marketdataloader.hpp

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/*
 Copyright (C) 2022 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/app/marketdataloader.hpp
    \brief Market Data Loader
*/
 
#pragma once
 
#include <ored/marketdata/inmemoryloader.hpp>
#include <orea/app/inputparameters.hpp>
#include <ored/utilities/to_string.hpp>
 
namespace ore {
namespace analytics {
 
typedef std::map<QuantLib::Date, std::set<std::string>> QuoteMap;
typedef std::map<std::string, RequiredFixings::FixingDates> FixingMap;
 
//! Utility class for Structured Fixing warnings
class StructuredFixingWarningMessage : public StructuredMessage {
public:
    StructuredFixingWarningMessage(const std::string& fixingId, const QuantLib::Date& fixingDate,
                                   const std::string& exceptionType, const std::string& exceptionWhat)
        : StructuredMessage(Category::Warning, Group::Fixing, exceptionWhat,
                            std::map<std::string, std::string>({{"exceptionType", exceptionType},
                                                                {"fixingId", fixingId},
                                                                {"fixingDate", ore::data::to_string(fixingDate)}})) {}
};
 
class MarketDataLoaderImpl {
public:
    MarketDataLoaderImpl() {}
    virtual ~MarketDataLoaderImpl() {}
 
    //! load corporate action data
    virtual void loadCorporateActionData(QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader, 
        const std::map<std::string, std::string>& equities) = 0;
 
    //! retrieve market data
    virtual void retrieveMarketData(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader, 
        const QuoteMap& quotes,
                                    const QuantLib::Date& requestDate = QuantLib::Date()) = 0;
 
    //! retrieve fixings
    virtual void retrieveFixings(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader, FixingMap fixings = {}, 
        std::map<std::pair<std::string, QuantLib::Date>, std::set<QuantLib::Date>> lastAvailableFixingLookupMap = {}) = 0;
};
 
class MarketDataLoader {
public:
    MarketDataLoader(const QuantLib::ext::shared_ptr<InputParameters>& inputs, QuantLib::ext::shared_ptr<MarketDataLoaderImpl> impl)
        : inputs_(inputs), impl_(impl) {
        loader_ = QuantLib::ext::make_shared<ore::data::InMemoryLoader>();
    }
    virtual ~MarketDataLoader() {}
 
    /*! Populate a market data \p loader. Gathers all the quotes needed based on the configs provided and calls the
        marketdata and fixing services
    */
    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);
 
    //! clear the loader
    void resetLoader() { loader_ = QuantLib::ext::make_shared<ore::data::InMemoryLoader>(); };
 
    //! getters
    const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader() const { return loader_; };
    QuoteMap quotes() { return quotes_; }
 
protected:
    QuantLib::ext::shared_ptr<InputParameters> inputs_;
    QuantLib::ext::shared_ptr<ore::data::InMemoryLoader> loader_;
    QuoteMap quotes_;
    FixingMap fixings_;
 
    const QuantLib::ext::shared_ptr<MarketDataLoaderImpl>& impl() const;
 
private:
    QuantLib::ext::shared_ptr<MarketDataLoaderImpl> impl_;
};
 
} // namespace analytics
} // namespace ore