void AbstractFileSource::display(const CSVDatabase& db) {
if(!db.size())
return;
CSVDatabaseCI i=db.begin();
for(; i != db.end(); ++i){
display(*i);
std::cout<<std::endl;
}
};
void BondFutureFileSource::retrieveRecord(){
if (!_enabled) return;
CSVDatabase db = readCSV(_persistDir+_fileName);
int numOfRows=db.size();
RecordHelper::BondFutureMap* bondRateMap = RecordHelper::getInstance()->getBondFutureMap();
for (int i=1;i<numOfRows;i++) {
BondFuture* tempBondFuture = createBondFutureObject(db, i);
insertBondFutureIntoCache(tempBondFuture, bondRateMap);
}
}
void CcyPairFileSource::retrieveRecord(){
if (!_enabled) return;
CSVDatabase db = readCSV(_persistDir+_fileName);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
RecordHelper::CcyPairMap* CcyPairMap = RecordHelper::getInstance()->getCcyPairMap();
for (int i=1;i<numOfRows;i++) {
CcyPair* tempCcyPair = createCcyPairObject(db, i);
insertCcyPairIntoCache(tempCcyPair, CcyPairMap);
}
}
void BondPriceFileSource::retrieveRecord(){
if (!_enabled) return;
CSVDatabase db = readCSV(_persistDir+_fileName);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
int bondTenorNumOfMonths=0;
RecordHelper::BondRateMap* bondRateMap = RecordHelper::getInstance()->getBondRateMap();
for (int i=1;i<numOfRows;i++) {
Bond* tempBond = createBondObject(db, i);
insertBondIntoCache(tempBond, bondRateMap);
}
}
void DepositFileSource::retrieveRecord(){
if (!_enabled) return;
CSVDatabase db = readCSV(_persistDir+_fileName);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
RecordHelper::DepositRateMap* depositRateMap = RecordHelper::getInstance()->getDepositRateMap();
for (int i=1;i<numOfRows;i++) {
Deposit* tempDeposit = createDepositObject(db, i);
tempDeposit->deriveAccrualStartDate();
insertDepositIntoCache(tempDeposit, depositRateMap);
}
}
void BondFutureFileSource::retrieveRecord(){
if (!_enabled) return;
AbstractFileSource::retrieveRecord();
CSVDatabase db;
readCSV(_inFile, db);
int numOfRows=db.size();
RecordHelper::BondFutureMap* bondRateMap = RecordHelper::getInstance()->getBondFutureMap();
for (int i=1;i<numOfRows;i++) {
BondFuture* tempBondFuture = createBondFutureObject(db, i);
insertBondFutureIntoCache(tempBondFuture, bondRateMap);
}
_inFile.close();
}
void FXForwardFileSource::retrieveRecord(){
if (!_enabled) return;
AbstractFileSource::retrieveRecord();
CSVDatabase db;
readCSV(_inFile, db);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
RecordHelper::FXForwardMap* FXForwardMap = RecordHelper::getInstance()->getFXForwardMap();
for (int i=1;i<numOfRows;i++) {
FXForward* tempForward = createForwardObject(db, i);
insertForwardIntoCache(tempForward, FXForwardMap);
}
deriveSpotForwardRate(FXForwardMap);
_inFile.close();
}
void DepositFileSource::retrieveRecord(){
AbstractFileSource::retrieveRecord();
enums::MarketEnum marketEnum;
CSVDatabase db;
readCSV(_inFile, db);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
RecordHelper::RateMap tempDepositMap;
RecordHelper::RateMap tempOvernightMap;
for (int i=1;i<numOfCols;i++) {
marketEnum=EnumHelper::getCcyEnum(db.at(0).at(i));
Market market = Market(marketEnum);
map<long, double>* depositRateMap = new map<long, double>;
map<long, double>* overnightRateMap = new map<long, double>;
for (int j = 1; j<numOfRows; j++)
{
string tenorStr = db.at(j).at(0);
double liborRate = std::stod(db.at(j).at(i))/100.0;
insertRateIntoMap(tenorStr, liborRate, market, depositRateMap, overnightRateMap);
}
tempDepositMap.insert(pair<enums::MarketEnum, map<long, double>>(marketEnum,*depositRateMap));
tempOvernightMap.insert(pair<enums::MarketEnum, map<long, double>>(marketEnum,*overnightRateMap));
}
RecordHelper::getInstance()->setDepositRateMap(tempDepositMap);
RecordHelper::getInstance()->setOverNightRateMap(tempOvernightMap);
_inFile.close();
}
void MarketFileSource::retrieveRecord(){
if (!_enabled) return;
AbstractFileSource::retrieveRecord();
CSVDatabase db;
readCSV(_inFile, db);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
RecordHelper::MarketMap marketMap;
for (int j=1;j<numOfCols;j++) {
String marketStr = db.at(0).at(j);
enums::CurrencyEnum CurrencyEnum = EnumHelper::getCcyEnum(marketStr);
Market* market = new Market();
for (int i=0;i<numOfRows;i++){
String fieldName=db.at(i).at(0);
String fieldVal=db.at(i).at(j);
updateMarketObjectField(fieldName, fieldVal, market);
}
market->display();
marketMap.insert(std::make_pair(CurrencyEnum,*market));
}
RecordHelper::getInstance()->setMarketMap(marketMap);
_inFile.close();
}
void AbstractFileSource::readCSV(std::ifstream &input, CSVDatabase &db) {
String csvLine;
// read every line from the stream
while( std::getline(input, csvLine) ){
std::istringstream csvStream(csvLine);
CSVRow csvRow;
String csvCol;
// read every element from the line that is seperated by commas
// and put it into the vector or strings
while( std::getline(csvStream, csvCol, ','))
csvRow.push_back(csvCol);
db.push_back(csvRow);
}
};
void SwaptionVolFileSource::retrieveRecord(){
AbstractFileSource::retrieveRecord();
CSVDatabase db;
readCSV(_inFile, db);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
int strikeDiffATM=0;
RecordHelper::SwaptionCubeMap tempSwaptionCubeMap;
RecordHelper::SwaptionATMStrikeMap tempSwaptionATMStrikeMap;
RecordHelper::SwaptionSurfaceMap volSurfaceMap;
std::regex ATM ("ATM(.*)");
for (int i=0;i<=numOfRows-1;i++) {
String aCell=db.at(i).at(0);
if (std::regex_match (aCell,ATM)) {
if (i!=0){
tempSwaptionCubeMap.insert(std::make_pair(strikeDiffATM,volSurfaceMap));
//<double,std::map<tuple<double,double>,double>>
volSurfaceMap.clear();
}
strikeDiffATM = getStrikeDiffATM(aCell);
enums::MarketEnum market = EnumHelper::getCcyEnum(db.at(i).at(1));
Market mkt(market);
continue;
}
for (int j=2;j<=numOfCols-1;j++) {
String topRowCell=db.at(0).at(j);
String tagCell=db.at(i).at(1);
if (tagCell.compare("Vol")==0) {
int optionExpiryInMonth=std::stoi(aCell.substr(0,aCell.find(" ")));
if (string::npos != aCell.find("YR")) {
optionExpiryInMonth=std::stoi(aCell.substr(0,aCell.find(" ")))*12;
}
double vol=db.at(i).at(j).compare("")==0?NaN:std::stod(db.at(i).at(j))/100;
double strike=db.at(i+1).at(j).compare("")==0?NaN:std::stod(db.at(i+1).at(j));
int fSwapTenorInMonth=std::stoi(topRowCell.substr(0,topRowCell.find(" ")))*12;
auto aTuple=std::make_tuple(fSwapTenorInMonth,optionExpiryInMonth);
insertPointVolSurfaceMap(volSurfaceMap,fSwapTenorInMonth,optionExpiryInMonth,vol);
if (strikeDiffATM==0)
tempSwaptionATMStrikeMap.insert(std::make_pair(aTuple,strike));
}
else {
continue;
}
}
}
/*cout <<"numofRows="<<db.size()<<endl;
cout <<"numOfCols="<<db.at(0).size()<<endl;*/
tempSwaptionCubeMap.insert(std::make_pair(strikeDiffATM,volSurfaceMap));
RecordHelper::getInstance()->setSwaptionATMStrikeMap(tempSwaptionATMStrikeMap);
RecordHelper::getInstance()->setSwaptionVolMap(tempSwaptionCubeMap);
_inFile.close();
//DAO::SwaptionVolFileSource::swaptionTest();
}
