optimize build time (move stuff from hpp to cpp)

QuantLib.vcxproj

@@ -2237,6 +2237,7 @@
     <ClCompile Include="ql\legacy\libormarketmodels\lmlinexpvolmodel.cpp" />
     <ClCompile Include="ql\legacy\libormarketmodels\lmvolmodel.cpp" />
     <ClCompile Include="ql\math\abcdmathfunction.cpp" />
+    <ClCompile Include="ql\math\array.cpp" />
     <ClCompile Include="ql\math\bernsteinpolynomial.cpp" />
     <ClCompile Include="ql\math\beta.cpp" />
     <ClCompile Include="ql\math\bspline.cpp" />
@@ -2271,6 +2272,7 @@
     <ClCompile Include="ql\math\integrals\integral.cpp" />
     <ClCompile Include="ql\math\integrals\kronrodintegral.cpp" />
     <ClCompile Include="ql\math\integrals\segmentintegral.cpp" />
+    <ClCompile Include="ql\math\interpolations\cubicinterpolation.cpp" />
     <ClCompile Include="ql\math\interpolations\chebyshevinterpolation.cpp" />
     <ClCompile Include="ql\math\matrix.cpp" />
     <ClCompile Include="ql\math\matrixutilities\basisincompleteordered.cpp" />

QuantLib.vcxproj.filters

@@ -4841,6 +4841,9 @@
     <ClCompile Include="ql\math\abcdmathfunction.cpp">
       <Filter>math</Filter>
     </ClCompile>
+    <ClCompile Include="ql\math\array.cpp">
+      <Filter>math</Filter>
+    </ClCompile>
     <ClCompile Include="ql\math\bernsteinpolynomial.cpp">
       <Filter>math</Filter>
     </ClCompile>
@@ -7162,6 +7165,9 @@
     <ClCompile Include="ql\pricingengines\asian\turnbullwakemanasianengine.cpp">
       <Filter>pricingengines\asian</Filter>
     </ClCompile>
+    <ClCompile Include="ql\math\interpolations\cubicinterpolation.cpp">
+      <Filter>math\interpolations</Filter>
+    </ClCompile>
     <ClCompile Include="ql\math\interpolations\chebyshevinterpolation.cpp">
       <Filter>math\interpolations</Filter>
     </ClCompile>

ql/CMakeLists.txt

@@ -340,6 +340,7 @@ set(QL_SOURCES
     legacy/libormarketmodels/lmlinexpvolmodel.cpp
     legacy/libormarketmodels/lmvolmodel.cpp
     math/abcdmathfunction.cpp
+    math/array.cpp
     math/bernsteinpolynomial.cpp
     math/beta.cpp
     math/bspline.cpp
@@ -375,6 +376,7 @@ set(QL_SOURCES
     math/integrals/kronrodintegral.cpp
     math/integrals/segmentintegral.cpp
     math/interpolations/chebyshevinterpolation.cpp    
+    math/interpolations/cubicinterpolation.cpp
     math/matrix.cpp
     math/matrixutilities/basisincompleteordered.cpp
     math/matrixutilities/bicgstab.cpp

ql/cashflows/dividend.hpp

@@ -26,6 +26,7 @@
 #define quantlib_dividend_hpp
 
 #include <ql/cashflow.hpp>
+#include <ql/errors.hpp>
 #include <ql/utilities/null.hpp>
 #include <vector>
 

ql/cashflows/simplecashflow.cpp

@@ -18,6 +18,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/errors.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
 
 namespace QuantLib {

ql/currency.hpp

@@ -26,6 +26,7 @@
 #define quantlib_currency_hpp
 
 #include <ql/math/rounding.hpp>
+#include <ql/shared_ptr.hpp>
 #include <ql/errors.hpp>
 #include <iosfwd>
 #include <set>

ql/errors.cpp

@@ -93,10 +93,11 @@ namespace QuantLib {
     Error::Error(const std::string& file, long line,
                  const std::string& function,
                  const std::string& message) {
-        message_ = ext::make_shared<std::string>(
-                                      format(file, line, function, message));
+        message_ = format(file, line, function, message);
     }
 
-    const char* Error::what() const noexcept { return message_->c_str(); }
+    const char* Error::what() const noexcept {
+        return message_.c_str();
+    }
 }
 

ql/errors.hpp

@@ -25,9 +25,6 @@
 #ifndef quantlib_errors_hpp
 #define quantlib_errors_hpp
 
-#include <ql/qldefines.hpp>
-#include <ql/shared_ptr.hpp>
-#include <boost/assert.hpp>
 #include <boost/current_function.hpp>
 #include <exception>
 #include <sstream>
@@ -49,94 +46,58 @@ namespace QuantLib {
         const char* what() const noexcept override;
 
       private:
-        ext::shared_ptr<std::string> message_;
+        std::string message_;
     };
 
 }
 
-#define QL_MULTILINE_FAILURE_BEGIN do {
-
 /* Disable warning C4127 (conditional expression is constant) when
    wrapping macros with the do { ... } while(false) construct on MSVC
 */
-#if defined(BOOST_MSVC)
-    #define QL_MULTILINE_FAILURE_END \
-        __pragma(warning(push)) \
-        __pragma(warning(disable:4127)) \
-        } while(false) \
-        __pragma(warning(pop))
-#else
-    #define QL_MULTILINE_FAILURE_END } while(false)
-#endif
-
-
-#define QL_MULTILINE_ASSERTION_BEGIN do {
 
-/* Disable warning C4127 (conditional expression is constant) when
-   wrapping macros with the do { ... } while(false) construct on MSVC
+/*! \def QL_ASSERT
+    \brief throw an error if the given condition is not verified
 */
 #if defined(BOOST_MSVC)
-    #define QL_MULTILINE_ASSERTION_END \
-        __pragma(warning(push)) \
-        __pragma(warning(disable:4127)) \
-        } while(false) \
-        __pragma(warning(pop))
+
+#    define QL_ASSERT(condition, message)                                         \
+        do {                                                                      \
+            if (!(condition)) {                                                   \
+                std::ostringstream _ql_msg_stream;                                \
+                _ql_msg_stream << message;                                        \
+                throw QuantLib::Error(__FILE__, __LINE__, BOOST_CURRENT_FUNCTION, \
+                                      _ql_msg_stream.str());                      \
+            }                                                                     \
+            __pragma(warning(push)) __pragma(warning(disable : 4127))             \
+        } while (false) __pragma(warning(pop))
+
 #else
-    #define QL_MULTILINE_ASSERTION_END } while(false)
-#endif
 
+#    define QL_ASSERT(condition, message)                                         \
+        do {                                                                      \
+            if (!(condition)) {                                                   \
+                std::ostringstream _ql_msg_stream;                                \
+                _ql_msg_stream << message;                                        \
+                throw QuantLib::Error(__FILE__, __LINE__, BOOST_CURRENT_FUNCTION, \
+                                      _ql_msg_stream.str());                      \
+            }                                                                     \
+        } while (false)
+
+#endif
 
 /*! \def QL_FAIL
     \brief throw an error (possibly with file and line information)
 */
-#define QL_FAIL(message) \
-QL_MULTILINE_FAILURE_BEGIN \
-    std::ostringstream _ql_msg_stream; \
-    _ql_msg_stream << message; \
-    throw QuantLib::Error(__FILE__,__LINE__, \
-                          BOOST_CURRENT_FUNCTION,_ql_msg_stream.str()); \
-QL_MULTILINE_FAILURE_END
-
-
-/*! \def QL_ASSERT
-    \brief throw an error if the given condition is not verified
-*/
-#define QL_ASSERT(condition,message) \
-QL_MULTILINE_ASSERTION_BEGIN \
-if (!(condition)) { \
-    std::ostringstream _ql_msg_stream; \
-    _ql_msg_stream << message; \
-    throw QuantLib::Error(__FILE__,__LINE__, \
-                          BOOST_CURRENT_FUNCTION,_ql_msg_stream.str()); \
-} \
-QL_MULTILINE_ASSERTION_END
+#define QL_FAIL(message) QL_ASSERT(false, message)
 
 /*! \def QL_REQUIRE
     \brief throw an error if the given pre-condition is not verified
 */
-#define QL_REQUIRE(condition,message) \
-QL_MULTILINE_ASSERTION_BEGIN \
-if (!(condition)) { \
-    std::ostringstream _ql_msg_stream; \
-    _ql_msg_stream << message; \
-    throw QuantLib::Error(__FILE__,__LINE__, \
-                          BOOST_CURRENT_FUNCTION,_ql_msg_stream.str()); \
-} \
-QL_MULTILINE_ASSERTION_END
+#define QL_REQUIRE(condition, message) QL_ASSERT(condition, message)
 
 /*! \def QL_ENSURE
     \brief throw an error if the given post-condition is not verified
 */
-#define QL_ENSURE(condition,message) \
-QL_MULTILINE_ASSERTION_BEGIN \
-if (!(condition)) { \
-    std::ostringstream _ql_msg_stream; \
-    _ql_msg_stream << message; \
-    throw QuantLib::Error(__FILE__,__LINE__, \
-                          BOOST_CURRENT_FUNCTION,_ql_msg_stream.str()); \
-} \
-QL_MULTILINE_ASSERTION_END
-
+#define QL_ENSURE(condition, message) QL_ASSERT(condition, message)
 
 #endif
-

ql/event.cpp

@@ -18,6 +18,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/errors.hpp>
 #include <ql/event.hpp>
 #include <ql/patterns/visitor.hpp>
 #include <ql/optional.hpp>

ql/experimental/commodities/paymentterm.cpp

@@ -19,6 +19,8 @@
 
 #include <ql/experimental/commodities/paymentterm.hpp>
 
+#include <ostream>
+
 namespace QuantLib {
 
     std::map<std::string, ext::shared_ptr<PaymentTerm::Data> >

ql/experimental/math/isotropicrandomwalk.hpp

@@ -24,6 +24,7 @@
 #ifndef quantlib_isotropic_random_walk_hpp
 #define quantlib_isotropic_random_walk_hpp
 
+#include <ql/errors.hpp>
 #include <ql/math/array.hpp>
 #include <ql/math/randomnumbers/mt19937uniformrng.hpp>
 #include <ql/mathconstants.hpp>

ql/experimental/math/multidimintegrator.hpp

@@ -20,6 +20,7 @@
 #ifndef quantlib_math_multidimintegrator_hpp
 #define quantlib_math_multidimintegrator_hpp
 
+#include <ql/shared_ptr.hpp>
 #include <ql/types.hpp>
 #include <ql/errors.hpp>
 #include <ql/math/integrals/integral.hpp>

ql/experimental/volatility/noarbsabr.hpp

@@ -51,6 +51,7 @@
 #define quantlib_noarb_sabr
 
 #include <ql/qldefines.hpp>
+#include <ql/shared_ptr.hpp>
 #include <ql/types.hpp>
 #include <ql/math/integrals/gausslobattointegral.hpp>
 

ql/handle.hpp

@@ -25,6 +25,7 @@
 #ifndef quantlib_handle_hpp
 #define quantlib_handle_hpp
 
+#include <ql/errors.hpp>
 #include <ql/patterns/observable.hpp>
 
 namespace QuantLib {

ql/instrument.cpp

@@ -18,6 +18,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+#include <ql/errors.hpp>
 #include <ql/instrument.hpp>
 #include <ql/settings.hpp>
 
@@ -46,4 +47,74 @@ namespace QuantLib {
         QL_FAIL("Instrument::setupArguments() not implemented");
     }
 
+    void Instrument::calculate() const {
+        if (!calculated_) {
+            if (isExpired()) {
+                setupExpired();
+                calculated_ = true;
+            } else {
+                LazyObject::calculate();
+            }
+        }
+    }
+
+    void Instrument::setupExpired() const {
+        NPV_ = errorEstimate_ = 0.0;
+        valuationDate_ = Date();
+        additionalResults_.clear();
+    }
+
+    void Instrument::performCalculations() const {
+        QL_REQUIRE(engine_, "null pricing engine");
+        engine_->reset();
+        setupArguments(engine_->getArguments());
+        engine_->getArguments()->validate();
+        engine_->calculate();
+        fetchResults(engine_->getResults());
+    }
+
+    void Instrument::fetchResults(
+                                      const PricingEngine::results* r) const {
+        const auto* results = dynamic_cast<const Instrument::results*>(r);
+        QL_ENSURE(results != nullptr, "no results returned from pricing engine");
+
+        NPV_ = results->value;
+        errorEstimate_ = results->errorEstimate;
+        valuationDate_ = results->valuationDate;
+
+        additionalResults_ = results->additionalResults;
+    }
+
+    Real Instrument::NPV() const {
+        calculate();
+        QL_REQUIRE(NPV_ != Null<Real>(), "NPV not provided");
+        return NPV_;
+    }
+
+    Real Instrument::errorEstimate() const {
+        calculate();
+        QL_REQUIRE(errorEstimate_ != Null<Real>(),
+                   "error estimate not provided");
+        return errorEstimate_;
+    }
+
+    const Date& Instrument::valuationDate() const {
+        calculate();
+        QL_REQUIRE(valuationDate_ != Date(),
+                   "valuation date not provided");
+        return valuationDate_;
+    }
+
+    const std::map<std::string, ext::any>&
+    Instrument::additionalResults() const {
+        calculate();
+        return additionalResults_;
+    }
+
+    void Instrument::results::reset() {
+        value = errorEstimate = Null<Real>();
+        valuationDate = Date();
+        additionalResults.clear();
+    }
+
 }