void EventFunctionMFactory::parseXml(TiXmlNode* node)
{
boost::shared_ptr<EventFunction> ptr;
//bool equality = getElementBool(node,"equality");
bool equality = node->FirstChild("checkValue").Attribute("equality");
double checkValue = d_xpath_double(node,"//checkValue/text()");
std::string functionType = getElementValue(node,"functionType");
if(to_upper_copy(functionType)=="UPEVENTCHECK"){ptr = boost::shared_ptr<EventFunction>(new UpEventCheck(checkValue,equality));}
else if(to_upper_copy(functionType)=="DOWNEVENTCHECK"){ptr = boost::shared_ptr<EventFunction>(new DownEventCheck(checkValue,equality));}
else if(to_upper_copy(functionType)=="UPDOWNEVENTCHECK"){ptr = boost::shared_ptr<EventFunction>(
new UpDownEventCheck(checkValue,equality,checkValue,equality));}
//else if(functionType=="RangeCheck"){ptr = boost::shared_ptr<EventFunction>(new IdentityEventCheck(checkValue,equality));}
else{ptr = boost::shared_ptr<EventFunction>(new IdentityEventCheck(equality));}
//std::string value = node->FirstChildElement()->GetText();
std::string functionSymbol = getElementValue(node,"functionSymbol");
std::string indexSymbol = getElementValue(node,"indexSymbol");
eventFunctionM_ = boost::shared_ptr<EventFunctionManager>(
new EventFunctionManager(functionSymbol,
indexSymbol,
ptr));
}
double* IndexSymbolManager::setSymbol(const string& name) const {
if(this->hasSymbol(name)){
return &(data_[to_upper_copy(name)]);
}else{
data_[to_upper_copy(name)]=0.0; //ÃʱâÈÇÔ.
return &(data_[to_upper_copy(name)]);
}
}
bool case_insensitive_cmp::operator () (const std::string &left, const std::string &right) const
{
if (strcmp(to_upper_copy(left).c_str(), to_upper_copy(right).c_str()) < 0)
return true;
else
return false;
}
void IDManager::setVID(const string& name,const std::vector<boost::shared_ptr<ISerialized>>& id) const {
#ifdef ConsolePrint
FileManager::instance().outFile_ << FileManager::instance().tap_ << "setVID : " << name.c_str() << std::endl;
#endif
if(this->hasID(to_upper_copy(name))){
QL_FAIL("already exist id : " << name.c_str());
}else{
vdata_[to_upper_copy(name)]=id; //초기화함.
}
}
void PathInformation::addIndexName(const std::string& name)
{
bool hasIndexFlag = false;
for(Size i = 0 ; i < indexName_.size() ; ++i){
if(to_upper_copy(indexName_[i]) == to_upper_copy(name))
hasIndexFlag = true;
}
if(!hasIndexFlag)
this->indexName_.push_back(name);
}
std::vector<boost::shared_ptr<ISerialized>> IDManager::getVID(const string& name) const {
#ifdef ConsolePrint
FileManager::instance().outFile_ << FileManager::instance().tap_ << "getVID : " << name.c_str() << std::endl;
#endif
if(this->hasID(to_upper_copy(name))){
return vdata_[to_upper_copy(name)];
}else
{
QL_FAIL("id doesn't exist : " << name.c_str());
}
}
bool getElementBool(TiXmlNode* xmlNode , const std::string& elementName){
//element이름 getText()하는 부분에서 오류남.
if((xmlNode->FirstChildElement(elementName.c_str())) != 0){
std::string str = xmlNode->FirstChildElement(elementName.c_str())->GetText();
if( to_upper_copy(str) == "TRUE" || to_upper_copy(str) == "T") {
return true;
}else{
return false;
}
}
return false;
}
bool ECB::isECBcode(const std::string& ecbCode) {
if (ecbCode.length() != 5)
return false;
string code = to_upper_copy(ecbCode);
string str1("0123456789");
string::size_type loc = str1.find(code.substr(3, 1), 0);
if (loc == string::npos)
return false;
loc = str1.find(code.substr(4, 1), 0);
if (loc == string::npos)
return false;
string monthString = code.substr(0, 3);
if (monthString=="JAN") return true;
else if (monthString=="FEB") return true;
else if (monthString=="MAR") return true;
else if (monthString=="APR") return true;
else if (monthString=="MAY") return true;
else if (monthString=="JUN") return true;
else if (monthString=="JUL") return true;
else if (monthString=="AUG") return true;
else if (monthString=="SEP") return true;
else if (monthString=="OCT") return true;
else if (monthString=="NOV") return true;
else if (monthString=="DEC") return true;
else return false;
}
string ECB::nextCode(const std::string& ecbCode) {
QL_REQUIRE(isECBcode(ecbCode),
ecbCode << " is not a valid ECB code");
string code = to_upper_copy(ecbCode);
std::ostringstream result;
string monthString = code.substr(0, 3);
if (monthString=="JAN") result << "FEB" << code.substr(3, 2);
else if (monthString=="FEB") result << "MAR" << code.substr(3, 2);
else if (monthString=="MAR") result << "APR" << code.substr(3, 2);
else if (monthString=="APR") result << "MAY" << code.substr(3, 2);
else if (monthString=="MAY") result << "JUN" << code.substr(3, 2);
else if (monthString=="JUN") result << "JUL" << code.substr(3, 2);
else if (monthString=="JUL") result << "AUG" << code.substr(3, 2);
else if (monthString=="AUG") result << "SEP" << code.substr(3, 2);
else if (monthString=="SEP") result << "OCT" << code.substr(3, 2);
else if (monthString=="OCT") result << "NOV" << code.substr(3, 2);
else if (monthString=="NOV") result << "DEC" << code.substr(3, 2);
else if (monthString=="DEC") {
// lexical_cast causes compilation errors with x64
//Year y = boost::lexical_cast<Year>(code.substr(3, 2));
unsigned int y = (io::to_integer(code.substr(3, 2)) + 1) % 100;
string padding;
if (y < 10)
padding = "0";
result << "JAN" << padding << y;
} else QL_FAIL("not an ECB month (and it should have been)");
#if defined(QL_EXTRA_SAFETY_CHECKS)
QL_ENSURE(isECBcode(result.str()),
"the result " << result.str() <<
" is an invalid ECB code");
#endif
return result.str();
}
Date ECB::date(const string& ecbCode,
const Date& refDate) {
QL_REQUIRE(isECBcode(ecbCode),
ecbCode << " is not a valid ECB code");
string code = to_upper_copy(ecbCode);
string monthString = code.substr(0, 3);
Month m;
if (monthString=="JAN") m = January;
else if (monthString=="FEB") m = February;
else if (monthString=="MAR") m = March;
else if (monthString=="APR") m = April;
else if (monthString=="MAY") m = May;
else if (monthString=="JUN") m = June;
else if (monthString=="JUL") m = July;
else if (monthString=="AUG") m = August;
else if (monthString=="SEP") m = September;
else if (monthString=="OCT") m = October;
else if (monthString=="NOV") m = November;
else if (monthString=="DEC") m = December;
else QL_FAIL("not an ECB month (and it should have been)");
// lexical_cast causes compilation errors with x64
//Year y = boost::lexical_cast<Year>(code.substr(3, 2));
Year y = io::to_integer(code.substr(3, 2));
Date referenceDate = (refDate != Date() ?
refDate :
Date(Settings::instance().evaluationDate()));
Year referenceYear = (referenceDate.year() % 100);
y += referenceDate.year() - referenceYear;
if (y<Date::minDate().year())
return ECB::nextDate(Date::minDate());
return ECB::nextDate(Date(1, m, y));
}
void IndexManager::clearHistory(const string& name) {
data_.erase(to_upper_copy(name));
}
boost::shared_ptr<IEventCheck> EventSymbolManager::getSymbol(const std::string& name) const {
return data_[to_upper_copy(name)];
}
void IndexManager::clearHistory(const string& name) {
data_[to_upper_copy(name)] = TimeSeries<Real>();
}
Libor::Libor(const shared_ptr<ValueObject>& properties,
const QuantLib::Currency& currency,
const std::string& p,
const QuantLib::Handle<QuantLib::YieldTermStructure>& h,
bool permanent) : IborIndex(properties, permanent)
{
switch (currency.numericCode()) {
case 978: // EUR
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorEURLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorEURLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorEURLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::EURLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::EURLibor(pp, h));
}
break;
case 840: // USD
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorUSDLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorUSDLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorUSDLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::USDLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::USDLibor(pp, h));
}
break;
case 826: // GBP
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorGBPLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorGBPLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorGBPLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::GBPLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::GBPLibor(pp, h));
}
break;
case 756: // CHF
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorCHFLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorCHFLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorCHFLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::CHFLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::CHFLibor(pp, h));
}
break;
case 392: // JPY
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorJPYLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorJPYLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorJPYLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::JPYLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::JPYLibor(pp, h));
}
break;
default:
QL_FAIL("Unhandled currency " << currency);
}
}
void IndexManager::setHistory(const string& name,
const TimeSeries<Real>& history) {
data_[to_upper_copy(name)] = history;
}
boost::shared_ptr<Observable>
IndexManager::notifier(const string& name) const {
return data_[to_upper_copy(name)];
}
bool IndexManager::hasHistory(const string& name) const {
return data_.find(to_upper_copy(name)) != data_.end();
}
const TimeSeries<Real>&
IndexManager::getHistory(const string& name) const {
return data_[to_upper_copy(name)].value();
}
bool IDManager::hasID(const string& name) const {
return data_.find(to_upper_copy(name)) != data_.end();
}
void IndexSymbolManager::clearSymbol(const string& name) {
data_.erase(to_upper_copy(name));
}
bool IndexSymbolManager::hasSymbol(const string& name) const {
return data_.find(to_upper_copy(name)) != data_.end();
}
void EventSymbolManager::setSymbol(const string& name , const boost::shared_ptr<IEventCheck>& ptr) const {
data_[to_upper_copy(name)] = ptr; //µ¤À½.
}
//! returns whether historical fixings were stored for the index
bool PathInformation::hasPath(const std::string& name) const
{
return data_.find(to_upper_copy(name)) != data_.end();
}
//------------------------------------------------------------------------------
int main(int argc, char * const argv[])
{
Options opt = GetOptions(argc, argv);
// Log in
SpreadsheetService service(opt.user, opt.password,
"xeckollc-thirteen-" + VERSION);
// Get the spreadsheet we are interested in
Spreadsheet spreadsheet;
if(opt.spreadsheet_id.size()) {
spreadsheet = service.GetSpreadsheet(opt.spreadsheet_id);
} else {
vector<Spreadsheet> sheets = service.GetSpreadsheets();
int report_index = -1;
for (int i=0; i < sheets.size(); ++i) {
if(sheets[i].GetTitle() == opt.spreadsheet_name) {
report_index = i;
break;
}
}
if(report_index < 0) {
cerr << format("No spreadsheet named [%1%] found") %
opt.spreadsheet_name << endl;
return 1;
}
spreadsheet = sheets[report_index];
}
// Get the worksheet we are interested in. If we didn't specify one,
// use the first one in the spreadsheet
Worksheet worksheet;
if(opt.worksheet_id.size()) {
worksheet = spreadsheet.GetWorksheet(opt.worksheet_id);
} else {
vector<Worksheet> sheets = spreadsheet.GetWorksheets();
if(opt.worksheet_name.size()) {
int report_index = -1;
for (int i=0; i < sheets.size(); ++i) {
if(sheets[i].GetTitle() == opt.worksheet_name) {
report_index = i;
break;
}
}
if(report_index < 0) {
cerr << format("No worksheet named [%1%] found") %
opt.worksheet_name << endl;
return 1;
}
worksheet = sheets[report_index];
} else {
worksheet = sheets[0];
}
}
// Get 2 columns of Cells from selected worksheet
CellRange cells = worksheet.GetColumns(1, 2);
// Parse the cells for the data
map<string, int> on_air, off_air;
State state = NONE;
for (int row=cells.GetFirstRow(); row <= cells.GetLastRow(); ++row) {
Cell *label_cell = cells.GetCell(row, 1);
if(label_cell == NULL) {
state = NONE;
continue;
}
string label = label_cell->GetContent();
if(!label.size()) {
state = NONE;
continue;
}
if(label == ON_AIR_HEADER) {
state = ONAIR;
continue;
}
if(label == OFF_AIR_HEADER) {
state = OFFAIR;
continue;
}
Cell *value_cell = cells.GetCell(row, 2);
if(value_cell == NULL) {
continue;
}
string value = value_cell->GetContent();
int ivalue;
try {
ivalue = lexical_cast<int>(value.c_str());
} catch(bad_lexical_cast &) {
ivalue = 0;
}
switch (state) {
case ONAIR:
if(ivalue) {
on_air[label] = ivalue;
}
break;
case OFFAIR:
if(ivalue) {
off_air[label] = ivalue;
}
break;
case NONE:
break;
}
}
// Figure the start and stop dates from the worksheet name
string name = worksheet.GetTitle();
re::sregex rex = re::sregex::compile("(.+) +(.+)");
re::smatch matches;
if(!re::regex_match(name, matches, rex)) {
cerr << format("Worksheet name [%1%] does not look like a month and year") %
name << endl;
return 1;
}
string mon, yr;
int month, year;
mon = matches[1];
yr = matches[2];
year = lexical_cast<int>(yr.c_str());
if(year < 2000) {
year += 2000;
}
month = 0;
string months[] = {
"jan", "feb", "mar", "apr", "may", "jun",
"jul", "aug", "sep", "oct", "nov", "dec"
};
for (int i=0; i<12; ++i) {
if (iequals(mon, months[i])) {
month=i+1;
break;
}
}
if(month < 1) {
cerr << format("Worksheet name [%1%] does not contain a valid month") %
name << endl;
return 1;
}
date start_date(year, month, 1);
date stop_date = start_date.end_of_month();
stringstream start, stop;
date_facet *facet = new date_facet("%d %b");
start.imbue(locale(cout.getloc(), facet));
start << start_date;
opt.start_date = to_upper_copy(start.str());
facet = new date_facet("%d %b %Y");
stop.imbue(locale(cout.getloc(), facet));
stop << stop_date;
opt.stop_date = to_upper_copy(stop.str());
// Print the report
PrintReport(cout, opt, on_air, off_air);
return 0;
}
void IDManager::clearID(const string& name) {
data_.erase(to_upper_copy(name));
}