilityStructure swaption_vol not None,
                  YieldCurveModel yieldcurve_model,
                  Quote mean_reversion not None,
                  Rate lower_limit=0.,
                  Rate upper_limit=1.,
                  Real precision=1e-6):
 
-        self._thisptr = shared_ptr[_cp.FloatingRateCouponPricer](new _conp.NumericHaganPricer(
-            SwaptionVolatilityStructure.swaption_vol_handle(swaption_vol),
-            yieldcurve_model,
-            mean_reversion.handle(),
-            lower_limit,
-            upper_limit,
-            precision
-        ))
+        self._thisptr.reset(
+            new _conp.NumericHaganPricer(
+                swaption_vol.handle(),
+                yieldcurve_model,
+                mean_reversion.handle(),
+                lower_limit,
+                upper_limit,
+                precision
+            )
+        )
 
 cdef class AnalyticHaganPricer(CmsCouponPricer):
-    def __init__(self, swaption_vol not None,
+    def __init__(self, HandleSwaptionVolatilityStructure swaption_vol not None,
                  YieldCurveModel yieldcurve_model,
                  Quote mean_reversion not None):
-        self._thisptr = shared_ptr[_cp.FloatingRateCouponPricer](new _conp.AnalyticHaganPricer(
-            SwaptionVolatilityStructure.swaption_vol_handle(swaption_vol),
-            yieldcurve_model,
-            mean_reversion.handle()))
+        self._thisptr.reset(
+            new _conp.AnalyticHaganPricer(
+                swaption_vol.handle(),
+                yieldcurve_model,
+                mean_reversion.handle()
+            )
+        )

quantlib/cashflows/coupon.pyx

@@ -1,5 +1,5 @@
 from cython.operator cimport dereference as deref
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from quantlib.time.date cimport Date, date_from_qldate
 cimport quantlib.time._date as _date
 from quantlib.time.daycounter cimport DayCounter

quantlib/cashflows/coupon_pricer.pxd

@@ -1,4 +1,4 @@
-from quantlib.handle cimport shared_ptr
+from quantlib.ext cimport shared_ptr
 from . cimport _coupon_pricer as _cp
 
 cdef class FloatingRateCouponPricer:

quantlib/cashflows/coupon_pricer.pyx

@@ -1,13 +1,10 @@
+from libcpp cimport bool
 from quantlib.types cimport Rate
 from cython.operator cimport dereference as deref
 from quantlib.cashflow cimport Leg
-from quantlib.termstructures.volatility.optionlet.optionlet_volatility_structure cimport OptionletVolatilityStructure
-cimport quantlib.termstructures.volatility.optionlet._optionlet_volatility_structure as _ovs
-from quantlib.termstructures.volatility.swaption.swaption_vol_structure \
-    cimport  SwaptionVolatilityStructure
-from quantlib.termstructures._vol_term_structure cimport VolatilityTermStructure
 cimport quantlib.termstructures.volatility.swaption._swaption_vol_structure  as _svs
-from quantlib.handle cimport Handle, static_pointer_cast
+from quantlib.ext cimport static_pointer_cast, optional
+from quantlib.handle cimport Handle, HandleSwaptionVolatilityStructure, HandleOptionletVolatilityStructure
 from quantlib.time.calendar cimport Calendar
 from quantlib.time.date cimport Date
 from quantlib.time.daycounter cimport DayCounter
@@ -53,16 +50,19 @@ cpdef enum TimingAdjustment:
 cdef class BlackIborCouponPricer(IborCouponPricer):
 
     def __init__(self,
-                 OptionletVolatilityStructure ovs=OptionletVolatilityStructure(),
+                 HandleOptionletVolatilityStructure ovs=HandleOptionletVolatilityStructure(),
                  TimingAdjustment timing_adjustment=Black76,
-                 Quote correlation=SimpleQuote(1.)):
-        cdef Handle[_ovs.OptionletVolatilityStructure] ovs_handle = \
-            Handle[_ovs.OptionletVolatilityStructure](ovs._thisptr)
-        self._thisptr = shared_ptr[_cp.FloatingRateCouponPricer](
+                 Quote correlation=SimpleQuote(1.),
+                 use_indexed_coupon=None):
+        cdef optional[bool] indexed_coupon
+        if use_indexed_coupon is not None:
+            indexed_coupon = <bool>use_indexed_coupon
+        self._thisptr.reset(
             new _cp.BlackIborCouponPricer(
-                ovs_handle,
+                ovs.handle(),
                 timing_adjustment,
-                correlation.handle()
+                correlation.handle(),
+                indexed_coupon,
             )
         )
 
@@ -80,14 +80,14 @@ cdef class CmsCouponPricer(FloatingRateCouponPricer):
 
     @property
     def swaption_volatility(self):
-        cdef Handle[_svs.SwaptionVolatilityStructure] vol_handle = \
-        (<_cp.CmsCouponPricer*>self._thisptr.get()).swaptionVolatility()
-        cdef SwaptionVolatilityStructure instance = (SwaptionVolatilityStructure.
-                                                     __new__(SwaptionVolatilityStructure))
-        if not vol_handle.empty():
-            instance._thisptr = vol_handle.currentLink()
+        cdef HandleSwaptionVolatilityStructure instance = (
+            HandleSwaptionVolatilityStructure.__new__(HandleSwaptionVolatilityStructure)
+        )
+        instance._handle = new Handle[_svs.SwaptionVolatilityStructure](
+            (<_cp.CmsCouponPricer*>self._thisptr.get()).swaptionVolatility()
+        )
         return instance
 
     @swaption_volatility.setter
-    def swaption_volatility(self, v not None):
-        (<_cp.CmsCouponPricer*>self._thisptr.get()).setSwaptionVolatility(SwaptionVolatilityStructure.swaption_vol_handle(v))
+    def swaption_volatility(self, HandleSwaptionVolatilityStructure v not None):
+        (<_cp.CmsCouponPricer*>self._thisptr.get()).setSwaptionVolatility(v.handle())

quantlib/cashflows/cpi_coupon_pricer.pyx

@@ -1,9 +1,8 @@
-from quantlib.handle cimport shared_ptr
 from ._inflation_coupon_pricer cimport InflationCouponPricer as QlInflationCouponPricer
-from quantlib.termstructures.yield_term_structure cimport HandleYieldTermStructure
+from quantlib.handle cimport HandleYieldTermStructure
 
 cdef class CPICouponPricer(InflationCouponPricer):
     def __init__(self, HandleYieldTermStructure nominal_ts):
-        self._thisptr = shared_ptr[QlInflationCouponPricer](
-            new _cpi.CPICouponPricer(nominal_ts.handle)
+        self._thisptr.reset(
+            new _cpi.CPICouponPricer(nominal_ts.handle())
         )