AdjustmentFactors Class Reference

Class to hold market data adjustment factors - for example equity stock splits. More...

#include <ored/marketdata/adjustmentfactors.hpp>

Inheritance diagram for AdjustmentFactors:

Collaboration diagram for AdjustmentFactors:

Public Member Functions
	AdjustmentFactors (QuantLib::Date asof)
bool	hasFactor (const std::string &name) const
	Check if we have any adjustment factors for a name. More...
QuantLib::Real	getFactor (const std::string &name, const QuantLib::Date &d) const
	Returns the adjustment factor for a name on a given date. More...
void	addFactor (std::string name, QuantLib::Date d, QuantLib::Real factor)
	Add an adjustment factor. More...
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Serilaisation
QuantLib::Date	asof_
	Asof date - only apply adjustments before this date. More...
std::map< std::string, std::vector< std::pair< QuantLib::Date, QuantLib::Real > > >	data_
	Map of names to adjustment factors. More...
virtual void	fromXML (ore::data::XMLNode *node) override
virtual ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override
std::set< std::string >	names () const
	names with adjustment factors More...
std::set< QuantLib::Date >	dates (const std::string &name) const
	dates with contributions to an adjustment factor for a name More...
QuantLib::Real	getFactorContribution (const std::string &name, const QuantLib::Date &d) const
	gets the contribution to an adjustment factor for a name on a given date More...

Detailed Description

Class to hold market data adjustment factors - for example equity stock splits.

Definition at line 28 of file adjustmentfactors.hpp.

Constructor & Destructor Documentation

AdjustmentFactors()

AdjustmentFactors

(

QuantLib::Date

asof

)

Definition at line 30 of file adjustmentfactors.hpp.

: asof_(asof){};

Member Function Documentation

hasFactor()

bool hasFactor

(

const std::string &

name

)

const

Check if we have any adjustment factors for a name.

Definition at line 26 of file adjustmentfactors.cpp.

{ return data_.find(name) != data_.end(); }

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getFactor()

Real getFactor	(	const std::string &	name,
		const QuantLib::Date &	d
	)		const

Returns the adjustment factor for a name on a given date.

Definition at line 28 of file adjustmentfactors.cpp.

                                                                                 {
    Real baseFactor = 1.0;
    // If no adjustments return a factor of 1
    if (!hasFactor(name))
        return baseFactor;
 
    // for the given name loop through all the adjustments
    // adjustments are applied backwards to a time series, 
    // if the date is before asof date:
    // we multiply by the factor from any future adjustments but before the asof date,
    // this ensures all data is on the same scale at the asof date
    // if date is after asof date:
    // we divide by the factor from any historical adjustments between asof and date
    for (auto f : data_.at(name)) {
        if (d < f.first && asof_ > f.first) {
            baseFactor = baseFactor * f.second;
        }
        if (asof_ < f.first && f.first <= d) {
            baseFactor = baseFactor / f.second;
        }
    }
    return baseFactor;
}

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addFactor()

void addFactor	(	std::string	name,
		QuantLib::Date	d,
		QuantLib::Real	factor
	)

Add an adjustment factor.

Definition at line 52 of file adjustmentfactors.cpp.

                                                                          {
    data_[name].push_back(std::pair<Date, Real>(d, factor));
}

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fromXML()

void fromXML ( ore::data::XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 56 of file adjustmentfactors.cpp.

                                             {
    XMLUtils::checkNode(node, "AdditionalData");
 
    XMLNode* childNode = XMLUtils::locateNode(node, "AdjustmentFactors");
    for (XMLNode* child = XMLUtils::getChildNode(childNode); child; child = XMLUtils::getNextSibling(child)) {
 
        Date date = parseDate(XMLUtils::getChildValue(child, "Date", true));
        std::string quote = XMLUtils::getChildValue(child, "Quote", true);
        Real factor = XMLUtils::getChildValueAsDouble(child, "Factor", true);
 
        addFactor(quote, date, factor);
    }
}

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toXML()

XMLNode * toXML ( ore::data::XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 70 of file adjustmentfactors.cpp.

                                                               {
    XMLNode* node = doc.allocNode("AdjustmentFactors");
    for (auto d : data_) {
        for (auto f : d.second) {
            XMLNode* factorNode = XMLUtils::addChild(doc, node, "AdjustmentFactor");
            XMLUtils::addChild(doc, factorNode, "Date", ore::data::to_string(f.first));
            XMLUtils::addChild(doc, factorNode, "Quote", d.first);
            XMLUtils::addChild(doc, factorNode, "Factor", f.second);
        }
    }
    return node;
}

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names()

std::set< std::string > names

(

)

const

names with adjustment factors

Definition at line 83 of file adjustmentfactors.cpp.

                                                 {
    std::set<std::string> result;
    for (auto const& m : data_)
        result.insert(m.first);
    return result;
}

dates()

std::set< QuantLib::Date > dates

(

const std::string &

name

)

const

dates with contributions to an adjustment factor for a name

Definition at line 90 of file adjustmentfactors.cpp.

                                                                         {
    std::set<QuantLib::Date> result;
    auto d = data_.find(name);
    if (d != data_.end()) {
        for (auto const& m : d->second)
            result.insert(m.first);
    }
    return result;
}

getFactorContribution()

QuantLib::Real getFactorContribution	(	const std::string &	name,
		const QuantLib::Date &	d
	)		const

gets the contribution to an adjustment factor for a name on a given date

Definition at line 100 of file adjustmentfactors.cpp.

                                                                                                        {
    auto adj = data_.find(name);
    if (adj != data_.end()) {
        auto it = std::find_if(adj->second.begin(), adj->second.end(),
                               [&d](const std::pair<QuantLib::Date, QuantLib::Real>& m) { return m.first == d; });
        if (it != adj->second.end())
            return it->second;
    }
    return 1.0;
}

Member Data Documentation

asof_

QuantLib::Date asof_

private

Asof date - only apply adjustments before this date.

Definition at line 54 of file adjustmentfactors.hpp.

data_

std::map<std::string, std::vector<std::pair<QuantLib::Date, QuantLib::Real> > > data_

private

Map of names to adjustment factors.

Definition at line 56 of file adjustmentfactors.hpp.