fixingmanager.hpp

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/*
 Copyright (C) 2017 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file orea/simulation/fixingmanager.hpp
 \brief Controls the updating/reset of the QuantLib::IndexManager
 \ingroup simulation
 */
#pragma once
 
#include <ored/marketdata/market.hpp>
#include <ored/portfolio/portfolio.hpp>
 
namespace ore {
namespace analytics {
using namespace QuantLib;
using ore::data::Market;
using ore::data::Portfolio;
 
namespace detail {
struct IndexComparator {
    bool operator()(const QuantLib::ext::shared_ptr<Index>& a, const QuantLib::ext::shared_ptr<Index>& b) const {
        return a->name() < b->name();
    }
};
} // namespace detail
 
//! Pseudo Fixings Manager
/*!
  A Pseudo Fixing is a future historical fixing. When pricing on T0 but asof T and we require a fixing on t with
  T0 < t < T then the QuantLib pricing engines will look to the IndexManager for a fixing at t.
 
  When moving between dates and simulation paths then the Fixings can change and should be populated in a path
  consistent manner
 
  The FixingManager controls this updating and reset of the QuantLib::IndexManager for the required set of fixings
 
  When stepping between simulation dated t_(n-1) and t_(n) and update a fixing t with t_(n-1) < t < t(n) than the fixing
  from t(n) will be backfilled. There is currently no interpolation of fixings.
 
  \ingroup simulation
 */
class FixingManager {
public:
    explicit FixingManager(Date today);
    virtual ~FixingManager() {}
 
    //! Initialise the manager with these flows and indices from the given portfolio
    void initialise(const QuantLib::ext::shared_ptr<Portfolio>& portfolio, const QuantLib::ext::shared_ptr<Market>& market,
                    const std::string& configuration = Market::defaultConfiguration);
 
    //! Update fixings to date d
    void update(Date d);
 
    //! Reset fixings to t0 (today)
    void reset();
 
    //! Cashflow handler type definitions
 
    using FixingMap = std::map<QuantLib::ext::shared_ptr<Index>, std::set<Date>, detail::IndexComparator>;
 
private:
    void applyFixings(Date start, Date end);
 
    Date today_, fixingsEnd_;
    bool modifiedFixingHistory_;
 
    using FixingCache = std::map<QuantLib::ext::shared_ptr<Index>, TimeSeries<Real>, detail::IndexComparator>;
 
    FixingMap fixingMap_;
    FixingCache fixingCache_;
};
 
} // namespace analytics
} // namespace ore