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Market data retrieval in the market data API data model

The 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.marketdata.api.retrievers.intf

Interface	Description	Methods
`IInstrumentMarketDataRetriever`	Interface for a market data retriever that retrieves a single market data value relating to an instrument.	`getMarketData(asOfDate, marketDataSet, instrumentId)`
`ICurveMarketDataRetriever`	Interface for a market data retriever for curve (1-axis) market data.	`getMarketData(asOfDate, marketDataSet, curveId, tenor)`, `getCurve(asOfDate, marketDataSet, curveId)`
`ISurfaceMarketDataRetriever`	Interface for a market data retriever for surface (2-axis) market data.	`getMarketData(asOfDate, marketDataSet, surfaceId, tenor, moneyness)`, `getSurface(asOfDate, marketDataSet, surfaceId)`
`ICubeMarketDataRetriever`	Interface for a market data retriever for cube (3-axis) market data.	`getMarketData(asOfDate, marketDataSet, cubeId, tenor, moneyness, maturity)`, `getCube(asOfDate, marketDataSet, cubeId)`
`IFxRateMarketDataRetriever`	Interface for a market data retriever that retrieves FX rates.	`getMarketData(asOfDate, marketDataSet, baseCcy, counterCcy)`
`IContextualInstrumentMarketDataRetriever`	Interface for a market data retriever that retrieves a single market data value relating to an instrument. The retrieval may be modified by a provided `MarketDataRetrieverContext`.	`getMarketData(asOfDate, marketDataSet, instrumentId, context)`
`IContextualCurveMarketDataRetriever`	Interface for a market data retriever for curve (1-axis) market data. The retrieval may be modified by a provided `MarketDataRetrieverContext`.	`getMarketData(asOfDate, marketDataSet, curveId, tenor, context)`, `getCurve(asOfDate, marketDataSet, curveId, context)`
`IContextualSurfaceMarketDataRetriever`	Interface for a market data retriever for surface (2-axis) market data. The retrieval may be modified by a provided `MarketDataRetrieverContext`.	`getMarketData(asOfDate, marketDataSet, surfaceId, tenor, moneyness, context)`, `getSurface(asOfDate, marketDataSet, surfaceId, context)`
`IContextualCubeMarketDataRetriever`	Interface for a market data retriever for cube (3-axis) market data. The retrieval may be modified by a provided `MarketDataRetrieverContext`.	`getMarketData(asOfDate, marketDataSet, cubeId, tenor, moneyness, maturity, contex)`, `getCube(asOfDate, marketDataSet, cubeId, context)`
`IContextualFxRateMarketDataRetriever`	Interface for a market data retriever that retrieves FX rates. The retrieval may be modified by a provided `MarketDataRetrieverContext`.	`getMarketData(asOfDate, marketDataSet, baseCcy, counterCcy, context)`

Market data retrieval implementations

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

Class	Description	Details
`TableInstrumentMarketDataRetriever`	Implements `ICurveMarketDataRetriever`.	Returns instrument market data values.
`TableCurveMarketDataRetriever`	Implements `ICurveMarketDataRetriever`.	Returns single market dates values from a curve, or whole curves.
`TableSurfaceMarkok,etDataRetriever`	Implements `ISurfaceMarketDataRetriever`.	Returns single market dates values from a surface, or whole surfaces.
`TableCubeMarketDataRetriever`	Implements `ICubeMarketDataRetriever`.	Returns single market dates values from a cube, or whole cubes.
`TableFxRateMarketDataRetriever`	Implements `IFxRateMarketDataRetriever`.	Returns FX rates.
`DateShiftingInstrumentMarketDataRetriever`	Implements `ICurveMarketDataRetriever`.	Returns instrument market data values after applying a shift to the provided asOfDate.
`DateShiftingCurveMarketDataRetriever`	Implements `ICurveMarketDataRetriever`.	Returns single market dates values from a curve, or whole curves after applying a shift to the provided asOfDate.
`DateShiftingSurfaceMarkok,etDataRetriever`	Implements `ISurfaceMarketDataRetriever`.	Returns single market dates values from a surface, or whole surfaces after applying a shift to the provided asOfDate.
`DateShiftingCubeMarketDataRetriever`	Implements `ICubeMarketDataRetriever`.	Returns single market dates values from a cube, or whole cubes after applying a shift to the provided asOfDate.
`DateShiftingCubeMarketDataRetriever`	Implements `IFxRateMarketDataRetriever`.	Returns FX rates after applying a shift to the provided asOfDate.

MarketDataDateShift

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

Value	Details
`CURRENT_DAY`	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 MarketDataRetrieverContext in the package com.activeviam.marketdata.api.retrievers.intf. It is used to define:

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

Date retrieval interfaces

Interfaces for date retrieval are defined in the package com.activeviam.marketdata.api.dates.intf

Interface	Description	Details
`IDateRetriever`	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.
`IContextualDateRetriever`	Interface for the retrieval of the current, previous or the next day with regard to a given asOfDate.	Takes an asOfDate and a `MarketDataRetrieverContext` 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
`TableDateRetriever`	Implementation of `IDateRetriever`.	Returns all the dates present in a given table in an `IDatabase` object.
`DateShiftingDateRetriever`	Implementation of `IContextualDateRetriever`.	Returns a shifted date (i.e. the current, next or previous date) with an asOfDate and a `MarketDataRetrieverContext` object as inputs.

Coordinate Translator Interface

The interface used to translate market data coordinates used to retrieve market data (i.e. modify the coordinates based on a given MarketDataRetrieverContext (see above)) is defined in the package com.activeviam.marketdata.api.translators.intf.

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

Interface	Description	Details
`IMarketDataCoordinateTranslator`	Interface for market data coordinates translators	Uses `IContextualDateRetriever` to translate a key based on a `MarketDataRetrieverContext`.

Key Translator Implementation

The implementation used to translate a coordinates used to retrieve market data is defined in the package com.activeviam.marketdata.api.translators.impl.

Interface	Description	Details
`DateShiftTranslator`	Implementation of `IMarketDataCoordinateTranslator`.	Shifts the provided date by using an underlying `IContextualDateRetriever`.

Market data retrieval service

IMarketDataRetrievalService (in com.activeviam.marketdata.api.services.intf) provides a higher level interface for retrieving market data. Whereas I...MarketDataRetriever objects retrieve data only from a specified store, retrieval services are expected to contain business logic relating to the collection of market data for specific uses. This may entail calls to multiple underlying retrievers or interpolation services.

The only current implementation of IMarketDataRetrievalService is an abstract class: ACachingMArketDataRetrievalService that handles caching of market data values in an IQueryCache at runtime.

Spring configuration classes

Several Spring configuration classes are provided in the com.activeviam.marketdata.api.configuration.retrievers package of the market-data-api-spring-boot-starter module, providing Datastore Helper (DASH) stores and retrievers as Spring beans. When you add the starter as a dependency in your project, the CubeMarketDataRetrievalConfig, CurveMarketDataRetrievalConfig, FxRateMarketDataRetrievalConfig, InstrumentMarketDataRetrievalConfig, and SurfaceMarketDataRetrievalConfig classes will be auto-configured.

Class	Details
`CubeMarketDataStoreConfig`	Publishes a cube store bean along with associated date retrievers and translators. This also configures an `IContextualCubeMarketDataRetriever` bean that can be overridden by providing a bean of the same type.
`CurveMarketDataStoreConfig`	Publishes a curve store bean along with associated date retrievers and translators. This also configures an `IContextualCurveMarketDataRetriever` bean that can be overridden by providing a bean of the same type.
`FxRateMarketDataStoreConfig`	Publishes an FX rate store bean along with associated date retrievers and translators. This also configures an `IContextualFxRateMarketDataRetriever` bean that can be overridden by providing a bean of the same type.
`InstrumentMarketDataStoreConfig`	Publishes an instrument store bean along with associated date retrievers and translators. This also configures an `IContextualInstrumentMarketDataRetriever` bean that can be overridden by providing a bean of the same type.
`SurfaceMarketDataStoreConfig`	Publishes a surface store bean along with associated date retrievers and translators. This also configures an `IContextualSurfaceMarketDataRetriever` bean that can be overridden by providing a bean of the same type.