Data retrieval - Atoti Hub

The Atoti Market Data Library can retrieve the following:

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 packages com.activeviam.marketdata.lib.retrievers.intf and com.activeviam.marketdata.lib.retrievers.contextual.intf.

Interface	Description	Methods
`IMarketDataRetriever<C, V>`	Interface for a market data retriever that retrieves a single market data value based on the coordinates passed in.	`getMarketData(coordinates)`
`IDefaultMarketDataRetriever`	Interface for a market data retriever that retrieves a single market data `Double` value based on the coordinates passed in as an `Object[]`.	None, aliasing `IMarketDataRetriever<Object[], Double>`
`ISpotMarketDataRetriever`	Interface for a market data retriever for spot data, extending `IDefaultMarketDataRetriever`.	`getMarketData(LocalDate asOfDate, String marketDataSet, String instrumentId)`
`ICurveMarketDataRetriever`	Interface for a market data retriever for curve (1-axis) market data, extending `IDefaultMarketDataRetriever`.	`getCurve(asOfDate, marketDataSet, curveId)`
`ISurfaceMarketDataRetriever`	Interface for a market data retriever for surface (2-axis) market data, extending `IDefaultMarketDataRetriever`.	`getSurface(asOfDate, marketDataSet, surfaceId)`
`ICubeMarketDataRetriever`	Interface for a market data retriever for cube (3-axis) market data, extending `IDefaultMarketDataRetriever`.	`getCube(asOfDate, marketDataSet, cubeId)`
`IFxMarketDataRetriever`	Interface for a market data retriever for FX rates, extending `IDefaultMarketDataRetriever`.	`getMarketData(asOfDate, marketDataSet, baseCcy, counterCcy)`
`IContextualMarketDataRetriever<C, V>`	Interface for a market data retriever for single market data values based on the coordinates passed in. The retrieval may be modified by a provided `MarketDataRetrieverContext`, and a name can be associated with the retriever.	`getName()`, `getMarketData(coordinates, context)`
`IDefaultContextualMarketDataRetriever`	Interface for a market data retriever for single market data `Double` values based on the coordinates passed in as an `Object[]`. The retrieval may be modified by a provided `MarketDataRetrieverContext`, and a name can be associated with the retriever.	None, aliasing `IContextualMarketDataRetriever<Object[], Double>`

Market data retrieval implementations

Implementations for market data retrieval are defined in the com.activeviam.marketdata.lib.retrievers.impl and com.activeviam.marketdata.lib.retrievers.contextual.impl packages. All retrievers provide Lombok builders.

Class	Description	Details
`SingleTableMarketDataRetriever`	Implements `IDefaultMarketDataRetriever`.	Returns a single market data `Double` value.
`SpotTableMarketDataRetriever`	Extends `SingleTableMarketDataRetriever`, implements `ISpotMarketDataRetriever`.	Returns spot market data.
`FxRateTableMarketDataRetriever`	Extends `SingleTableMarketDataRetriever`, implements `IFxRateMarketDataRetriever`.	Returns FX rates and available currencies.
`CurveTableMarketDataRetriever`	Extends `SingleTableMarketDataRetriever`, implements `ICurveMarketDataRetriever`.	Returns single market dates values from a curve, or whole curves.
`SurfaceTableMarketDataRetriever`	Extends `SingleTableMarketDataRetriever`, implements `ISurfaceMarketDataRetriever`.	Returns single market dates values from a surface, or whole surfaces.
`CubeTableMarketDataRetriever`	Extends `SingleTableMarketDataRetriever`, implements `ICubeMarketDataRetriever`.	Returns single market dates values from a cube.
`AContextualMarketDataRetriever<C, V>`	Implements `IContextualMarketDataRetriever<C, V>`.	Returns market data with caching, after translating the requested coordinates using a coordinates translator. Provides abstract methods for creating a cache key and a non-contextual retrieval of market data, to be overridden by any extension.
`ADefaultContextualMarketDataRetriever`	Extends `AContextualMarketDataRetriever<Object[], Double>`, implements `IDefaultContextualMarketDataRetriever`.	Creates a cache key based on the translated coordinates, the retriever name and the retrieval operation id.
`SingleContextualMarketDataRetriever<T extends IDefaultMarketDataRetriever>`	Extends `ADefaultContextualMarketDataRetriever`.	Returns market data values using the underlying table retriever.
`FxContextualMarketDataRetriever`	Extends `SingleContextualMarketDataRetriever<IFxMarketDataRetriever>`.	Returns FX rates with support for inverse rates and pivot currencies.
`InterpolatingCurveContextualMarketDataRetriever`	Extends `SingleContextualMarketDataRetriever<ICurveMarketDataRetriever<String>>`.	Returns single market data values from a curve, interpolating values from the whole curve when necessary.
`InterpolatingSurfaceContextualMarketDataRetriever`	Extends `SingleContextualMarketDataRetriever<ISurfaceMarketDataRetriever<String, String>>`.	Returns single market data values from a surface, interpolating values from the whole surface when necessary.

Market data retrieval containers

All contextual market data retrievers are built using a name, table retriever, and coordinate translator. To facilitate their instantiation, we provide containers for the components and a service for their collection.

Class	Description
`IMarketDataRetrievalContainer<T>`	An interface for a container for a retriever of type `T`, with an associated `IMarketDataCoordinateTranslator<Object[]>` and a name.
`MarketDataRetrievalContainer<T>`	An implementation of `IMarketDataRetrievalContainer<T>` as a `record`.
`IMarketDataRetrievalContainerService<T>`	An interface for a service allowing the selection of `IMarketDataRetrievalContainer<T>` by name.
`MarketDataRetrievalContainerService<T>`	An implementation of `IMarketDataRetrievalContainerService<T>` collecting `IMarketDataRetrievalContainer<T>` objects.
`MarketDataRetrievalContainerServiceConfig`	Spring `@Configuration` class publishing a `MarketDataRetrievalContainerService<T>` as an `IMarketDataRetrievalContainerService<T>` bean.

MarketDataDateShift

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

Value	Details
`CURRENT_DAY`	Retrieves the current day with regard to a base date.
`NEXT_DAY`	Retrieves the next day with regard to a base date.
`PREVIOUS_DAY`	Retrieves 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.lib.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.lib.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.marketdata.lib.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 for translating market data coordinates used to retrieve market data is defined in the package com.activeviam.marketdata.lib.translators.intf. This interface modifies the coordinates based on a given MarketDataRetrieverContext (see Retrieval context). 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.lib.translators.impl.

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

Spring configuration classes

To configure the retrieval from a market data store, we now create:

The store, as a @Bean extending AMarketDataStore<T>, used by the IDatastoreConfigurator
A TableDateRetriever on the configured store
A DateShiftingDateRetriever wrapping the TableDateRetriever with caching and date shifting
An IMarketDataCoordinateTranslator<List<Object>>, usually an implementation of DateShiftingTranslator, using the DateShiftingDateRetriever, to shift the market data retrieval coordinates to the correct date
A retriever of the appropriate type (e.g. a CubeTableMarketDataRetriever as an ICubeMarketDataRetriever<String, String, String>)
A container wrapping the retriever and translator, with a name.

In cases where the components held in a container are sufficient for instantiating a contextual retriever, the IMarketDataRetrievalContainerService should be used (e.g. for retrieving a point on a curve without interpolation, the SingleMarketDataPostProcessor can be instantiated with the CURVE_MARKET_DATA_RETRIEVER property). Several Spring configuration classes are provided in the com.activeviam.marketdata.config.retrievers package of the market-data-config module, providing Datastore Helper (DaSH) stores and retrievers as Spring beans. When you add the market-data-spring-boot-starter as a dependency in your project, the CubeMarketDataRetrievalConfig, CurveMarketDataRetrievalConfig, FxRateMarketDataRetrievalConfig, InstrumentMarketDataRetrievalConfig, and SurfaceMarketDataRetrievalConfig classes will be auto-configured.

Class	Details
`SpotMarketDataStoreConfig`	Publishes a spot store bean along with associated date retrievers and translators.
`FxRateMarketDataStoreConfig`	Publishes an FX rate store bean along with associated date retrievers and translators.
`CurveMarketDataStoreConfig`	Publishes a curve store bean along with associated date retrievers and translators.
`SurfaceMarketDataStoreConfig`	Publishes a surface store bean along with associated date retrievers and translators.
`CubeMarketDataStoreConfig`	Publishes a cube store bean along with associated date retrievers and translators.
`MarketDataRetrievalContainerServiceConfig`	Publishes an `IMarketDataRetrievalContainerService<T>` collecting all implementations of `IMarketDataRetrievalContainer<T>` published by the individual configuration classes.
`AllMarketDataRetrievalConfig`	Imports all other `*MarketDataRetrievalConfig` and `MarketDataRetrievalContainerServiceConfig` classes.

​Market data retrieval interfaces

​Market data retrieval implementations

​Market data retrieval containers

​MarketDataDateShift

​Retrieval context

​Date retrieval interfaces

​Date retrieval implementations

​Coordinate Translator Interface

​Key Translator Implementation

​Spring configuration classes