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Market data retrieval in the preview market data API data model

The preview market data API allows the retrieval of either:

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

Market data retrieval interfaces

Interfaces for market data retrieval are defined in the package com.activeviam.mr.common.services.marketdata.retrievers.intf

Interface	Description	Details
`IMarketDataRetriever`	Interface for a market data retriever.	Used for the retrieval of one quote, e.g.:
		for (asOfDate, marketDataSet, instrumentId)
		for (asOfDate, marketDataSet, curveId, tenor)
		for (asOfDate, marketDataSet, surfaceId, tenor, moneyness)
		for (asOfDate, marketDataSet, cubeId, tenor, moneyness, underlyingMaturity)
`ICurveMarketDataRetriever`	Interface for a market data retriever for curve (1-axis) market data.	Used for the retrieval of all the quotes corresponding to a curve.
`ISurfaceMarketDataRetriever`	Interface for a market data retriever for surface (2-axis) market data.	Used for the retrieval of all the quotes corresponding to a surface.
`ICubeMarketDataRetriever`	Interface for a market data retriever for cube (3-axis) market data.	Used for the retrieval of all the quotes corresponding to a cube.

Market data retrieval implementations

Implementations for market data retrieval are defined in the package com.activeviam.mr.common.services.marketdata.retrievers.impl.

Class	Description	Details
`TableSingleMarketDataRetriever`	Implementation of `IMarketDataRetriever`.	Returns a `Double` value representing the quote defined by an `Object...` varargs defining the key, e.g.:
		for (asOfDate, marketDataSet, instrumentId)
		for (asOfDate, marketDataSet, curveId, tenor)
		for (asOfDate, marketDataSet, surfaceId, tenor, moneyness)
		for (asOfDate, marketDataSet, cubeId, tenor, moneyness, underlyingMaturity)
`TableCurveMarketDataRetriever`	Implementation of `ICurveMarketDataRetriever`.	Returns a `CurveMarketData` value representing all the quotes defined by (asOfDate, marketDataSet, curveId).
`TableSurfaceMarketDataRetriever`	Implementation of `ISurfaceMarketDataRetriever`.	Returns a `SurfaceMarketData` value representing all the quotes defined by (asOfDate, marketDataSet, surfaceId).
`TableCubeMarketDataRetriever`	Implementation of `ICubeMarketDataRetriever`.	Returns a `CubeMarketData` value representing all the quotes defined by (asOfDate, marketDataSet, cubeId).

MarketDataDateShift

The MarketDataDateShift defined in the package com.activeviam.mr.common.services.marketdata.dates.impl is an enum with the following values:

Value	Details
`TODAY`	Used to retrieve the current day with regard to a base date.
`NEXT_DAY`	Used to retrieve the next day with regard to a base date.
`PREVIOUS_DAY`	Used to retrieve the previous day with regard to a base date.

Retrieval context

The market data retrieval context is defined in the class MarketDataContext in the package com.activeviam.mr.common.services.marketdata.context. It is used to define:

the name of the retrieval
the query cache that is used
the MarketDataDateShift (see above).

It is defined in the class MarketDataContext in the package com.activeviam.mr.common.services.marketdata.context.

Date retrieval interfaces

Interfaces for date retrieval are defined in the package com.activeviam.mr.common.services.marketdata.dates.intf

Interface	Description	Details
`IDateRetrievalService`	Interface to retrieve all the asOfDates present in market data inputs	Used for the retrieval of the previous or the next day with regards to a given asOfDate.
`IMarketDataDateService`	Interface for the retrieval of the current, previous or the next day with regard to a given asOfDate	Takes an asOfDate and a `MarketDataContext` object as inputs.

Date retrieval implementations

Implementations for date retrieval are defined in the package com.activeviam.mr.common.services.marketdata.dates.impl.

Interface	Description	Details
`TableDateRetrievalService`	Implementation of `IDateRetrievalService`.	Returns all the dates present in a given table in an `IDatabase` object.
`MarketDataDateService`	Implementation of `IMarketDataDateService`.	Returns a shifted date (i.e. the current, next or previous date) with an asOfDate and a `MarketDataContext` object as inputs.

Key Translator Interface

The interface used to translate a key used to retrieve market data (i.e. modify the key based on a given MarketDataContext (see above)) is defined in the package com.activeviam.mr.common.services.marketdata.keys.intf.

The translation is meant to modify the asOfDate passed in the key in order to return a key containing the previous or next day with regard to the original asOfDate.

Interface	Description	Details
`IMarketDataKeyTranslator`	Interface for market data key translators	Uses `IMarketDataDateService` to translate a key based on a `MarketDataContext`.

Key Translator Implementation

The implementation used to translate a key used to retrieve market data is defined in the package com.activeviam.mr.common.services.marketdata.keys.impl.

Interface	Description	Details
`DatabaseMarketDataKeyTranslator`	Implementation of `IMarketDataKeyTranslator`.	Gets the index of the `AS_OF_DATE` field in a table defined in an `IDatabase` to translate the key based on a `MarketDataContext`.

Market data retrieval service

The MarketDataRetrievalService (in com.activeviam.mr.common.services.marketdata.service.impl) combines a market data retriever with a market data key translator appropriate for a given store. Several methods are available on the service:

Method	Return type	Details
`getMarketDataRetriever()`	`IMarketDataRetriever`	Provides direct access to the retriever.
`getMarketDataKeyTranslator()`	`IMarketDataKeyTranslator`	Provides direct access to the key translator.
`getMarketData(K key, MarketDataContext context)`	`V` - generic return type for the market data value	Retrieves the market data for the given key and context.
`getUntranslatedMarketData(K key)`	`V` - generic return type for the market data value	Retrieves market data for the given key, without applying the key translator.
`getTranslatedKey(K key, MarketDataContext context)`	`K` - generic type of the market data key	Returns a translated key given a context.
`getShiftedDate(LocalDate baseDate, MarketDataContext context)`	`LocalDate`	Returns a shifted date given a date and context.
`getName()`	`String`	Returns the name of the retriever.

Implementations of the market data retrieval service are included with the store configuration classes in the mr-common-config module.

Market data service

The market data service collects the retrieval services and allows the selection of a particular retrieval service by name.

The service is found in the com.activeviam.mr.common.services.marketdata.service.intf and com.activeviam.mr.common.services.marketdata.service.impl packages.

Class	Details
`IMarketDataService`	Provides a single `getRetrievalService(String name)` method returning a `MarketDataRetrievalService`.
`TableMarketDataService`	Implementation of `IMarketDataService` for storing market data retrieval services that retrieve `Double` values using an `Object[]` key.

Spring configuration classes

Spring configuration of the market data retrieval service is provided in the com.activeviam.mr.common.services.marketdata.service and the com.activeviam.mr.common.datastore.description.stores packages of the mr-common-config module.

Class	Details
`InstrumentMarketDataStoreConfig`	Publishes `MarketDataRetrievalService` bean for the store.
`CurveMarketDataStoreConfig`	Publishes `MarketDataRetrievalService` and `ICurveMarketDataRetriever` beans for the store.
`SurfaceMarketDataStoreConfig`	Publishes `MarketDataRetrievalService` and `ISurfaceMarketDataRetriever` beans for the store.
`CubeMarketDataStoreConfig`	Publishes `MarketDataRetrievalService` and `ICubeMarketDataRetriever` beans for the store.
`TableMarketDataRetrievalServiceConfig`	Collects all `MarketDataRetrievalService` beans and publishes a `TableMarketDataService` instance as an `IMarketDataService` bean.