Loader Class Reference

Market data loader base class. More...

#include <ored/marketdata/loader.hpp>

Inheritance diagram for Loader:

Collaboration diagram for Loader:

Public Member Functions
virtual	~Loader ()

Interface
class	boost::serialization::access
	Serialization. More...
Date	actualDate_ = Date()
virtual std::vector< QuantLib::ext::shared_ptr< MarketDatum > >	loadQuotes (const QuantLib::Date &) const =0
	get all quotes, TODO change the return value to std::set More...
virtual QuantLib::ext::shared_ptr< MarketDatum >	get (const std::string &name, const QuantLib::Date &d) const
	get quote by its unique name, throws if not existent, override in derived classes for performance More...
virtual std::set< QuantLib::ext::shared_ptr< MarketDatum > >	get (const std::set< std::string > &names, const QuantLib::Date &asof) const
	get quotes matching a set of names, this should be overridden in derived classes for performance More...
virtual std::set< QuantLib::ext::shared_ptr< MarketDatum > >	get (const Wildcard &wildcard, const QuantLib::Date &asof) const
	get quotes matching a wildcard, this should be overriden in derived classes for performance More...
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 bool	hasQuotes (const QuantLib::Date &d) const
	check if there are quotes for a date More...
virtual QuantLib::ext::shared_ptr< MarketDatum >	get (const std::pair< std::string, bool > &name, const QuantLib::Date &d) const
virtual std::set< Fixing >	loadFixings () const =0
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...
virtual std::set< QuantExt::Dividend >	loadDividends () const
	Optional load dividends method. More...
void	setActualDate (const QuantLib::Date &d)
const Date &	actualDate () const
std::pair< bool, string >	checkFxDuplicate (const ext::shared_ptr< MarketDatum >, const QuantLib::Date &)
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Detailed Description

Market data loader base class.

Definition at line 47 of file loader.hpp.

Constructor & Destructor Documentation

~Loader()

virtual ~Loader ( )

virtual

Definition at line 49 of file loader.hpp.

{}

Member Function Documentation

loadQuotes()

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

pure virtual

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

Implemented in CSVLoader, CompositeLoader, and InMemoryLoader.

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get() [1/4]

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

virtual

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

Reimplemented in CompositeLoader, CSVLoader, and InMemoryLoader.

Definition at line 24 of file loader.cpp.

                                                                                                 {
    for (const auto& md : loadQuotes(d)) {
        if (md->name() == name)
            return md;
    }
    QL_FAIL("No MarketDatum for name " << name << " and date " << d);
}

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get() [2/4]

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

virtual

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

Reimplemented in CompositeLoader, CSVLoader, and InMemoryLoader.

Definition at line 32 of file loader.cpp.

                                                                                     {
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> result;
    for (auto const& md : loadQuotes(asof)) {
        if (names.find(md->name()) != names.end()) {
            result.insert(md);
        }
    }
    return result;
}

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get() [3/4]

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

virtual

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

Reimplemented in CompositeLoader, CSVLoader, and InMemoryLoader.

Definition at line 43 of file loader.cpp.

                                                                                                               {
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> result;
    for (auto const& md : loadQuotes(asof)) {
        if (wildcard.matches(md->name())) {
            result.insert(md);
        }
    }
    return result;
}

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has()

bool has ( const std::string &  name, const QuantLib::Date &  d  ) const

virtual

Default implementation, returns false if get throws or returns a null pointer.

Reimplemented in CompositeLoader.

Definition at line 53 of file loader.cpp.

                                                                   {
    try {
        return get(name, d) != nullptr;
    } catch (...) {
        return false;
    }
}

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hasQuotes()

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

virtual

check if there are quotes for a date

Reimplemented in InMemoryLoader.

Definition at line 61 of file loader.cpp.

                                                  {
    try {
        return !loadQuotes(d).empty();
    } catch (...) {
        return false;
    }
}

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get() [4/4]

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

virtual

Default implementation for get that allows for the market data item to be optional. The first element of the name pair is the name of the market point being sought and the second element of the name pair is a flag to indicate if the market data point is optional, true, or not, false.

• if the quote is in the loader for date d, it is returned
• if the quote is not in the loader for date d and it is optional, a warning is logged and a QuantLib::ext::shared_ptr<MarketDatum>() is returned
• if the quote is not in the loader for date d and it is not optional, an exception is thrown

Definition at line 69 of file loader.cpp.

                                                                                                                {
    if (has(name.first, d)) {
        return get(name.first, d);
    } else {
        const Date& originalDate = actualDate() == Null<Date>() ? d : actualDate();
        if (name.second) {
            DLOG("Could not find quote for ID " << name.first << " with as of date " << QuantLib::io::iso_date(originalDate)
                                                << ".");
            return QuantLib::ext::shared_ptr<MarketDatum>();
        } else {
            QL_FAIL("Could not find quote for Mandatory ID " << name.first << " with as of date "
                                                             << QuantLib::io::iso_date(originalDate));
        }
    }
}

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loadFixings()

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

pure virtual

Implemented in CompositeLoader, CSVLoader, and InMemoryLoader.

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hasFixing()

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

virtual

Definition at line 100 of file loader.cpp.

                                                                      {
    try {
        return !getFixing(name, d).empty();
    } catch (...) {
        return false;
    }
}

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getFixing()

Fixing getFixing ( const string &  name, const QuantLib::Date &  d  ) const

virtual

Default implementation for getFixing.

Definition at line 108 of file loader.cpp.

                                                                        {
    Fixing fixing;
    for (auto const& f : loadFixings()) {
        if (f.name == name && f.date == d) {
            fixing = f;
        }
    }
    return fixing;
}

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loadDividends()

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

virtual

Optional load dividends method.

Reimplemented in CompositeLoader, CSVLoader, and InMemoryLoader.

Definition at line 118 of file loader.cpp.

{ return {}; }

setActualDate()

void setActualDate

(

const QuantLib::Date &

d

)

Definition at line 94 of file loader.hpp.

{ actualDate_ = d; }

actualDate()

const Date & actualDate

(

)

const

Definition at line 95 of file loader.hpp.

{ return actualDate_; }

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checkFxDuplicate()

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

Definition at line 85 of file loader.cpp.

                                                                                                         {
    string cc1 = ext::dynamic_pointer_cast<FXSpotQuote>(md)->unitCcy();
    string cc2 = ext::dynamic_pointer_cast<FXSpotQuote>(md)->ccy();
    string tmp = "FX/RATE/" + cc2 + "/" + cc1;
    if (Loader::has(tmp, d)) {
        string dom = fxDominance(cc1, cc2);
        if (dom == (cc1 + cc2)) {
            return {true, tmp};
        } else {
            return {false, ""};
        }
    }
    return {true, ""};
}

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serialize()

void serialize ( Archive &  ar, const unsigned int  version  )

private

Definition at line 102 of file loader.hpp.

{}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 101 of file loader.hpp.

Member Data Documentation

actualDate_

Date actualDate_ = Date()

protected

For lagged market data, where we need to take data from a different date but want to treat it as belonging to the valuation date.

Definition at line 108 of file loader.hpp.