CSVLoader Class Reference

Utility class for loading market quotes and fixings from a file. More...

#include <ored/marketdata/csvloader.hpp>

Inheritance diagram for CSVLoader:

Public Member Functions
	CSVLoader ()
	Constructor.
	CSVLoader (const string &marketFilename, const string &fixingFilename, bool implyTodaysFixings=false, Date fixingCutOffDate=Date())
	CSVLoader (const vector< string > &marketFiles, const vector< string > &fixingFiles, bool implyTodaysFixings=false, Date fixingCutOffDate=Date())
	CSVLoader (const string &marketFilename, const string &fixingFilename, const string &dividendFilename, bool implyTodaysFixings=false, Date fixingCutOffDate=Date())
	CSVLoader (const vector< string > &marketFiles, const vector< string > &fixingFiles, const vector< string > &dividendFiles, bool implyTodaysFixings=false, Date fixingCutOffDate=Date())
std::vector< QuantLib::ext::shared_ptr< MarketDatum > >	loadQuotes (const QuantLib::Date &) const override
	get all quotes, TODO change the return value to std::set
std::set< QuantLib::Date >	asofDates () const override
	get set of dates for which quotes are loaded
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
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
std::set< QuantLib::ext::shared_ptr< MarketDatum > >	get (const Wildcard &wildcard, const QuantLib::Date &asof) const override
	get quotes matching a wildcard
std::set< Fixing >	loadFixings () const override
	Load fixings.
std::set< QuantExt::Dividend >	loadDividends () const override
	Load dividends.
virtual bool	has (const std::string &name, const QuantLib::Date &d) const
	Default implementation, returns false if get throws or returns a null pointer.
virtual bool	hasQuotes (const QuantLib::Date &d) const
	check if there are quotes for a date
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.
void	setActualDate (const QuantLib::Date &d)
const Date &	actualDate () const
std::pair< bool, string >	checkFxDuplicate (const ext::shared_ptr< MarketDatum >, const QuantLib::Date &)

Additional Inherited Members
Date	actualDate_ = Date()

Detailed Description

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

Constructor & Destructor Documentation

CSVLoader() [1/4]

CSVLoader	(	const string &	marketFilename,
		const string &	fixingFilename,
		bool	implyTodaysFixings = false,
		Date	fixingCutOffDate = Date() )

Parameters

marketFilename	Quote file name
fixingFilename	Fixing file name
implyTodaysFixings	Enable/disable implying today's fixings
fixingCutOffDate	Load fixings up to this date

CSVLoader() [2/4]

CSVLoader	(	const vector< string > &	marketFiles,
		const vector< string > &	fixingFiles,
		bool	implyTodaysFixings = false,
		Date	fixingCutOffDate = Date() )

Parameters

marketFiles	Quote file name
fixingFiles	Fixing file name
implyTodaysFixings	Enable/disable implying today's fixings
fixingCutOffDate	Load fixings up to this date

CSVLoader() [3/4]

CSVLoader	(	const string &	marketFilename,
		const string &	fixingFilename,
		const string &	dividendFilename,
		bool	implyTodaysFixings = false,
		Date	fixingCutOffDate = Date() )

Parameters

marketFilename	Quote file name
fixingFilename	Fixing file name
dividendFilename	Dividend file name
implyTodaysFixings	Enable/disable implying today's fixings
fixingCutOffDate	Load fixings up to this date

CSVLoader() [4/4]

CSVLoader	(	const vector< string > &	marketFiles,
		const vector< string > &	fixingFiles,
		const vector< string > &	dividendFiles,
		bool	implyTodaysFixings = false,
		Date	fixingCutOffDate = Date() )

Parameters

marketFiles	Quote file name
fixingFiles	Fixing file name
dividendFiles	Dividend file name
implyTodaysFixings	Enable/disable implying today's fixings
fixingCutOffDate	Load fixings up to this date

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.

asofDates()

std::set< QuantLib::Date > asofDates ( ) const

overridevirtual

get set of dates for which quotes are loaded

Implements Loader.

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.

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.

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

Reimplemented from Loader.

loadFixings()

std::set< Fixing > loadFixings ( ) const

overridevirtual

Load fixings.

Implements Loader.

loadDividends()

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

overridevirtual

Load dividends.

Reimplemented from Loader.