com.activeviam.frtb.ref.utils

Class PublisherUtils

java.lang.Object

com.activeviam.frtb.ref.utils.PublisherUtils

public class PublisherUtils
extends Object

Utils for publishers.

Constructor Summary

Constructors

Constructor and Description
PublisherUtils()

Method Summary

Modifier and Type	Method and Description
static void	buildMatrixInterpolatedAndBaseTupleMaps(PublisherDataStructures publisherDataStructures, PublisherContext context, IParameterRetriever parameterRetriever, IMaturityConverter saSbmMaturityConverter, IInterpolator interpolator) Uses the Sensitivities, Option maturity, Residual maturity and Sensitivity Currencies to vectorise and interpolate tuples and fill in the interpolated tuple list and the trade base tuple list.
static void	buildMatrixSensitivityAndCurrencyMaps(Collection<Object[]> tuples, PublisherDataStructures publisherDataStructures, PublisherStoreIndexes indexes, PublisherContext context) Takes a collection of tuples and fills in the FRTBTupleKey-to-Sensitivities, FRTBTupleKey-to-Option Maturities, FRTBTupleKey-to-Residual Maturities and FRTBTupleKey-to-Sensitivity Currency maps.
static void	buildSingleValueAndTradeBaseTuples(Collection<Object[]> tuples, PublisherDataStructures publisherDataStructures, PublisherStoreIndexes indexes, PublisherContext context) Fills in store tuples and TradeBase tuples without performing vectorisation or interpolation.
static void	buildVectorInterpolatedAndBaseTupleCurvatureMaps(PublisherDataStructures shiftUpData, PublisherDataStructures shiftDownData, PublisherContext context, IParameterRetriever parameterRetriever)
static void	buildVectorInterpolatedAndBaseTupleMaps(PublisherDataStructures publisherDataStructures, PublisherContext context, IParameterRetriever parameterRetriever, IMaturityConverter saSbmMaturityConverter, IInterpolator interpolator) Uses the Sensitivities and Sensitivity Currencies to vectorise and interpolate tuples and fill in the interpolated tuple list and the trade base tuple list.
static void	buildVectorSensitivityAndCurrencyMaps(Collection<Object[]> tuples, PublisherDataStructures publisherDataStructures, PublisherStoreIndexes indexes, PublisherContext context) Takes a collection of tuples and fills in the FRTBTupleKey-to-Sensitivities and FRTBTupleKey-to-Sensitivity Currency maps.
static Object[]	convertToTradeBaseTuple(Object[] tuple, PublisherContext context) Creates a tuple for the TradeBase store
static Object[]	createTupleForStore(com.qfs.store.IDatastore datastore, Map<String,Integer> translatorTupleFields, Object[] initialTuple, String store) Creates a tuple for the required store, by attempting to extract the value for each store field from the input tuple
static Object[]	createTupleForStore(com.qfs.store.IDatastore datastore, Map<String,Integer> translatorTupleFields, Object[] initialTuple, String store, Map<String,Object> fieldsToOverride) Creates a tuple for the required store, by attempting to extract the value for each store field from the input tuple
static List<Object[]>	extractDistinctTuples(Collection<Object[]> tuples) Extracts unique tuples from an incoming list.
static void	staticConfig(String preInterpolationLoggingLevel) Static config to allow loading parameters from config files.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

PublisherUtils

public PublisherUtils()

Method Detail

staticConfig

public static void staticConfig(String preInterpolationLoggingLevel)

Static config to allow loading parameters from config files.

Parameters:

preInterpolationLoggingLevel - The logging level to be used when treating tuples as pre-interpolated.

createTupleForStore

public static Object[] createTupleForStore(com.qfs.store.IDatastore datastore,
                                           Map<String,Integer> translatorTupleFields,
                                           Object[] initialTuple,
                                           String store,
                                           Map<String,Object> fieldsToOverride)

Creates a tuple for the required store, by attempting to extract the value for each store field from the input tuple

Parameters:

datastore - The datastore object

translatorTupleFields - Map holding the fields that exist in the incoming tuple and their respective indexes

initialTuple - The initial tuple from the source

store - The store for which a tuple has to be created

fieldsToOverride - A map of any fields that have values set by the tuple publisher and those values

Returns:

The tuple that conforms to the store format

createTupleForStore

public static Object[] createTupleForStore(com.qfs.store.IDatastore datastore,
                                           Map<String,Integer> translatorTupleFields,
                                           Object[] initialTuple,
                                           String store)

Creates a tuple for the required store, by attempting to extract the value for each store field from the input tuple

Parameters:

datastore - The datastore object

translatorTupleFields - Map holding the fields that exist in the incoming tuple and their respective indexes

initialTuple - The initial tuple from the source

store - The store for which a tuple has to be created

Returns:

The tuple that conforms to the store format

buildVectorSensitivityAndCurrencyMaps

public static void buildVectorSensitivityAndCurrencyMaps(Collection<Object[]> tuples,
                                                         PublisherDataStructures publisherDataStructures,
                                                         PublisherStoreIndexes indexes,
                                                         PublisherContext context)

Takes a collection of tuples and fills in the FRTBTupleKey-to-Sensitivities and FRTBTupleKey-to-Sensitivity Currency maps.

Parameters:

tuples - The incoming tuples

publisherDataStructures - The data structures to be used in the vectorisation, interpolation and tuple creation processes.

indexes - The object containing all relevant tuple indexes.

context - The object containing relevant publisher specific objects.

buildMatrixSensitivityAndCurrencyMaps

public static void buildMatrixSensitivityAndCurrencyMaps(Collection<Object[]> tuples,
                                                         PublisherDataStructures publisherDataStructures,
                                                         PublisherStoreIndexes indexes,
                                                         PublisherContext context)

Takes a collection of tuples and fills in the FRTBTupleKey-to-Sensitivities, FRTBTupleKey-to-Option Maturities, FRTBTupleKey-to-Residual Maturities and FRTBTupleKey-to-Sensitivity Currency maps.

Parameters:

tuples - The incoming tuples

publisherDataStructures - The data structures to be used in the vectorisation, interpolation and tuple creation processes.

indexes - The object containing the relevant tuple indexes.

context - The object containing relevant publisher specific objects.

buildVectorInterpolatedAndBaseTupleMaps

public static void buildVectorInterpolatedAndBaseTupleMaps(PublisherDataStructures publisherDataStructures,
                                                           PublisherContext context,
                                                           IParameterRetriever parameterRetriever,
                                                           IMaturityConverter saSbmMaturityConverter,
                                                           IInterpolator interpolator)

Uses the Sensitivities and Sensitivity Currencies to vectorise and interpolate tuples and fill in the interpolated tuple list and the trade base tuple list.

Parameters:

publisherDataStructures - The data structures to be used in the vectorisation, interpolation and tuple creation processes.

context - The object containing relevant publisher specific objects.

parameterRetriever - the parameter retriever used to return parameter store values

saSbmMaturityConverter - The maturity converter to use for parsing tenors and calculating day counts

interpolator - Linear interpolator for tenors

buildVectorInterpolatedAndBaseTupleCurvatureMaps

public static void buildVectorInterpolatedAndBaseTupleCurvatureMaps(PublisherDataStructures shiftUpData,
                                                                    PublisherDataStructures shiftDownData,
                                                                    PublisherContext context,
                                                                    IParameterRetriever parameterRetriever)

buildMatrixInterpolatedAndBaseTupleMaps

public static void buildMatrixInterpolatedAndBaseTupleMaps(PublisherDataStructures publisherDataStructures,
                                                           PublisherContext context,
                                                           IParameterRetriever parameterRetriever,
                                                           IMaturityConverter saSbmMaturityConverter,
                                                           IInterpolator interpolator)

Uses the Sensitivities, Option maturity, Residual maturity and Sensitivity Currencies to vectorise and interpolate tuples and fill in the interpolated tuple list and the trade base tuple list.

Parameters:

publisherDataStructures - The data structures to be used in the vectorisation, interpolation and tuple creation processes.

context - The object containing relevant publisher specific objects.

parameterRetriever - the parameter retriever used to return parameter store values

saSbmMaturityConverter - The maturity converter to use for parsing tenors and calculating day counts

interpolator - Linear interpolator for tenors

convertToTradeBaseTuple

public static Object[] convertToTradeBaseTuple(Object[] tuple,
                                               PublisherContext context)

Creates a tuple for the TradeBase store

Parameters:

tuple - The incoming tuple.

context - The object containing relevant publisher specific objects.

Returns:

A tuple that conforms to the TradeBase store format.

buildSingleValueAndTradeBaseTuples

public static void buildSingleValueAndTradeBaseTuples(Collection<Object[]> tuples,
                                                      PublisherDataStructures publisherDataStructures,
                                                      PublisherStoreIndexes indexes,
                                                      PublisherContext context)

Fills in store tuples and TradeBase tuples without performing vectorisation or interpolation.

Parameters:

tuples - The incoming tuples.

publisherDataStructures - The data structures to be used in the vectorisation, interpolation and tuple creation processes.

indexes - The object containing the relevant tuple indexes.

context - The object containing relevant publisher specific objects.

extractDistinctTuples

public static List<Object[]> extractDistinctTuples(Collection<Object[]> tuples)

Extracts unique tuples from an incoming list. Comparison is made on all incoming fields, not based on a particular key subset.

Parameters:

tuples - The list of tuples that contains duplicates.

Returns:

The list of unique tuples.