An Adjusted In Memory Loader,. More...

#include <ored/marketdata/adjustedinmemoryloader.hpp>

Inheritance diagram for AdjustedInMemoryLoader:

Collaboration diagram for AdjustedInMemoryLoader:

Public Member Functions
	AdjustedInMemoryLoader (const ore::data::AdjustmentFactors &factors)

virtual void	add (QuantLib::Date date, const std::string &name, QuantLib::Real value) override

virtual void	addFixing (QuantLib::Date date, const std::string &name, QuantLib::Real value) override

ore::data::AdjustmentFactors	adjustmentFactors () const

Public Member Functions inherited from InMemoryLoader
	InMemoryLoader ()

std::vector< QuantLib::ext::shared_ptr< MarketDatum > >	loadQuotes (const QuantLib::Date &d) const override
	get all quotes, TODO change the return value to std::set More...

QuantLib::ext::shared_ptr< MarketDatum >	get (const string &name, const QuantLib::Date &d) const override
	get quote by its unique name, throws if not existent, override in derived classes for performance More...

std::set< QuantLib::ext::shared_ptr< MarketDatum > >	get (const std::set< std::string > &names, const QuantLib::Date &asof) const override
	get quotes matching a set of names, this should be overridden in derived classes for performance More...

std::set< QuantLib::ext::shared_ptr< MarketDatum > >	get (const Wildcard &wildcard, const QuantLib::Date &asof) const override
	get quotes matching a wildcard, this should be overriden in derived classes for performance More...

std::set< Fixing >	loadFixings () const override

std::set< QuantExt::Dividend >	loadDividends () const override
	Optional load dividends method. More...

bool	hasQuotes (const QuantLib::Date &d) const override
	check if there are quotes for a date More...

virtual void	add (QuantLib::Date date, const string &name, QuantLib::Real value)

virtual void	addFixing (QuantLib::Date date, const string &name, QuantLib::Real value)

virtual void	addDividend (const QuantExt::Dividend &dividend)

void	reset ()

Public Member Functions inherited from Loader
virtual	~Loader ()

virtual bool	has (const std::string &name, const QuantLib::Date &d) const
	Default implementation, returns false if get throws or returns a null pointer. More...

virtual QuantLib::ext::shared_ptr< MarketDatum >	get (const std::pair< std::string, bool > &name, const QuantLib::Date &d) const

virtual bool	hasFixing (const string &name, const QuantLib::Date &d) const

virtual Fixing	getFixing (const string &name, const QuantLib::Date &d) const
	Default implementation for getFixing. More...

void	setActualDate (const QuantLib::Date &d)

const Date &	actualDate () const

std::pair< bool, string >	checkFxDuplicate (const ext::shared_ptr< MarketDatum >, const QuantLib::Date &)

Private Attributes
ore::data::AdjustmentFactors	factors_

Additional Inherited Members
Protected Attributes inherited from InMemoryLoader
std::map< QuantLib::Date, std::set< QuantLib::ext::shared_ptr< MarketDatum >, SharedPtrMarketDatumComparator > >	data_

std::set< Fixing >	fixings_

std::set< QuantExt::Dividend >	dividends_

Protected Attributes inherited from Loader
Date	actualDate_ = Date()

Detailed Description

An Adjusted In Memory Loader,.

Definition at line 29 of file adjustedinmemoryloader.hpp.

Constructor & Destructor Documentation

◆ AdjustedInMemoryLoader()

AdjustedInMemoryLoader ( const ore::data::AdjustmentFactors & factors )

Definition at line 31 of file adjustedinmemoryloader.hpp.

31: factors_(factors){};

ore::data::AdjustedInMemoryLoader::factors_

ore::data::AdjustmentFactors factors_

Definition: adjustedinmemoryloader.hpp:42

Member Function Documentation

◆ add()

void add	(	QuantLib::Date	date,
		const std::string &	name,
		QuantLib::Real	value
	)

overridevirtual

Reimplemented from InMemoryLoader.

Definition at line 24 of file adjustedinmemoryloader.cpp.

                                                                          {
    Real factor = 1.0;
    try {
        auto datum = parseMarketDatum(date, name, Null<Real>());
        if (auto eqDatum = QuantLib::ext::dynamic_pointer_cast<EquitySpotQuote>(datum))
            factor = factors_.getFactor(eqDatum->eqName(), date);
        else if (auto eqDatum = QuantLib::ext::dynamic_pointer_cast<EquityForwardQuote>(datum))
            factor = factors_.getFactor(eqDatum->eqName(), date);        
    } catch (const std::exception& e) {
        DLOG("AdjustedInMemoryLoader failure on " << name << ": " << e.what());
    }
    InMemoryLoader::add(date, name, value * factor);
}

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◆ addFixing()

void addFixing	(	QuantLib::Date	date,
		const std::string &	name,
		QuantLib::Real	value
	)

overridevirtual

Reimplemented from InMemoryLoader.

Definition at line 38 of file adjustedinmemoryloader.cpp.

                                                                                {
    Real factor = 1.0;
    try {
        auto ind = parseEquityIndex(name);
        factor = factors_.getFactor(ind->name(), date);
    } catch (...) {
    }
    InMemoryLoader::addFixing(date, name, value * factor);
}

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◆ adjustmentFactors()

ore::data::AdjustmentFactors adjustmentFactors ( ) const

Definition at line 39 of file adjustedinmemoryloader.hpp.

39{ return factors_; }

Member Data Documentation

◆ factors_

ore::data::AdjustmentFactors factors_

private

Definition at line 42 of file adjustedinmemoryloader.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members