Post-processors

The Atoti Market Data Library provides several post-processors for the retrieval of market data:

• a single market data corresponding to a key defining the market data
• all the market data corresponding to a curve, surface, or cube

Market data post-processors

Interfaces for market data retrieval are defined in the packages com.activeviam.marketdata.lib.retrievers.intf and com.activeviam.marketdata.lib.retrievers.contextual.intf.

AMarketDataPostProcessor

This post-processor extends ABasicPostProcessor.

It uses the following generic types:

• C: type of the coordinates used to retrieve market data (e.g. List<Object>).
• V: type of the retrieved market data (e.g. Double).
• T extends IContextualMarketDataRetriever<C, V>: type of the IContextualMarketDataRetriever used in the post-processor.

This post-processor has the following properties:

• LEVELS_PROPERTY: a ILevelInfo[] representing the levels required for retrieving market data.
• MARKET_DATA_DATE_SHIFT_PROPERTY: a MarketDataDateShift object.
• DEFAULT_VALUE_PROPERTY: an object of type V that represents the default value to return.

The logic of the post-processor is as follows:

1. Check if the point location for which the post-processor is invoked is at the required levels. If it is not, the default value is returned.
2. If the point location is at the required levels, invoke the abstract method C buildCoordinates(ILocation location) for the point location to build the coordinates from the location.
3. Invoke the abstract method T getMarketDataRetriever(ILocation location) for the point location to get the retriever that will be used.
4. Invoke the retriever for the extracted coordinates and the MarketDataDateShift specified in the configuration of the post-processor.

ADefaultMarketDataPostProcessor

This post-processor extends AMarketDataPostProcessor<List<Object>, Double, R>. It handles the retrieval of market data with coordinates of type List<Object> and values Double.

This post-processor has one property on top of the properties from AMarketDataPostProcessor:

• OVERRIDDEN_STORE_VALUES_PROPERTY: a List<Object> representing the overridden values used to build the coordinates from the point location. To use overridden values, a List<Object> of a length bigger than the number of required levels needs to be provided. The post-processor iterates over that list and for each null value found in that list, it takes the coordinate of the corresponding index in the required levels. Otherwise, it takes the value specified in the overridden values list (see example below).

Optionally, the method List<Object> overrideCoordinates(List<Object> coordinates) can be implemented in a class extending that post-processor to further override the coordinates after the execution of that logic.

APropertyMarketDataPostProcessor

This post-processor extends ADefaultMarketDataPostProcessor<IDefaultContextualMarketDataRetriever> and has one generic type: <T extends IDefaultMarketDataRetriever>, which is used to define the type of the retriever used.

This post-processor has one property on top of the properties from ADefaultMarketDataPostProcessor:

• RETRIEVER_PROPERTY: the name of the IMarketDataRetrievalContainer<IDefaultMarketDataRetriever> object to use to retrieve market data.

SingleMarketDataPostProcessor

This post-processor extends APropertyMarketDataPostProcessor<IDefaultMarketDataRetriever>.

This post-processor creates a SingleContextualMarketDataRetriever from the IMarketDataRetrievalContainer defined in the properties to retrieve market data.

CurveMarketDataPostProcessor

This post-processor extends APropertyMarketDataPostProcessor<ICurveMarketDataRetriever<String>>.

This post-processor has two properties on top of the properties from APropertyMarketDataPostProcessor:

• INTERPOLATION_MODE_PROPERTY: specifies the InterpolationMode to use.
• TENOR_MAPPER_FACTORY_PROPERTY: specifies the MapperFactory<Object[], String> object to use to take the coordinates for market data retrieval as input and return a CoordinateMapper<String> for the tenor coordinate.

The CoordinateMapper is used to convert the tenors into double values so that they can be used as inputs of the interpolator.

SurfaceMarketDataPostProcessor

This post-processor extends APropertyMarketDataPostProcessor<ISurfaceMarketDataRetriever<String, String>>.

This post-processor has three properties on top of the properties from APropertyMarketDataPostProcessor:

• INTERPOLATION_MODE_PROPERTY: specifies the InterpolationMode to use.
• TENOR_MAPPER_FACTORY_PROPERTY: specifies the MapperFactory<Object[], String> object to use to take the coordinates for market data retrieval as input and return a CoordinateMapper<String> for the tenor coordinate.
• MONEYNESS_MAPPER_FACTORY_PROPERTY: specifies the MapperFactory<Object[], String> object to use to take the coordinates for market data retrieval as input and return a CoordinateMapper<String> for the moneyness coordinate.

The CoordinateMapper objects is used to convert the tenors and moneyness values into double values so that they can be used as inputs of the interpolator.

CubeMarketDataPostProcessor

This post-processor extends APropertyMarketDataPostProcessor<ICubeMarketDataRetriever<String, String, String>>. It does not let you perform interpolation on the cubic market data.

FxRateMarketDataPostProcessor

This post-processor extends APropertyMarketDataPostProcessor<IFxMarketDataRetriever>.

It uses a pivot currency when searching for an FX rate, as a string. For example, if EUR is selected as a pivot currency, a rate for USD/GBP will be retrieved as USD/EUR multiplied by EUR/GBP.

FactoryFxRateMarketDataPostProcessor

This post-processor extends ADefaultMarketDataPostProcessor<FxContextualMarketDataRetriever>.

The post-processor uses the FxMarketDataRetrieverFactory injected via the IFxMarketDataRetrieverFactoryAwareinterface to instantiate an FxContextualMarketDataRetriever.

For this post-processor, define the pivot currency in the FxMarketDataRetrieverFactory.

Configuration

To instantiate market data post-processors, a builder helper class MarketDataMeasureBuilderHelper is provided, as well as the following builders:

• CubeMarketDataPostProcessor
• CurveMarketDataPostProcessor
• FactoryFxRateMarketDataMeasureBuilder
• FxRateMarketDataPostProcessor
• SpotMarketDataMeasureBuilder
• SurfaceMarketDataPostProcessor

MarketDataMeasureBuilderHelper

Use this helper class with post-processors that extend the class APropertyMarketDataPostProcessor. It has a constructor with the following arguments:

• pluginKey: the plugin key of the market data post-processor to use.
• retrievalContainerName the name of the IMarketDataRetrievalContainer to use in the market data post-processor.

In the startBuildingmethod, the following parameters are provided:

• requiredLevels: list of LevelIdentifier objects to define the required levels.
• marketDataDateShift: the MarketDataDateShift value to use.

Optionally, you can use the following methods before invoking the startBuilding method:

• withDefaultValue: specifies the value to return.
• withOverriddenValues: specifies the overridden values to use when the coordinates are built (see below). By default, no overridden values are used.
• withType: specifies the output type of the market data post-processor. By default, double is used.

SpotMarketDataMeasureBuilder

The SpotMarketDataMeasureBuilder lets you define a measure retrieving spot market data using the SingleMarketDataPostProcessorand the SPOT_MARKET_DATA_RETRIEVER retriever.

It has a constructor with the following arguments:

• asOfDate: the asOfDate to use to retrieve spot market data.
• marketDataSet: the market data set to use to retrieve spot market data.
• instrumentId: the instrument id to use to retrieve spot market data.
• marketDataDateShift: the market data date shift to use to retrieve spot market data.

The build() method is used to instantiate a CopperPostProcessor that corresponds to the provided configuration parameters.

FxRateMarketDataMeasureBuilder

The FxRateMarketDataMeasureBuilder lets you define a measure retrieving FX rate market data using the FxRateMarketDataPostProcessorand the FX_RATE_MARKET_DATA_RETRIEVER retriever.

It has a constructor with the following arguments:

• asOfDate: the asOfDate to use to retrieve spot market data.
• marketDataSet: the market data set to use to retrieve spot market data.
• baseCcy: the base currency to use to retrieve the FX rate.
• counterCcy: the counter currency to use to retrieve the FX rate.
• marketDataDateShift: the market data date shift to use to retrieve spot market data.

The build() method is used to instantiate a CopperPostProcessor that corresponds to the provided configuration parameters.

FactoryFxRateMarketDataMeasureBuilder

The FactoryFxRateMarketDataMeasureBuilder lets you define a measure retrieving FX rate market data using the FxMarketDataRetrieverFactory to define the retriever and the pivot currency.

FxMarketDataRetrieverFactory

The FxMarketDataRetrieverFactory provided in the Atoti Market Data Spring Boot Starter will use the market-data.fx.pivot-currency property to set the pivot currency.

CurveMarketDataMeasureBuilder

The CurveMarketDataMeasureBuilder lets you define a measure retrieving curve market data using the CurveMarketDataPostProcessorand the CURVE_MARKET_DATA_RETRIEVER retriever.

It has a constructor with the following arguments:

• asOfDate: the asOfDate to use to retrieve curve market data.
• marketDataSet: the market data set to use to retrieve curve market data.
• curveId: the curve id to use to retrieve curve market data.
• tenor: the tenor to use to retrieve curve market data.
• marketDataDateShift: the market data date shift to use to retrieve spot market data.

The build() method is used to instantiate a CopperPostProcessor that corresponds to the provided configuration parameters.

The builder of the CurveMarketDataMeasureBuilder provides two methods:

• withInterpolationMode: the interpolation mode used by the CurveMarketDataPostProcessor
• withTenorMapperFactory: the mapper factory used to create the tenor mapper based on the coordinates.

SurfaceMarketDataMeasureBuilder

The SurfaceMarketDataMeasureBuilder lets you define a measure retrieving curve market data using the CurveMarketDataPostProcessorand the CURVE_MARKET_DATA_RETRIEVER retriever.

It has a constructor with the following arguments:

• asOfDate: the asOfDate to use to retrieve the surface market data.
• marketDataSet: the market data set to use to retrieve the surface market data.
• surfaceId: the surface id to use to retrieve the surface market data.
• tenor: the tenor to use to retrieve the surface market data.
• moneyness: the moneyness to use to retrieve the surface market data.
• marketDataDateShift: the market data date shift to use to retrieve the surface market data.

The build() method is used to instantiate a CopperPostProcessor that corresponds to the provided configuration parameters.

The builder SurfaceMarketDataMeasureBuilder provides two methods:

• withInterpolationMode: the interpolation mode used by the CurveMarketDataPostProcessor.
• withTenorMapperFactory: the mapper factory used to create the tenor mapper based on the coordinates.
• withMoneynessMapperFactory: the mapper factory used to create the moneyness mapper based on the coordinates.

CubeMarketDataMeasureBuilder

The CubeMarketDataMeasureBuilder lets you define a measure retrieving curve market data using the CubeMarketDataPostProcessorand the CUBE_MARKET_DATA_RETRIEVER retriever.

It has a constructor with the following arguments:

• asOfDate: the asOfDate to use to retrieve the cubic market data.
• marketDataSet: the market data set to use to retrieve the cubic market data.
• cubeId: the cube id to use to retrieve the cubic market data.
• tenor: the tenor to use to retrieve the cubic market data.
• moneyness: the moneyness to use to retrieve the cubic market data.
• maturity: the maturity to use to retrieve the cubic market data.
• marketDataDateShift: the market data date shift to use to retrieve the cubic market data.

Example

Here’s an example of creating a measure using the MarketDataMeasureBuilderHelper:

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier instrumentIdLevel = new LevelIdentifier("InstrumentId", "InstrumentId", "InstrumentId");

CopperPostProcessor instrumentMeasure = new MarketDataMeasureBuilderHelper<>(
        SingleMarketDataPostProcessor.PLUGIN_KEY,
        SPOT_MARKET_DATA_RETRIEVER)
        .startBuilding(List.of(asOfDateLevel, marketDataSetLevel, instrumentIdLevel), MarketDataDateShift.CURRENT_DAY)
        .as("InstrumentMeasure");

To use overridden values, we provide a List<Object> of a length bigger than the number of required levels. The post-processor iterates over that list, and for each null value found in that list, it takes the coordinate of the corresponding index in the required levels. Otherwise it takes the value specified in the overridden values list. For instance, with the following configuration:

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier instrumentIdLevel = new LevelIdentifier("InstrumentId", "InstrumentId", "InstrumentId");

CopperPostProcessor instrumentMeasureWithOverrideKey = new MarketDataMeasureBuilderHelper<>(
        SingleMarketDataPostProcessor.PLUGIN_KEY,
        SPOT_MARKET_DATA_RETRIEVER)
        .withOverriddenValues(LocalDate.MIN, "RT", null)
        .startBuilding(List.of(asOfDateLevel, marketDataSetLevel, instrumentIdLevel), MarketDataDateShift.CURRENT_DAY)
        .as("InstrumentMeasureWithOverrideKey");

the post-processor retrieves data for coordinates equal to:

• the asOfDate LocalDate.MIN and the market data set "RT"
• the instrument ID that is extracted from the location at which the post-processor is invoked

Example - SpotMarketDataMeasureBuilder builder

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier instrumentIdLevel = new LevelIdentifier("InstrumentId", "InstrumentId", "InstrumentId");

CopperPostProcessor instrumentWithSpotBuilderMeasure = new SpotMarketDataMeasureBuilder(
        asOfDateLevel, marketDataSetLevel, instrumentIdLevel, MarketDataDateShift.CURRENT_DAY)
        .build()
        .as("InstrumentWithSpotBuilderMeasure");
}

Example - CurveMarketDataMeasureBuilder builder

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier curveIdLevel = new LevelIdentifier("CurveId", "CurveId", "CurveId");
LevelIdentifier tenorsLevel = new LevelIdentifier("Tenor", "Tenor", "Tenor");

CopperPostProcessor curveMeasure = new CurveMarketDataMeasureBuilder(asOfDateLevel, marketDataSetLevel, curveIdLevel, tenorsLevel,
        MarketDataDateShift.CURRENT_DAY)
        .withTenorMapperFactory(this::mapTenor)
        .withInterpolationMode(LINEAR)
        .build()
        .as("CurveMeasure");

public CoordinateMapper<String> mapTenor(List<Object> coordinates) {
    return tenorOrMaturity -> switch (tenorOrMaturity) {
        case "1Y":
            yield 360.0;
        case "5Y":
            yield 1800.0;
        case "10Y":
            yield 3600.0;
        default:
            yield 0.0;
    };
}

Example - SurfaceMarketDataMeasureBuilder builder

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier surfaceIdLevel = new LevelIdentifier("SurfaceId", "SurfaceId", "SurfaceId");
LevelIdentifier tenorsLevel = new LevelIdentifier("Tenor", "Tenor", "Tenor");
LevelIdentifier moneynessesLevel = new LevelIdentifier("Moneyness", "Moneyness", "Moneyness");

CopperPostProcessor surfaceMeasure = new SurfaceMarketDataMeasureBuilder(asOfDateLevel, marketDataSetLevel, surfaceIdLevel, tenorsLevel, moneynessesLevel,
        MarketDataDateShift.CURRENT_DAY)
        .withTenorMapperFactory(this::mapTenorOrMaturity)
        .withMoneynessMapperFactory(this::mapMoneyness)
        .withInterpolationMode(InterpolationMode.LINEAR)
        .build()
        .as("SurfaceMeasure");

public CoordinateMapper<String> mapTenor(List<Object> coordinates) {
    return tenorOrMaturity -> switch (tenorOrMaturity) {
        case "1Y":
            yield 360.0;
        case "5Y":
            yield 1800.0;
        case "10Y":
            yield 3600.0;
        default:
            yield 0.0;
    };
}

public CoordinateMapper<String> mapMoneyness(List<Object> coordinates) {
    return moneyness -> switch (moneyness) {
        case "ATM":
            yield 1.0;
        case "+2.5%":
            yield 1.025;
        case "+5%":
            yield 1.05;
        default:
            yield 0.0;
    };
}

Example - CubeMarketDataMeasureBuilder builder

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier cubeIdLevel = new LevelIdentifier("CubeId", "CubeId", "CubeId");
LevelIdentifier tenorsLevel = new LevelIdentifier("Tenor", "Tenor", "Tenor");
LevelIdentifier moneynessesLevel = new LevelIdentifier("Moneyness", "Moneyness", "Moneyness");
LevelIdentifier maturitiesLevel = new LevelIdentifier("UnderlyingMaturity", "UnderlyingMaturity", "UnderlyingMaturity");

CopperPostProcessor cubeMeasure = new CubeMarketDataMeasureBuilder(asOfDateLevel, marketDataSetLevel, cubeIdLevel, tenorsLevel,
        moneynessesLevel, maturitiesLevel, MarketDataDateShift.CURRENT_DAY)
        .build()
        .as("CubeMeasure");

Example - FxRateMarketDataMeasureBuilder builder

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier currencyLevel = new LevelIdentifier("Currency", "Currency", "Currency");
LevelIdentifier displayCurrencyLevel = new LevelIdentifier("DisplayCurrency", "DisplayCurrency", "DisplayCurrency");

CopperPostProcessor fxMeasure = new FxRateMarketDataMeasureBuilder(asOfDateLevel, marketDataSetLevel, currencyLevel, displayCurrencyLevel,
        MarketDataDateShift.CURRENT_DAY)
        .build()
        .as("FX Rate");

Example - FactoryFxRateMarketDataMeasureBuilder builder

LevelIdentifier asOfDateLevel = new LevelIdentifier("Dates", "Date", "AsOfDate");
LevelIdentifier marketDataSetLevel = new LevelIdentifier("MarketData", "MarketDataSets", "MarketDataSet");
LevelIdentifier currencyLevel = new LevelIdentifier("Currency", "Currency", "Currency");
LevelIdentifier displayCurrencyLevel = new LevelIdentifier("DisplayCurrency", "DisplayCurrency", "DisplayCurrency");

CopperPostProcessor factoryFxMeasure = new FactoryFxRateMarketDataMeasureBuilder(asOfDateLevel, marketDataSetLevel, currencyLevel, displayCurrencyLevel,
        MarketDataDateShift.CURRENT_DAY)
        .build()
        .as("FX Rate");