InMemoryLoader Class Reference

#include <ored/marketdata/inmemoryloader.hpp>

Inheritance diagram for InMemoryLoader:

Collaboration diagram for InMemoryLoader:

Public Member Functions
	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 &)

Protected Attributes
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

Definition at line 28 of file inmemoryloader.hpp.

Constructor & Destructor Documentation

InMemoryLoader()

InMemoryLoader

(

)

Definition at line 30 of file inmemoryloader.hpp.

{}

Member Function Documentation

loadQuotes()

std::vector< QuantLib::ext::shared_ptr< MarketDatum > > loadQuotes ( const QuantLib::Date &  ) const

overridevirtual

get all quotes, TODO change the return value to std::set

Implements Loader.

Definition at line 38 of file inmemoryloader.cpp.

                                                                                                    {
    auto it = data_.find(d);
    if(it == data_.end())
    return {};
    return std::vector<QuantLib::ext::shared_ptr<MarketDatum>>(it->second.begin(), it->second.end());
}

get() [1/3]

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

overridevirtual

get quote by its unique name, throws if not existent, override in derived classes for performance

Reimplemented from Loader.

Definition at line 45 of file inmemoryloader.cpp.

                                                                                                      {
    auto it = data_.find(d);
    QL_REQUIRE(it != data_.end(), "No datum for " << name << " on date " << d);
    auto it2 = it->second.find(makeDummyMarketDatum(d, name));
    QL_REQUIRE(it2 != it->second.end(), "No datum for " << name << " on date " << d);
    return *it2;
}

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get() [2/3]

std::set< QuantLib::ext::shared_ptr< MarketDatum > > get ( const std::set< std::string > &  names, const QuantLib::Date &  asof  ) const

overridevirtual

get quotes matching a set of names, this should be overridden in derived classes for performance

Reimplemented from Loader.

Definition at line 53 of file inmemoryloader.cpp.

                                                                                             {
    auto it = data_.find(asof);
    if(it == data_.end())
        return {};
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> result;
    for (auto const& n : names) {
        auto it2 = it->second.find(makeDummyMarketDatum(asof, n));
        if (it2 != it->second.end())
            result.insert(*it2);
    }
    return result;
}

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get() [3/3]

std::set< QuantLib::ext::shared_ptr< MarketDatum > > get ( const Wildcard &  wildcard, const QuantLib::Date &  asof  ) const

overridevirtual

get quotes matching a wildcard, this should be overriden in derived classes for performance

Reimplemented from Loader.

Definition at line 67 of file inmemoryloader.cpp.

                                                                                             {
    if (!wildcard.hasWildcard()) {
        // no wildcard => use get by name function
        try {
            return {get(wildcard.pattern(), asof)};
        } catch (...) {
        }
        return {};
    }
    auto it = data_.find(asof);
    if (it == data_.end())
        return {};
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> result;
    std::set<QuantLib::ext::shared_ptr<MarketDatum>>::iterator it1, it2;
    if (wildcard.wildcardPos() == 0) {
        // wildcard at first position => we have to search all of the data
        it1 = it->second.begin();
        it2 = it->second.end();
    } else {
        // search the range matching the substring of the pattern until the wildcard
        std::string prefix = wildcard.pattern().substr(0, wildcard.wildcardPos());
        it1 = it->second.lower_bound(makeDummyMarketDatum(asof, prefix));
        it2 = it->second.upper_bound(makeDummyMarketDatum(asof, prefix + "\xFF"));
    }
    for (auto it = it1; it != it2; ++it) {
        if (wildcard.isPrefix() || wildcard.matches((*it)->name()))
            result.insert(*it);
    }
    return result;
}

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loadFixings()

std::set< Fixing > loadFixings ( ) const

overridevirtual

Implements Loader.

Definition at line 37 of file inmemoryloader.hpp.

{ return fixings_; }

loadDividends()

std::set< QuantExt::Dividend > loadDividends ( ) const

overridevirtual

Optional load dividends method.

Reimplemented from Loader.

Definition at line 38 of file inmemoryloader.hpp.

{ return dividends_; }

hasQuotes()

bool hasQuotes ( const QuantLib::Date &  d ) const

overridevirtual

check if there are quotes for a date

Reimplemented from Loader.

Definition at line 99 of file inmemoryloader.cpp.

                                                          {
    auto it = data_.find(d);
    return it != data_.end();
}

add()

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

virtual

Reimplemented in AdjustedInMemoryLoader.

Definition at line 104 of file inmemoryloader.cpp.

                                                                                  {
    QuantLib::ext::shared_ptr<MarketDatum> md;
    try {
        md = parseMarketDatum(date, name, value);
    } catch (std::exception& e) {
        WLOG("Failed to parse MarketDatum " << name << ": " << e.what());
    }
    if (md != nullptr) {
        std::pair<bool, string> addFX = {true, ""};
        if (md->instrumentType() == MarketDatum::InstrumentType::FX_SPOT &&
            md->quoteType() == MarketDatum::QuoteType::RATE) {
            addFX = checkFxDuplicate(md, date);
            if (!addFX.second.empty()) {
                auto it = data_[date].find(makeDummyMarketDatum(date, addFX.second));
                TLOG("Replacing MarketDatum " << addFX.second << " with " << name << " due to FX Dominance.");
                if (it != data_[date].end())
                    data_[date].erase(it);
            }
        }
        if (addFX.first && data_[date].insert(md).second) {
            TLOG("Added MarketDatum " << name);
        } else if (!addFX.first) {
            WLOG("Skipped MarketDatum " << name << " - dominant FX already present.")
        } else {
            WLOG("Skipped MarketDatum " << name << " - this is already present.");
        }
    }
}

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addFixing()

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

virtual

Reimplemented in AdjustedInMemoryLoader.

Definition at line 133 of file inmemoryloader.cpp.

                                                                                        {
    if (!fixings_.insert(Fixing(date, name, value)).second) {
        WLOG("Skipped Fixing " << name << "@" << QuantLib::io::iso_date(date) << " - this is already present.");
    }
}

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addDividend()

void addDividend ( const QuantExt::Dividend &  dividend )

virtual

Definition at line 139 of file inmemoryloader.cpp.

                                                                 {
    if (!dividends_.insert(dividend).second) {
        WLOG("Skipped Dividend " << dividend.name << "@" << QuantLib::io::iso_date(dividend.exDate) << " - this is already present.");
    }
}

reset()

void reset

(

)

Definition at line 145 of file inmemoryloader.cpp.

                           {
    data_.clear();
    fixings_.clear();
    dividends_.clear();
    actualDate_ = Date();
}

Member Data Documentation

data_

std::map<QuantLib::Date, std::set<QuantLib::ext::shared_ptr<MarketDatum>, SharedPtrMarketDatumComparator> > data_

protected

Definition at line 54 of file inmemoryloader.hpp.

fixings_

std::set<Fixing> fixings_

protected

Definition at line 55 of file inmemoryloader.hpp.

dividends_

std::set<QuantExt::Dividend> dividends_

protected

Definition at line 56 of file inmemoryloader.hpp.