public virtual void Build()
{
_spotDays = Parsers.ParseInteger(_strSpotDays);
_sourceCurrency = Parsers.ParseCurrency(_strSourceCurrency);
_targetCurrency = Parsers.ParseCurrency(_strTargetCurrency);
_pointsFactor = Parsers.ParseDouble(_strPointsFactor);
_advanceCalendar = _strAdvanceCalendar == "" ? new NullCalendar() : Parsers.ParseCalendar(_strAdvanceCalendar);
_spotRelative = _strSpotRelative == "" ? true : Parsers.ParseBool(_strSpotRelative);
}
public virtual double GetChildValueAsDouble(XmlNode node, string name, bool mandatory = false)
{
string s = GetChildValue(node, name, mandatory);
return(s == "" ? 0.0 : Parsers.ParseDouble(s));
}
private void LoadFile(string filename, bool isMarket)
{
//LOG("CSVLoader loading from " << filename);
Date today = Settings.evaluationDate();
using (var reader = new StreamReader(filename))
{
while (!reader.EndOfStream)
{
string line = reader.ReadLine();
if (line.Length > 0 && line[0] != '#')
{
line = line.Trim();
string[] tokens = line.Split(new[] { " " }, StringSplitOptions.None).ToList().Where(i => i != "").ToArray();
//string[] tokens = Regex.Split(line, ",;\t "); //line.Split(',').ToList();
// TODO: should we try, catch and log any invalid lines?
if (tokens.ToList().Count != 3)
{
var debug = "";
}
Utils.QL_REQUIRE(tokens.ToList().Count == 3, () => "Invalid CSVLoader line, 3 tokens expected " + line);
Date date = Parsers.ParseDateExact(tokens[0], "yyyyMMdd");
string key = tokens[1];
double value = Parsers.ParseDouble(tokens[2]);
if (isMarket)
{
// process market
// build market datum and add to map
try
{
if (!_data.ContainsKey(date))
{
List <MarketDatum> datum = new List <MarketDatum>();
datum.Add(MarketDatumParser.ParseMarketDatum(date, key, value));
_data.Add(date, datum);
}
else
{
_data[date].Add(MarketDatumParser.ParseMarketDatum(date, key, value));
}
//TLOG("Added MarketDatum " << data_[date].back()->name());
}
catch (Exception e)
{
//WLOG("Failed to parse MarketDatum " << key << ": " << e.ToString());
}
}
else
{
// process fixings
if (date < today || (date == today && !_implyTodaysFixings))
{
_fixings.Add(new Fixing(date, key, value));
}
}
}
}
// LOG("CSVLoader completed processing " << filename);
}
}
public static MarketDatum ParseMarketDatum(Date asof, string datumName, double value)
{
List <string> tokens = datumName.Split('/').ToList();
Utils.QL_REQUIRE(tokens.Count > 2, () => "more than 2 tokens expected in " + datumName);
MarketDatum.InstrumentType instrumentType = ParseInstrumentType(tokens[0]);
MarketDatum.QuoteType quoteType = ParseQuoteType(tokens[1]);
switch (instrumentType)
{
case MarketDatum.InstrumentType.ZERO:
{
//ZERO / RATE / EUR / EUR1D / A365 / 1Y
Utils.QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE || quoteType == MarketDatum.QuoteType.YIELD_SPREAD, () => "Invalid quote type for " + datumName);
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in " + datumName);
string ccy = tokens[2];
DayCounter dc = Parsers.ParseDayCounter(tokens[4]);
// token 5 can be a date, or tenor
Date date = new Date();
Period tenor = new Period();
bool isDate = false;
Parsers.ParseDateOrPeriod(tokens[5], date, tenor, out isDate);
return(new ZeroQuote(value, asof, datumName, quoteType, ccy, date, dc, tenor));
}
case MarketDatum.InstrumentType.DISCOUNT:
{
// DISCOUNT/RATE/EUR/EUR1D/1Y
// DISCOUNT/RATE/EUR/EUR1D/2016-12-15
Utils.QL_REQUIRE(tokens.Count == 5, () => "5 tokens expected in " + datumName);
string ccy = tokens[2];
// token 4 can be a date, or tenor
Date date = new Date();
Period tenor = new Period();
bool isDate = false;
Parsers.ParseDateOrPeriod(tokens[4], date, tenor, out isDate);
if (!isDate)
{
// we can't assume any calendar here, so we do the minimal adjustment with a weekend only calendar
Utils.QL_REQUIRE(tenor != null, () => "neither date nor tenor recognised");
date = new WeekendsOnly().adjust(asof + tenor);
}
return(new DiscountQuote(value, asof, datumName, quoteType, ccy, date));
}
//case MarketDatum.InstrumentType.MM:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// Period fwdStart = parsePeriod(tokens[3]);
// Period term = parsePeriod(tokens[4]);
// return boost::make_shared<MoneyMarketQuote>(value, asof, datumName, quoteType, ccy, fwdStart, term);
// }
//case MarketDatum.InstrumentType.MM_FUTURE:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// const string&expiry = tokens[3];
// const string&contract = tokens[4];
// Period term = parsePeriod(tokens[5]);
// return boost::make_shared<MMFutureQuote>(value, asof, datumName, quoteType, ccy, expiry, contract, term);
// }
case MarketDatum.InstrumentType.FRA:
{
Utils.QL_REQUIRE(tokens.Count == 5, () => "5 tokens expected in " + datumName);
string ccy = tokens[2];
Period fwdStart = Parsers.ParsePeriod(tokens[3]);
Period term = Parsers.ParsePeriod(tokens[4]);
return(new FRAQuote(value, asof, datumName, quoteType, ccy, fwdStart, term));
}
//case MarketDatum.InstrumentType.IMM_FRA:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// string imm1 = tokens[3];
// string imm2 = tokens[4];
// unsigned int m1 = parseInteger(imm1);
// unsigned int m2 = parseInteger(imm2);
// QL_REQUIRE(m2 > m1, "Second IMM date must be after the first in " << datumName);
// return boost::make_shared<ImmFraQuote>(value, asof, datumName, quoteType, ccy, m1, m2);
// }
case MarketDatum.InstrumentType.IR_SWAP:
{
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in " + datumName);
string ccy = tokens[2];
Period fwdStart = Parsers.ParsePeriod(tokens[3]);
Period tenor = Parsers.ParsePeriod(tokens[4]);
Period term = Parsers.ParsePeriod(tokens[5]);
return(new SwapQuote(value, asof, datumName, quoteType, ccy, fwdStart, term, tenor));
}
//case MarketDatum.InstrumentType.BASIS_SWAP:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// Period flatTerm = parsePeriod(tokens[2]);
// Period term = parsePeriod(tokens[3]);
// const string&ccy = tokens[4];
// Period maturity = parsePeriod(tokens[5]);
// return boost::make_shared<BasisSwapQuote>(value, asof, datumName, quoteType, flatTerm, term, ccy, maturity);
// }
case MarketDatum.InstrumentType.CC_BASIS_SWAP:
{
Utils.QL_REQUIRE(tokens.Count == 7, () => "7 tokens expected in " + datumName);
string flatCcy = tokens[2];
Period flatTerm = Parsers.ParsePeriod(tokens[3]);
string ccy = tokens[4];
Period term = Parsers.ParsePeriod(tokens[5]);
Period maturity = Parsers.ParsePeriod(tokens[6]);
return(new CrossCcyBasisSwapQuote(value, asof, datumName, quoteType, flatCcy, flatTerm, ccy, term, maturity));
}
//case MarketDatum.InstrumentType.CDS:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&underlyingName = tokens[2];
// const string&seniority = tokens[3];
// const string&ccy = tokens[4];
// Period term = parsePeriod(tokens[5]);
// return boost::make_shared<CdsSpreadQuote>(value, asof, datumName, underlyingName, seniority, ccy, term);
// }
//case MarketDatum.InstrumentType.HAZARD_RATE:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&underlyingName = tokens[2];
// const string&seniority = tokens[3];
// const string&ccy = tokens[4];
// Period term = parsePeriod(tokens[5]);
// return boost::make_shared<HazardRateQuote>(value, asof, datumName, underlyingName, seniority, ccy, term);
// }
//case MarketDatum.InstrumentType.RECOVERY_RATE:
// {
// QL_REQUIRE(tokens.size() == 3 || tokens.size() == 5, "3 or 5 tokens expected in " << datumName);
// const string&underlyingName = tokens[2]; // issuer name for CDS, security ID for bond specific RRs
// string seniority = "";
// string ccy = "";
// if (tokens.size() == 5)
// {
// // CDS
// seniority = tokens[3];
// ccy = tokens[4];
// }
// return boost::make_shared<RecoveryRateQuote>(value, asof, datumName, underlyingName, seniority, ccy);
// }
//case MarketDatum.InstrumentType.CAPFLOOR:
// {
// QL_REQUIRE(tokens.size() == 8 || tokens.size() == 4, "Either 4 or 8 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// if (tokens.size() == 8)
// {
// Period term = parsePeriod(tokens[3]);
// Period tenor = parsePeriod(tokens[4]);
// bool atm = parseBool(tokens[5].c_str());
// bool relative = parseBool(tokens[6].c_str());
// Real strike = parseReal(tokens[7]);
// return boost::make_shared<CapFloorQuote>(value, asof, datumName, quoteType, ccy, term, tenor, atm, relative,
// strike);
// }
// else
// {
// Period indexTenor = parsePeriod(tokens[3]);
// return boost::make_shared<CapFloorShiftQuote>(value, asof, datumName, quoteType, ccy, indexTenor);
// }
// }
case MarketDatum.InstrumentType.SWAPTION:
{
Utils.QL_REQUIRE(tokens.Count == 4 || tokens.Count == 6 || tokens.Count == 7, () => "4, 6 or 7 tokens expected in " + datumName);
string ccy = tokens[2];
Period expiry = tokens.Count >= 6 ? Parsers.ParsePeriod(tokens[3]) : new Period(0, TimeUnit.Days);
Period term = tokens.Count >= 6 ? Parsers.ParsePeriod(tokens[4]) : Parsers.ParsePeriod(tokens[3]);
if (tokens.Count >= 6)
{ // volatility
string dimension = tokens[5];
double strike = 0.0;
if (dimension == "ATM")
{
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in ATM quote " + datumName);
}
else if (dimension == "Smile")
{
Utils.QL_REQUIRE(tokens.Count == 7, () => "7 tokens expected in Smile quote " + datumName);
strike = Parsers.ParseDouble(tokens[6]);
}
else
{
Utils.QL_FAIL("Swaption vol quote dimension " + dimension + " not recognised");
}
return(new SwaptionQuote(value, asof, datumName, quoteType, ccy, expiry, term, dimension, strike));
}
else
{ // SLN volatility shift
return(null);
//return new SwaptionShiftQuote(value, asof, datumName, quoteType, ccy, term);
}
}
case MarketDatum.InstrumentType.FX_SPOT:
{
Utils.QL_REQUIRE(tokens.Count == 4, () => "4 tokens expected in " + datumName);
string unitCcy = tokens[2];
string ccy = tokens[3];
return(new FXSpotQuote(value, asof, datumName, quoteType, unitCcy, ccy));
}
case MarketDatum.InstrumentType.FX_FWD:
{
Utils.QL_REQUIRE(tokens.Count == 5, () => "5 tokens expected in " + datumName);
string unitCcy = tokens[2];
string ccy = tokens[3];
Period term = Parsers.ParsePeriod(tokens[4]);
return(new FXForwardQuote(value, asof, datumName, quoteType, unitCcy, ccy, term));
}
case MarketDatum.InstrumentType.FX_OPTION:
{
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in " + datumName);
string unitCcy = tokens[2];
string ccy = tokens[3];
Period expiry = Parsers.ParsePeriod(tokens[4]);
string strike = tokens[5];
return(new FXOptionQuote(value, asof, datumName, quoteType, unitCcy, ccy, expiry, strike));
}
//case MarketDatum.InstrumentType.ZC_INFLATIONSWAP:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// const string&index = tokens[2];
// Period term = parsePeriod(tokens[3]);
// return boost::make_shared<ZcInflationSwapQuote>(value, asof, datumName, index, term);
// }
//case MarketDatum.InstrumentType.YY_INFLATIONSWAP:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// const string&index = tokens[2];
// Period term = parsePeriod(tokens[3]);
// return boost::make_shared<YoYInflationSwapQuote>(value, asof, datumName, index, term);
// }
//case MarketDatum.InstrumentType.ZC_INFLATIONCAPFLOOR:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&index = tokens[2];
// Period term = parsePeriod(tokens[3]);
// QL_REQUIRE(tokens[4] == "C" || tokens[4] == "F",
// "excepted C or F for Cap or Floor at position 5 in " << datumName);
// bool isCap = tokens[4] == "C";
// string strike = tokens[5];
// return boost::make_shared<ZcInflationCapFloorQuote>(value, asof, datumName, quoteType, index, term, isCap,
// strike);
// }
//case MarketDatum.InstrumentType.SEASONALITY:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// const string&index = tokens[3];
// const string&type = tokens[2];
// const string&month = tokens[4];
// return boost::make_shared<SeasonalityQuote>(value, asof, datumName, index, type, month);
// }
//case MarketDatum.InstrumentType.EQUITY_SPOT:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.PRICE, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// return boost::make_shared<EquitySpotQuote>(value, asof, datumName, quoteType, equityName, ccy);
// }
//case MarketDatum.InstrumentType.EQUITY_FWD:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.PRICE, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// Date expiryDate = getDateFromDateOrPeriod(tokens[4], asof);
// return boost::make_shared<EquityForwardQuote>(value, asof, datumName, quoteType, equityName, ccy, expiryDate);
// }
//case MarketDatum.InstrumentType.EQUITY_DIVIDEND:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// Date tenorDate = getDateFromDateOrPeriod(tokens[4], asof);
// return boost::make_shared<EquityDividendYieldQuote>(value, asof, datumName, quoteType, equityName, ccy,
// tenorDate);
// }
//case MarketDatum.InstrumentType.EQUITY_OPTION:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE_LNVOL, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// string expiryString = tokens[4];
// const string&strike = tokens[5];
// // note how we only store the expiry string - to ensure we can support both Periods and Dates being specified in
// // the vol curve-config.
// return boost::make_shared<EquityOptionQuote>(value, asof, datumName, quoteType, equityName, ccy, expiryString,
// strike);
// }
//case MarketDatum.InstrumentType.BOND:
// {
// QL_REQUIRE(tokens.size() == 3, "3 tokens expected in " << datumName);
// const string&securityID = tokens[2];
// return boost::make_shared<SecuritySpreadQuote>(value, asof, datumName, securityID);
// }
//case MarketDatum.InstrumentType.CDS_INDEX:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.BASE_CORRELATION, "Invalid quote type for " << datumName);
// const string&cdsIndexName = tokens[2];
// Period term = parsePeriod(tokens[3]);
// Real detachmentPoint = parseReal(tokens[4]);
// return boost::make_shared<BaseCorrelationQuote>(value, asof, datumName, quoteType, cdsIndexName, term,
// detachmentPoint);
// }
//case MarketDatum.InstrumentType.INDEX_CDS_OPTION:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE_LNVOL, "Invalid quote type for " << datumName);
// const string&indexName = tokens[2];
// const string&expiry = tokens[3];
// return boost::make_shared<IndexCDSOptionQuote>(value, asof, datumName, indexName, expiry);
// }
default:
//Utils.QL_FAIL("Cannot convert \"" + datumName + "\" to MarketDatum");
return(null);
}
}