Documentation Index
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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. |
