compositeloader.hpp

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/*
 Copyright (C) 2019 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/marketdata/compositeloader.hpp
    \brief Loader that is a composite of two loaders
    \ingroup marketdata
*/
 
#pragma once
 
#include <ql/shared_ptr.hpp>
#include <ored/marketdata/loader.hpp>
 
namespace ore {
namespace data {
 
class CompositeLoader : public Loader {
public:
    CompositeLoader(const QuantLib::ext::shared_ptr<Loader>& a, const QuantLib::ext::shared_ptr<Loader>& b) : a_(a), b_(b) {
        QL_REQUIRE(a_ || b_, "CompositeLoader(): at least one loader must be not null");
    }
 
    std::vector<QuantLib::ext::shared_ptr<MarketDatum>> loadQuotes(const QuantLib::Date& d) const override {
        if (!b_)
            return a_->loadQuotes(d);
        if (!a_)
            return b_->loadQuotes(d);
        std::vector<QuantLib::ext::shared_ptr<MarketDatum>> data;
        auto tmp1 = a_->loadQuotes(d);
        data.insert(data.end(), tmp1.begin(), tmp1.end());
        auto tmp2 = b_->loadQuotes(d);
        data.insert(data.end(), tmp2.begin(), tmp2.end());
        return data;
    }
 
    QuantLib::ext::shared_ptr<MarketDatum> get(const std::string& name, const QuantLib::Date& d) const override {
        if (a_ && a_->has(name, d))
            return a_->get(name, d);
        if (b_ && b_->has(name, d))
            return b_->get(name, d);
        QL_FAIL("No MarketDatum for name " << name << " and date " << d);
    }
 
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> get(const std::set<std::string>& names,
                                                 const QuantLib::Date& asof) const override {
        std::set<QuantLib::ext::shared_ptr<MarketDatum>> result;
        if (a_) {
            auto tmp = a_->get(names, asof);
            result.insert(tmp.begin(), tmp.end());
        }
        if (b_) {
            auto tmp = b_->get(names, asof);
            result.insert(tmp.begin(), tmp.end());
        }
        return result;
    }
 
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> get(const Wildcard& wildcard, const QuantLib::Date& asof) const override {
        std::set<QuantLib::ext::shared_ptr<MarketDatum>> result;
        if (a_) {
            auto tmp = a_->get(wildcard, asof);
            result.insert(tmp.begin(), tmp.end());
        }
        if (b_) {
            auto tmp = b_->get(wildcard, asof);
            result.insert(tmp.begin(), tmp.end());
        }
        return result;
    }
 
    bool has(const std::string& name, const QuantLib::Date& d) const override {
        return (a_ && a_->has(name, d)) || (b_ && b_->has(name, d));
    }
 
    std::set<Fixing> loadFixings() const override {
        if (!b_)
            return a_->loadFixings();
        if (!a_)
            return b_->loadFixings();
        std::set<Fixing> fixings;
        auto tmp1 = a_->loadFixings();
        auto tmp2 = b_->loadFixings();
        fixings.insert(tmp1.begin(), tmp1.end());
        fixings.insert(tmp2.begin(), tmp2.end());
        return fixings;
    }
 
    std::set<QuantExt::Dividend> loadDividends() const override {
        if (!b_)
            return a_->loadDividends();
        if (!a_)
            return b_->loadDividends();
        std::set<QuantExt::Dividend> dividends;
        auto tmp1 = a_->loadDividends();
        auto tmp2 = b_->loadDividends();
        dividends.insert(tmp1.begin(), tmp1.end());
        dividends.insert(tmp2.begin(), tmp2.end());
        return dividends;
    }
 
private:
    const QuantLib::ext::shared_ptr<Loader> a_, b_;
};
 
} // namespace data
} // namespace ore