MarketDataLoader Class Reference

#include <orea/app/marketdataloader.hpp>

Inheritance diagram for MarketDataLoader:

Collaboration diagram for MarketDataLoader:

Public Member Functions
	MarketDataLoader (const QuantLib::ext::shared_ptr< InputParameters > &inputs, QuantLib::ext::shared_ptr< MarketDataLoaderImpl > impl)
virtual	~MarketDataLoader ()
void	populateLoader (const std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > > &todaysMarketParameters, const std::set< QuantLib::Date > &loaderDates)
virtual void	populateFixings (const std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > > &todaysMarketParameters, const std::set< QuantLib::Date > &loaderDates={})
virtual void	addRelevantFixings (const std::pair< std::string, RequiredFixings::FixingDates > &fixing, std::map< std::pair< std::string, QuantLib::Date >, std::set< QuantLib::Date > > &lastAvailableFixingLookupMap)
void	resetLoader ()
	clear the loader More...
const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &	loader () const
	getters More...
QuoteMap	quotes ()

Protected Member Functions
const QuantLib::ext::shared_ptr< MarketDataLoaderImpl > &	impl () const

Protected Attributes
QuantLib::ext::shared_ptr< InputParameters >	inputs_
QuantLib::ext::shared_ptr< ore::data::InMemoryLoader >	loader_
QuoteMap	quotes_
FixingMap	fixings_

Private Attributes
QuantLib::ext::shared_ptr< MarketDataLoaderImpl >	impl_

Detailed Description

Definition at line 65 of file marketdataloader.hpp.

Constructor & Destructor Documentation

MarketDataLoader()

MarketDataLoader	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		QuantLib::ext::shared_ptr< MarketDataLoaderImpl >	impl
	)

Definition at line 67 of file marketdataloader.hpp.

        : inputs_(inputs), impl_(impl) {
        loader_ = QuantLib::ext::make_shared<ore::data::InMemoryLoader>();
    }

~MarketDataLoader()

virtual ~MarketDataLoader ( )

virtual

Definition at line 71 of file marketdataloader.hpp.

{}

Member Function Documentation

populateLoader()

void populateLoader	(	const std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > > &	todaysMarketParameters,
		const std::set< QuantLib::Date > &	loaderDates
	)

Populate a market data loader. Gathers all the quotes needed based on the configs provided and calls the marketdata and fixing services

Definition at line 223 of file marketdataloader.cpp.

                                             {
 
    // create a loader if doesn't already exist
    if (!loader_)
        loader_ = QuantLib::ext::make_shared<InMemoryLoader>();
    else
        loader_->reset(); // can only populate once to avoid duplicates
 
    // check input data
    QL_REQUIRE(!inputs_->curveConfigs().empty(), "Need at least one curve configuration to populate loader.");
    QL_REQUIRE(todaysMarketParameters.size() > 0, "No todaysMarketParams provided to populate market data loader.");
 
    // for equities check if we have corporate action data
    std::map<std::string, std::string> equities;
    for (const auto& tmp : todaysMarketParameters) {
        if (tmp->hasMarketObject(MarketObject::EquityCurve)) {
            auto eqMap = tmp->mapping(MarketObject::EquityCurve, Market::defaultConfiguration);
            for (auto eq : eqMap) {
                if (inputs_->refDataManager() && inputs_->refDataManager()->hasData("Equity", eq.first)) {
                    auto refData = QuantLib::ext::dynamic_pointer_cast<EquityReferenceDatum>(
                        inputs_->refDataManager()->getData("Equity", eq.first));
                    auto erData = refData->equityData();
                    equities[eq.first] = erData.equityId;
                } else
                    equities[eq.first] = eq.first;
            }
        }
    }
    if (equities.size() > 0)
        impl()->loadCorporateActionData(loader_, equities);
 
    // apply dividends now
    applyDividends(loader_->loadDividends());
 
    populateFixings(todaysMarketParameters, loaderDates);
 
    LOG("Adding the loaded fixings to the IndexManager");
    applyFixings(loader_->loadFixings());
 
    // Get set of quotes we need
    LOG("Generating market datum set");
    set<string> quotes;
    for (const auto& tmp : todaysMarketParameters) {
        // Find all configurations in this todaysMarket
        std::set<std::string> configurations;
        for (auto c : tmp->configurations())
            configurations.insert(c.first);
 
        for (const auto& [_,curveConfig] : inputs_->curveConfigs().curveConfigurations()) {
            auto qs = curveConfig->quotes(tmp, configurations);
            quotes.insert(qs.begin(), qs.end());
        }
    }
 
    for (const auto& d : loaderDates) {
        QuoteMap quoteMap;
        quoteMap[d] = quotes;
 
        LOG("CurveConfigs require " << quotes.size() << " quotes");
 
        // Get the relevant market data loader for the pricing call
        impl()->retrieveMarketData(loader_, quoteMap, d);
 
        quotes_[d] = quotes;
    }
    LOG("Got market data");
}

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populateFixings()

void populateFixings ( const std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > > &  todaysMarketParameters, const std::set< QuantLib::Date > &  loaderDates = {}  )

virtual

Definition at line 162 of file marketdataloader.cpp.

                                             {
    if (inputs_->allFixings()) {
        impl()->retrieveFixings(loader_);
    } else {
        LOG("Asking portfolio for its required fixings");
        FixingMap portfolioFixings;
        std::map<std::pair<std::string, QuantLib::Date>, std::set<QuantLib::Date>> lastAvailableFixingLookupMap;
        
        // portfolio fixings will warn if missing
        if (inputs_->portfolio()) {
            portfolioFixings = inputs_->portfolio()->fixings();
            LOG("The portfolio depends on fixings from " << portfolioFixings.size() << " indices");
            for (const auto& it : portfolioFixings)
                addRelevantFixings(it, lastAvailableFixingLookupMap);
        }
 
        LOG("Add fixings possibly required for bootstrapping TodaysMarket");
        for (const auto& tmp : todaysMarketParameters) {
            for (const auto d : loaderDates)
                addMarketFixingDates(d, fixings_, *tmp);
            LOG("Add fixing possibly required for equity index delta risk decomposition")
            additional_equity_fixings(fixings_, *tmp, inputs_->refDataManager(),
                                  inputs_->curveConfigs().get());
        }
 
        if (inputs_->eomInflationFixings()) {
            LOG("Adjust inflation fixing dates to the end of the month before the request");
            amendInflationFixingDates(fixings_);
        }
 
        if (fixings_.size() > 0)
            impl()->retrieveFixings(loader_, fixings_, lastAvailableFixingLookupMap);
        
        // apply all fixings now
        applyFixings(loader_->loadFixings());
 
        // check and warn any missing fixings - only warn for mandatory fixings
        for (const auto& [indexName, fixingDates] : fixings_) {
            for (const auto& [d, mandatory] :fixingDates) {
                if (mandatory && !loader_->hasFixing(indexName, d)) {
                    string fixingErr = "";
                    if (isFxIndex(indexName)) {
                        auto fxInd = parseFxIndex(indexName);
                        try { 
                            if(fxInd->fixingCalendar().isBusinessDay(d))
                                fxInd->fixing(d);
                            break;
                        } catch (const std::exception& e) {
                            fixingErr = ", error: " + ore::data::to_string(e.what());
                        }
                    }
                    StructuredFixingWarningMessage(indexName, d, "Missing fixing", "Could not find required fixing ID.")
                        .log();
                }
            }
        }
    }
}

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addRelevantFixings()

void addRelevantFixings ( const std::pair< std::string, RequiredFixings::FixingDates > &  fixing, std::map< std::pair< std::string, QuantLib::Date >, std::set< QuantLib::Date > > &  lastAvailableFixingLookupMap  )

virtual

Definition at line 148 of file marketdataloader.cpp.

                                                                                                  {
    if (isFxIndex(fixing.first)) {
        // for FX fixings we want to add additional fixings to allow triangulation in case of missing
        // fixings if we need EUR/GBP fixing but it is not available, we can imply from EUR/USD and GBP/USD
        additional_fx_fixings(fixing.first, fixing.second, fixings_);
    }
    if (isCommodityIndex(fixing.first)) {
        additional_commodity_fixings(fixing.first, fixing.second, fixings_, lastAvailableFixingLookupMap);
    }
    fixings_[fixing.first].addDates(fixing.second);
}

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resetLoader()

void resetLoader

(

)

clear the loader

Definition at line 87 of file marketdataloader.hpp.

{ loader_ = QuantLib::ext::make_shared<ore::data::InMemoryLoader>(); };

loader()

const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > & loader

(

)

const

getters

Definition at line 90 of file marketdataloader.hpp.

{ return loader_; };

quotes()

QuoteMap quotes

(

)

Definition at line 91 of file marketdataloader.hpp.

{ return quotes_; }

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impl()

const QuantLib::ext::shared_ptr< MarketDataLoaderImpl > & impl ( ) const

protected

Definition at line 143 of file marketdataloader.cpp.

                                                                                {
    QL_REQUIRE(impl_, "No MarketDataLoader implementation of type MarketDataLoaderImpl set");
    return impl_;
}

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Member Data Documentation

inputs_

QuantLib::ext::shared_ptr<InputParameters> inputs_

protected

Definition at line 94 of file marketdataloader.hpp.

loader_

QuantLib::ext::shared_ptr<ore::data::InMemoryLoader> loader_

protected

Definition at line 95 of file marketdataloader.hpp.

quotes_

QuoteMap quotes_

protected

Definition at line 96 of file marketdataloader.hpp.

fixings_

FixingMap fixings_

protected

Definition at line 97 of file marketdataloader.hpp.

impl_

QuantLib::ext::shared_ptr<MarketDataLoaderImpl> impl_

private

Definition at line 102 of file marketdataloader.hpp.