csvloader.hpp

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/*
 Copyright (C) 2016 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/csvloader.hpp
    \brief Market Datum Loader Implementation
    \ingroup marketdata
*/
 
#pragma once
 
#include <map>
#include <ored/marketdata/loader.hpp>
 
namespace ore {
namespace data {
 
//! Utility class for loading market quotes and fixings from a file
/*!
  Data is loaded with the call to the constructor.
  Inspectors can be called to then retrieve quotes and fixings.
 
  TODO implementation has large overlap with inmemoryloader.?pp, factor this out
 
  \ingroup marketdata
 */
class CSVLoader : public Loader {
public:
    //! Constructor
    CSVLoader() {}
 
    CSVLoader( //! Quote file name
        const string& marketFilename,
        //! Fixing file name
        const string& fixingFilename,
        //! Enable/disable implying today's fixings
        bool implyTodaysFixings = false,
    //! Load fixings up to this date
    Date fixingCutOffDate = Date());
 
    CSVLoader( //! Quote file name
        const vector<string>& marketFiles,
        //! Fixing file name
        const vector<string>& fixingFiles,
        //! Enable/disable implying today's fixings
        bool implyTodaysFixings = false,
    //! Load fixings up to this date
    Date fixingCutOffDate = Date());
 
    CSVLoader( //! Quote file name
        const string& marketFilename,
        //! Fixing file name
        const string& fixingFilename,
        //! Dividend file name
        const string& dividendFilename,
        //! Enable/disable implying today's fixings
        bool implyTodaysFixings = false,
    //! Load fixings up to this date
    Date fixingCutOffDate = Date());
 
    CSVLoader( //! Quote file name
        const vector<string>& marketFiles,
        //! Fixing file name
        const vector<string>& fixingFiles,
        //! Dividend file name
        const vector<string>& dividendFiles,
        //! Enable/disable implying today's fixings
        bool implyTodaysFixings = false,
    //! Load fixings up to this date
    Date fixingCutOffDate = Date());
 
    std::vector<QuantLib::ext::shared_ptr<MarketDatum>> loadQuotes(const QuantLib::Date&) const override;
 
    QuantLib::ext::shared_ptr<MarketDatum> get(const string& name, const QuantLib::Date& d) const override;
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> get(const std::set<std::string>& names,
                                                 const QuantLib::Date& asof) const override;
    //! get quotes matching a wildcard
    std::set<QuantLib::ext::shared_ptr<MarketDatum>> get(const Wildcard& wildcard, const QuantLib::Date& asof) const override;
 
    //! Load fixings
    std::set<Fixing> loadFixings() const override { return fixings_; }
    //! Load dividends
    std::set<QuantExt::Dividend> loadDividends() const override { return dividends_; }
    //@}
 
private:
    enum class DataType { Market, Fixing, Dividend };
    void loadFile(const string&, DataType);
 
    bool implyTodaysFixings_;
    std::map<QuantLib::Date, std::set<QuantLib::ext::shared_ptr<MarketDatum>, SharedPtrMarketDatumComparator>> data_;
    std::set<Fixing> fixings_;
    std::set<QuantExt::Dividend> dividends_;
    Date fixingCutOffDate_;
};
} // namespace data
} // namespace ore