TodaysMarketParameters Class Reference

Today's Market Parameters. More...

#include <ored/marketdata/todaysmarketparameters.hpp>

Inheritance diagram for TodaysMarketParameters:

Collaboration diagram for TodaysMarketParameters:

Public Member Functions
	TodaysMarketParameters ()
	Default constructor. More...
Inspectors
const vector< pair< string, MarketConfiguration > > &	configurations () const
bool	hasConfiguration (const string &configuration) const
bool	hasMarketObject (const MarketObject &o) const
const map< string, string > &	mapping (const MarketObject o, const string &configuration) const
	EUR => Yield/EUR/EUR6M, USD => Yield/USD/USD3M etc. More...
map< string, string > &	mappingReference (const MarketObject o, const string &configuration)
	return a mapping reference for modification More...
vector< string >	curveSpecs (const string &configuration) const
	Build a vector of all the curve specs (may contain duplicates) More...
string	marketObjectId (const MarketObject o, const string &configuration) const
	Intermediate id for a given market object and configuration, see the description of configurations_ below. More...
void	clear ()
	Clear the contents. More...
bool	empty ()
	Check if any parameters. More...
Setters
void	addConfiguration (const string &name, const MarketConfiguration &configuration)
void	addMarketObject (const MarketObject o, const string &id, const map< string, string > &assignments)
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...

Serialisation
vector< pair< string, MarketConfiguration > >	configurations_
map< MarketObject, map< string, map< string, string > > >	marketObjects_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	curveSpecs (const map< string, map< string, string > > &, const string &, vector< string > &) const

Detailed Description

Today's Market Parameters.

This class is a container of instructions (all text) for how to build a market object.

An instance of this object is needed in order to call a TodaysMarket constructor.

Definition at line 78 of file todaysmarketparameters.hpp.

Constructor & Destructor Documentation

TodaysMarketParameters()

TodaysMarketParameters

(

)

Default constructor.

Definition at line 81 of file todaysmarketparameters.hpp.

{}

Member Function Documentation

configurations()

const vector< pair< string, MarketConfiguration > > & configurations

(

)

const

Definition at line 155 of file todaysmarketparameters.hpp.

                                                                                                     {
    return configurations_;
}

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hasConfiguration()

bool hasConfiguration

(

const string &

configuration

)

const

Definition at line 159 of file todaysmarketparameters.hpp.

                                                                                      {
    auto it = find_if(configurations_.begin(), configurations_.end(),
                      [&configuration](const pair<string, MarketConfiguration>& s) { return s.first == configuration; });
    return it != configurations_.end();
}

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hasMarketObject()

bool hasMarketObject

(

const MarketObject &

o

)

const

Definition at line 165 of file todaysmarketparameters.hpp.

                                                                               {
    auto it = marketObjects_.find(o);
    return it != marketObjects_.end();
}

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mapping()

const map< string, string > & mapping	(	const MarketObject	o,
		const string &	configuration
	)		const

EUR => Yield/EUR/EUR6M, USD => Yield/USD/USD3M etc.

Definition at line 325 of file todaysmarketparameters.cpp.

                                                                                                                  {
    static map<string, string> empty;
    QL_REQUIRE(hasConfiguration(configuration), "configuration " << configuration << " not found");
    auto it = marketObjects_.find(o);
    if (it != marketObjects_.end()) {
        auto it2 = it->second.find(marketObjectId(o, configuration));
        if (it2 != it->second.end()) {
            return it2->second;
        }
    }
    return empty;
}

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mappingReference()

map< string, string > & mappingReference	(	const MarketObject	o,
		const string &	configuration
	)

return a mapping reference for modification

Definition at line 338 of file todaysmarketparameters.cpp.

                                                                                                               {
    QL_REQUIRE(hasConfiguration(configuration), "configuration " << configuration << " not found");
    auto it = marketObjects_.find(o);
    if (it != marketObjects_.end()) {
        auto it2 = it->second.find(marketObjectId(o, configuration));
        if (it2 != it->second.end()) {
            return it2->second;
        } else {
        return it->second[marketObjectId(o, configuration)];
        }
    } else {
        return marketObjects_[o][marketObjectId(o, configuration)];
    }
}

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curveSpecs() [1/2]

vector< string > curveSpecs

(

const string &

configuration

)

const

Build a vector of all the curve specs (may contain duplicates)

Definition at line 267 of file todaysmarketparameters.cpp.

                                                                                   {
    vector<string> specs;
    for (Size i = 0; i < marketObjectData.size(); ++i) {
        MarketObject mo = marketObjectData[i].obj;
        // swap indices have to be excluded here...
        if (mo != MarketObject::SwapIndexCurve && marketObjects_.find(mo) != marketObjects_.end()) {
            curveSpecs(marketObjects_.at(mo), marketObjectId(mo, configuration), specs);
        }
    }
    return specs;
}

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marketObjectId()

string marketObjectId	(	const MarketObject	o,
		const string &	configuration
	)		const

Intermediate id for a given market object and configuration, see the description of configurations_ below.

Definition at line 170 of file todaysmarketparameters.hpp.

                                                                                                            {
    QL_REQUIRE(hasConfiguration(configuration), "configuration " << configuration << " not found");
    auto it = find_if(configurations_.begin(), configurations_.end(),
                      [&configuration](const pair<string, MarketConfiguration>& s) { return s.first == configuration; });
    return it->second(o);
}

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clear()

void clear

(

)

Clear the contents.

Definition at line 130 of file todaysmarketparameters.cpp.

                                   {
    // clear data members
    configurations_.clear();
    marketObjects_.clear();
}

empty()

bool empty

(

)

Check if any parameters.

Definition at line 136 of file todaysmarketparameters.cpp.

                                   { 
    return marketObjects_.size() == 0;
}

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addConfiguration()

void addConfiguration	(	const string &	name,
		const MarketConfiguration &	configuration
	)

Definition at line 120 of file todaysmarketparameters.cpp.

                                                                                                        {
    if (hasConfiguration(id)) {
        auto it =
            find_if(configurations_.begin(), configurations_.end(),
                    [&id](const pair<string, MarketConfiguration>& s) { return s.first == id; });
        it->second.add(configuration);
    } else 
        configurations_.push_back(make_pair(id, configuration));
}

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addMarketObject()

void addMarketObject	(	const MarketObject	o,
		const string &	id,
		const map< string, string > &	assignments
	)

Definition at line 279 of file todaysmarketparameters.cpp.

                                                                                     {
 
    // check that we do not have an inconsistent mapping within one market object
    auto mo = marketObjects_.find(o);
    if (mo != marketObjects_.end()) {
        auto mp = mo->second.find(id);
        if (mp != mo->second.end()) {
            for (auto const& m : mp->second) {
                auto a = assignments.find(m.first);
                if (a != assignments.end()) {
                    QL_REQUIRE(m.first != a->first || m.second == a->second,
                               "TodaysMarketParameters, inconsistent mapping is added for market object type "
                                   << o << ", id " << id << ": " << a->first << " " << a->second << ", but have "
                                   << m.first << " " << m.second << " already.");
                }
            }
        }
    }
 
    // check that we do not have an overlap of names for yield curves and index curves
    if (o == MarketObject::YieldCurve || o == MarketObject::IndexCurve) {
        auto mo =
            marketObjects_.find(o == MarketObject::YieldCurve ? MarketObject::IndexCurve : MarketObject::YieldCurve);
        if (mo != marketObjects_.end()) {
            auto mp = mo->second.find(id);
            if (mp != mo->second.end()) {
                for (auto const& m : mp->second) {
                    auto a = assignments.find(m.first);
                    QL_REQUIRE(a == assignments.end(),
                               "TodaysMarketParameters, overlap between YieldCurve and IndexCurve names, try to add "
                               "mapping for market object type "
                                   << o << ", id " << id << ": " << a->first << " " << a->second << ", but have "
                                   << m.first << " " << m.second << " already in other market object's mapping");
                }
            }
        }
    }
 
    // add the mapping
    marketObjects_[o][id].insert(assignments.begin(), assignments.end());
    for (auto s : assignments)
        DLOG("TodaysMarketParameters, add market objects of type " << o << ": " << id << " " << s.first << " "
                                                                   << s.second);
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 140 of file todaysmarketparameters.cpp.

                                                  {
 
    // add default configuration if we do not have one (may be overwritten below)
    if (!hasConfiguration(Market::defaultConfiguration))
        addConfiguration(Market::defaultConfiguration, MarketConfiguration());
 
    // fill data from XML
    XMLUtils::checkNode(node, "TodaysMarket");
    XMLNode* n = XMLUtils::getChildNode(node);
    while (n) {
        if (XMLUtils::getNodeName(n) == "Configuration") {
            MarketConfiguration tmp;
            for (Size i = 0; i < marketObjectData.size(); ++i) {
                tmp.setId(marketObjectData[i].obj,
                          XMLUtils::getChildValue(n, marketObjectData[i].xmlName + "Id", false));
                addConfiguration(XMLUtils::getAttribute(n, "id"), tmp);
            }
        } else {
            Size i = 0;
            for (; i < marketObjectData.size(); ++i) {
                if (XMLUtils::getNodeName(n) == marketObjectData[i].xmlName) {
                    string id = XMLUtils::getAttribute(n, "id");
                    if (id == "")
                        id = Market::defaultConfiguration;
                    // The XML schema for swap indices is different ...
                    if (marketObjectData[i].obj == MarketObject::SwapIndexCurve) {
                        vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(n, marketObjectData[i].xmlSingleName.first);
                        map<string, string> swapIndices;
                        for (XMLNode* xn : nodes) {
                            string name = XMLUtils::getAttribute(xn, marketObjectData[i].xmlSingleName.second);
                            QL_REQUIRE(name != "", "no name given for SwapIndex");
                            QL_REQUIRE(swapIndices.find(name) == swapIndices.end(),
                                       "Duplicate SwapIndex found for " << name);
                            string disc = XMLUtils::getChildValue(xn, "Discounting", true);
                            swapIndices[name] = disc; //.emplace(name, { ibor, disc }); won't work?
                        }
                        addMarketObject(MarketObject::SwapIndexCurve, id, swapIndices);
 
                    } else {
                        auto mp =
                            XMLUtils::getChildrenAttributesAndValues(n, marketObjectData[i].xmlSingleName.first,
                                                                     marketObjectData[i].xmlSingleName.second, false);
            // deprecated attribute currency for capfloor vols and swaption vols
                        if (marketObjectData[i].obj == MarketObject::CapFloorVol ||
                            marketObjectData[i].obj == MarketObject::SwaptionVol) {
                            auto mp2 = XMLUtils::getChildrenAttributesAndValues(
                                n, marketObjectData[i].xmlSingleName.first, "currency", false);
                            if (!mp2.empty()) {
                                mp.insert(mp2.begin(), mp2.end());
                                WLOG("TodaysMarketParameters: the attribute 'currency' is deprecated for '" +
                                     marketObjectData[i].xmlName + "', use 'key' instead.");
                            }
                        }
                        Size nc = XMLUtils::getChildrenNodes(n, "").size();
                        QL_REQUIRE(mp.size() == nc, "TodaysMarketParameters::fromXML(): possible duplicate entry in node " 
                            << marketObjectData[i].xmlName << ", check for XMLUtils warnings.");
                        addMarketObject(marketObjectData[i].obj, id, mp);
                    }
                    break;
                }
            }
            QL_REQUIRE(i < marketObjectData.size(),
                       "TodaysMarketParameters::fromXML(): node not recognized: " << XMLUtils::getNodeName(n));
        }
        n = XMLUtils::getNextSibling(n);
    } // while(n)
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 208 of file todaysmarketparameters.cpp.

                                                             {
 
    XMLNode* todaysMarketNode = doc.allocNode("TodaysMarket");
 
    // configurations
    if (configurations_.size() > 0) {
        for (auto iterator = configurations_.begin(); iterator != configurations_.end(); iterator++) {
            XMLNode* configurationsNode = XMLUtils::addChild(doc, todaysMarketNode, "Configuration");
            XMLUtils::addAttribute(doc, configurationsNode, "id", iterator->first.c_str());
            for (Size i = 0; i < marketObjectData.size(); ++i) {
                XMLUtils::addChild(doc, configurationsNode, marketObjectData[i].xmlName + "Id",
                                   iterator->second(marketObjectData[i].obj)); // Added the "Id" for schema test
            }
        }
    }
 
    for (Size i = 0; i < marketObjectData.size(); ++i) {
        if (marketObjects_.find(marketObjectData[i].obj) != marketObjects_.end()) {
            auto mapping = marketObjects_.at(marketObjectData[i].obj);
            for (auto mappingSetIterator = mapping.begin(); mappingSetIterator != mapping.end(); mappingSetIterator++) {
 
                XMLNode* node = XMLUtils::addChild(doc, todaysMarketNode, marketObjectData[i].xmlName);
                XMLUtils::addAttribute(doc, node, "id", mappingSetIterator->first.c_str());
 
                for (auto singleMappingIterator = mappingSetIterator->second.begin();
                     singleMappingIterator != mappingSetIterator->second.end(); singleMappingIterator++) {
                    // Again, swap indices are different...
                    if (marketObjectData[i].obj == MarketObject::SwapIndexCurve) {
                        XMLNode* swapIndexNode = XMLUtils::addChild(doc, node, marketObjectData[i].xmlSingleName.first);
                        XMLUtils::addAttribute(doc, swapIndexNode, marketObjectData[i].xmlSingleName.second,
                                               singleMappingIterator->first.c_str());
                        XMLUtils::addChild(doc, swapIndexNode, "Discounting",
                                           (string)singleMappingIterator->second.c_str());
                    } else {
                        XMLNode* singleMappingNode =
                            doc.allocNode(marketObjectData[i].xmlSingleName.first, singleMappingIterator->second);
                        XMLUtils::appendNode(node, singleMappingNode);
                        XMLUtils::addAttribute(doc, singleMappingNode, marketObjectData[i].xmlSingleName.second,
                                               singleMappingIterator->first);
                    }
                }
            }
        }
    }
    return todaysMarketNode;
}

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curveSpecs() [2/2]

void curveSpecs ( const map< string, map< string, string > > &  m, const string &  id, vector< string > &  specs  ) const

private

Definition at line 255 of file todaysmarketparameters.cpp.

                                                                     {
    // extract all the curve specs
    auto it = m.find(id);
    if (it != m.end()) {
        for (auto kv : it->second) {
            specs.push_back(kv.second);
            DLOG("Add spec " << kv.second);
        }
    }
}

Member Data Documentation

configurations_

vector<pair<string, MarketConfiguration> > configurations_

private

Definition at line 136 of file todaysmarketparameters.hpp.

marketObjects_

map<MarketObject, map<string, map<string, string> > > marketObjects_

private

Definition at line 148 of file todaysmarketparameters.hpp.