Loader Class Reference

Market data loader base class. More...

#include <ored/marketdata/loader.hpp>

Inheritance diagram for Loader:

Interface
class	boost::serialization::access
	Serialization.
Date	actualDate_ = Date()
virtual std::vector< QuantLib::ext::shared_ptr< MarketDatum > >	loadQuotes (const QuantLib::Date &) const =0
	get all quotes, TODO change the return value to std::set
virtual QuantLib::ext::shared_ptr< MarketDatum >	get (const std::string &name, const QuantLib::Date &d) const
	get quote by its unique name, throws if not existent, override in derived classes for performance
virtual std::set< QuantLib::ext::shared_ptr< MarketDatum > >	get (const std::set< std::string > &names, const QuantLib::Date &asof) const
	get quotes matching a set of names, this should be overridden in derived classes for performance
virtual std::set< QuantLib::ext::shared_ptr< MarketDatum > >	get (const Wildcard &wildcard, const QuantLib::Date &asof) const
	get quotes matching a wildcard, this should be overriden in derived classes for performance
virtual bool	has (const std::string &name, const QuantLib::Date &d) const
	Default implementation, returns false if get throws or returns a null pointer.
virtual bool	hasQuotes (const QuantLib::Date &d) const
	check if there are quotes for a date
virtual QuantLib::ext::shared_ptr< MarketDatum >	get (const std::pair< std::string, bool > &name, const QuantLib::Date &d) const
virtual std::set< Fixing >	loadFixings () const =0
virtual bool	hasFixing (const string &name, const QuantLib::Date &d) const
virtual Fixing	getFixing (const string &name, const QuantLib::Date &d) const
	Default implementation for getFixing.
virtual std::set< QuantExt::Dividend >	loadDividends () const
	Optional load dividends method.
void	setActualDate (const QuantLib::Date &d)
const Date &	actualDate () const
std::pair< bool, string >	checkFxDuplicate (const ext::shared_ptr< MarketDatum >, const QuantLib::Date &)

Detailed Description

Market data loader base class.

Member Function Documentation

get()

virtual QuantLib::ext::shared_ptr<MarketDatum> get ( const std::pair< std::string, bool > &  name, const QuantLib::Date &  d  ) const

virtual

Default implementation for get that allows for the market data item to be optional. The first element of the name pair is the name of the market point being sought and the second element of the name pair is a flag to indicate if the market data point is optional, true, or not, false.

• if the quote is in the loader for date d, it is returned
• if the quote is not in the loader for date d and it is optional, a warning is logged and a QuantLib::ext::shared_ptr<MarketDatum>() is returned
• if the quote is not in the loader for date d and it is not optional, an exception is thrown

Member Data Documentation

actualDate_

Date actualDate_ = Date()

protected

For lagged market data, where we need to take data from a different date but want to treat it as belonging to the valuation date.