Package com.activeviam.risk.ref.services.impl

Class ScalarMarketDataRetrievalService

java.lang.Object

com.activeviam.risk.ref.services.impl.AMarketDataRetrievalService

com.activeviam.risk.ref.services.impl.ScalarMarketDataRetrievalService

All Implemented Interfaces:

IMarketDataRetrievalService

public class ScalarMarketDataRetrievalService
extends AMarketDataRetrievalService

Nested Class Summary

Nested classes/interfaces inherited from interface com.activeviam.risk.core.services.IMarketDataRetrievalService

IMarketDataRetrievalService.IPillar, IMarketDataRetrievalService.IPillarSet, IMarketDataRetrievalService.MarketType

Field Summary

Fields inherited from class com.activeviam.risk.ref.services.impl.AMarketDataRetrievalService

defaultValue, doubleInterpolation, interpolationConfiguration, vectorInterpolation

Constructor Summary

Constructors

Constructor	Description
ScalarMarketDataRetrievalService(IMaturityConverter maturityConverter, IInterpolationConfiguration interpolationConfiguration, double defaultValue, String tenorAndMaturityDefaultValue, String moneynessDefaultValue)

Method Summary

Modifier and Type	Method	Description
protected com.qfs.store.record.IRecordReader	fetchMarketData(IServiceContext context, LocalDate date, String marketDataSet, String riskFactor, IntFunction<Object> labels, IntFunction<Object> dates)	Attempts to fetch a market data record by its key.
double[]	getMarketData(IServiceContext context, LocalDate date, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor, IMarketDataRetrievalService.IPillarSet[] requestedPillars, boolean interpolate, IMarketDataRetrievalService.MarketType type, String debugKey)	This function is overridden in order to add an optimisation in case of single non interpolated data retrieval
protected com.qfs.store.record.IRecordReader	getMarketDataRecord(IServiceContext context, LocalDate date, String marketDataSet, String riskFactor, IMarketDataRetrievalService.IPillarSet[] requestedPillars)	Method that retrieves the market data for the current day
protected Double	getNominal(IServiceContext context, LocalDate date, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor)	Retrieve the nominal of a risk factor
protected IMarketDataset<double[],Double>	getRawMarketData(IServiceContext context, LocalDate date, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor, int nrDim)	This function retrieves the data before any manipulation
protected IMarketDataset<com.qfs.vector.IVector[],com.qfs.vector.IVector>	getRawPnlVector(IServiceContext context, LocalDate date, String scenario, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor, int nrDim)	This function retrieves the data before any manipulation
boolean	isSingleValue(IMarketDataRetrievalService.IPillarSet[] requestedPillars)	Return the number of elements corresponding to the requested pillars

Methods inherited from class com.activeviam.risk.ref.services.impl.AMarketDataRetrievalService

computeShift, extractData, fillResult, findMapping, getMarketDataForShiftNormalization, getMarketDataInterpolationFlag, getMarketDataNoInterpolate, getPillarSets, getPillarVectorMap, getPnlVector, getShiftDataInterpolationFlag, handleAbsoluteRelativeResult, handleAbsoluteRelativeResult, recToPillar, runAsCompiledQuery

Methods inherited from class java.lang.Object

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

Constructor Detail

ScalarMarketDataRetrievalService

public ScalarMarketDataRetrievalService(IMaturityConverter maturityConverter,
                                        IInterpolationConfiguration interpolationConfiguration,
                                        double defaultValue,
                                        String tenorAndMaturityDefaultValue,
                                        String moneynessDefaultValue)

Method Detail

getRawMarketData

protected IMarketDataset<double[],Double> getRawMarketData(IServiceContext context,
                                                                 LocalDate date,
                                                                 String marketDataSet,
                                                                 String sensitivityKind,
                                                                 String sensitivityName,
                                                                 String riskClass,
                                                                 String riskFactor,
                                                                 int nrDim)

Description copied from class: AMarketDataRetrievalService

This function retrieves the data before any manipulation

Specified by:

getRawMarketData in class AMarketDataRetrievalService

Parameters:

context - The caller context

date - The requested date

marketDataSet - The requested dataset

sensitivityKind - The type of sensitivity delta / gamma /vega / ....

sensitivityName - Th underlying name

riskClass - the risk class

riskFactor - The requested name

nrDim - The number of dimension of the result

Returns:

A list of MD and its axis description

getRawPnlVector

protected IMarketDataset<com.qfs.vector.IVector[],com.qfs.vector.IVector> getRawPnlVector(IServiceContext context,
                                                                                                LocalDate date,
                                                                                                String scenario,
                                                                                                String marketDataSet,
                                                                                                String sensitivityKind,
                                                                                                String sensitivityName,
                                                                                                String riskClass,
                                                                                                String riskFactor,
                                                                                                int nrDim)

Description copied from class: AMarketDataRetrievalService

This function retrieves the data before any manipulation

Specified by:

getRawPnlVector in class AMarketDataRetrievalService

Parameters:

context - The caller context

date - The requested date

scenario - The requested dataset

marketDataSet - The requested market data set

sensitivityKind - The type of sensitivity delta / gamma /vega / ....

sensitivityName - The underlying

riskClass - The risk class

riskFactor - The requested name

nrDim - The number of dimension of the result

Returns:

A list of pnl vector and its axis description

getNominal

protected Double getNominal(IServiceContext context,
                            LocalDate date,
                            String marketDataSet,
                            String sensitivityKind,
                            String sensitivityName,
                            String riskClass,
                            String riskFactor)

Description copied from class: AMarketDataRetrievalService

Retrieve the nominal of a risk factor

Specified by:

getNominal in class AMarketDataRetrievalService

Parameters:

context - The caller context

date - The requested date

marketDataSet - The requested dataset

sensitivityKind - The type of sensitivity delta / gamma /vega / ....

sensitivityName - The underlying

riskClass - The risk class

riskFactor - The requested name

Returns:

The value of the Nominal

getMarketData

public double[] getMarketData(IServiceContext context,
                              LocalDate date,
                              String marketDataSet,
                              String sensitivityKind,
                              String sensitivityName,
                              String riskClass,
                              String riskFactor,
                              IMarketDataRetrievalService.IPillarSet[] requestedPillars,
                              boolean interpolate,
                              IMarketDataRetrievalService.MarketType type,
                              String debugKey)

This function is overridden in order to add an optimisation in case of single non interpolated data retrieval

Specified by:

getMarketData in interface IMarketDataRetrievalService

Overrides:

getMarketData in class AMarketDataRetrievalService

Parameters:

context - The caller context

date - The as of date of the market data

marketDataSet - The set of data to look for

sensitivityKind - the type of sensitivity delta / gamma /vega / ....

sensitivityName - The kind of sensi

riskClass - The risk class of the requested market data

riskFactor - The name of the market data

requestedPillars - The list of the requested pillar. For instance IPillarSets[0] for tenor, IPillarSets[1] for maturity, IPillarSets[2] for moneyness

interpolate - Is the interpolation allowed

type - The type of the returned market data : absolute means the market price in currency (for bonds price x nominal), relative to the nominal, raw aka as it is normally used / store

debugKey - If not null will store debug info in the cache at the ket location

Returns:

A list of values describing a vector / map / cube depending of the requested dimensions, coordinates are (i * size(j) + j) * size(k) + k

isSingleValue

public boolean isSingleValue(IMarketDataRetrievalService.IPillarSet[] requestedPillars)

Return the number of elements corresponding to the requested pillars

Returns:

The size of the vector / map / cube / ...

getMarketDataRecord

protected com.qfs.store.record.IRecordReader getMarketDataRecord(IServiceContext context,
                                                                 LocalDate date,
                                                                 String marketDataSet,
                                                                 String riskFactor,
                                                                 IMarketDataRetrievalService.IPillarSet[] requestedPillars)

Method that retrieves the market data for the current day

Parameters:

context - The caller context

date - as of date

marketDataSet - market data set context value

riskFactor - risk factor

requestedPillars - The list of the requested pillar. For instance IPillarSets[0] for tenor, IPillarSets[1] for maturity, IPillarSets[2] for moneyness

Returns:

market data for current day and tenor/maturity

fetchMarketData

protected com.qfs.store.record.IRecordReader fetchMarketData(IServiceContext context,
                                                             LocalDate date,
                                                             String marketDataSet,
                                                             String riskFactor,
                                                             IntFunction<Object> labels,
                                                             IntFunction<Object> dates)

Attempts to fetch a market data record by its key.

Parameters:

context - The caller context

date - The as of date.

marketDataSet - The market data set.

riskFactor - The risk factor.

labels - The array of label values.

dates - The array of date values.

Returns:

An optional containing a market data record, if found.