utilities.hpp

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/*
 Copyright (C) 2016 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/simm/utilities.hpp
    \brief supporting utilities
*/
 
#pragma once
 
#include <ored/portfolio/trade.hpp>
#include <orea/simm/simmcalibration.hpp>
#include <orea/simm/simmbucketmapper.hpp>
#include <orea/simm/simmconfiguration.hpp>
#include <ql/math/matrix.hpp>
#include <string>
#include <vector>
 
namespace ore {
namespace analytics {
 
std::vector<std::string> loadFactorList(const std::string& inputFileName, const char delim = '\n');
 
std::vector<std::vector<double>> loadScenarios(const std::string& inputFileName, const char delim = '\n');
 
QuantLib::Matrix loadCovarianceMatrix(const std::string& inputFileName, const char delim = '\n');
 
//! Ordered SIMM versions
enum class SimmVersion { V1_0, V1_1, V1_2, V1_3, V1_3_38, V2_0, V2_1, V2_2, V2_3, V2_3_8, V2_5, V2_5A, V2_6};
 
SimmVersion parseSimmVersion(const std::string& version);
 
QuantLib::ext::shared_ptr<SimmConfiguration>
buildSimmConfiguration(const std::string& simmVersion, const QuantLib::ext::shared_ptr<SimmBucketMapper>& simmBucketMapper,
                       const QuantLib::ext::shared_ptr<SimmCalibrationData>& simmCalibrationData = nullptr,
                       const QuantExt::Size& mporDays = 10);
 
//! If the input *str* is a comma seperated list the method quotation marks " if the csvQuoteChar is '\0'
//! Example:
//!  commaSeparatedListToJsonArrayString("item1,item2", '') -> "item1, item2" 
//!  commaSeparatedListToJsonArrayString("item", '') -> "item" 
std::string escapeCommaSeparatedList(const std::string& str, const char& csvQuoteChar);
 
} // namespace analytics
} // namespace ore