com.illumon.modelfarm.fitterfarm.equity

Class EquityFitDataManager<DATATYPE extends EquityFitData>

java.lang.Object

com.illumon.modelfarm.fitterfarm.equity.EquityFitDataManager<DATATYPE>

Type Parameters:

DATATYPE - data type

All Implemented Interfaces:

RowDataManager<FitScope,DATATYPE>

public class EquityFitDataManager<DATATYPE extends EquityFitData>
extends Object
implements RowDataManager<FitScope,DATATYPE>

Utility for accessing and querying equity fit data contained in a dynamic table.

Nested Class Summary

Nested classes/interfaces inherited from interface com.illumon.modelfarm.RowDataManager

RowDataManager.LoadExtraColumns<DATATYPE>

Field Summary

Fields

Modifier and Type	Field and Description
protected ColumnSource	csCarryCurveDates
protected ColumnSource	csCarryCurveErrors
protected ColumnSource	csCarryCurveRates
protected ColumnSource	csDivCashAmounts
protected ColumnSource	csDivExDates
protected ColumnSource	csDivProportionalAmounts
protected ColumnSource	csFitGroup
protected ColumnSource	csOptionExerciseTypes
protected ColumnSource	csOptionExpirations
protected ColumnSource	csOptionIds
protected ColumnSource	csOptionPayoffTypes
protected ColumnSource	csOptionRoots
protected ColumnSource	csOptionSettlementTypes
protected ColumnSource	csOptionStrikes
protected ColumnSource	csOptionSyms
protected ColumnSource	csTimestamp
protected ColumnSource	csUnderlyingAsk
protected ColumnSource	csUnderlyingBid
protected ColumnSource	csUnderlyingId
protected ColumnSource	csUnderlyingSym
protected ColumnSource	csUnderlyingType
protected ColumnSource	csYieldCurveDates
protected ColumnSource	csYieldCurveRates

Constructor Summary

Constructors

Constructor and Description
EquityFitDataManager(Supplier<DATATYPE> newEquityFitData, RowDataManager.LoadExtraColumns<DATATYPE> loadFitDataExtraColumns, DynamicTable data) Create a multithreaded resource to fit a derivative model's parameters for equities.

Method Summary

Modifier and Type	Method and Description
void	loadData(DATATYPE fitData, long index, boolean usePrev) Populates a data object with data from a table row.
DATATYPE	newData() Creates a new data instance.
DynamicTable	table() Gets the source table.
double	underlyingMidCurrent(long index) Gets the current mid market price for the underlying, or NULL if both the bid and ask are not present.
FitScope	uniqueIdCurrent(long index) Gets the current unique identifier value for a row.
FitScope	uniqueIdPrev(long index) Gets the previous unique identifier value for a row.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

csFitGroup

protected final ColumnSource csFitGroup

csTimestamp

protected final ColumnSource csTimestamp

csUnderlyingId

protected final ColumnSource csUnderlyingId

csUnderlyingSym

protected final ColumnSource csUnderlyingSym

csUnderlyingType

protected final ColumnSource csUnderlyingType

csUnderlyingBid

protected final ColumnSource csUnderlyingBid

csUnderlyingAsk

protected final ColumnSource csUnderlyingAsk

csOptionIds

protected final ColumnSource csOptionIds

csOptionSyms

protected final ColumnSource csOptionSyms

csOptionRoots

protected final ColumnSource csOptionRoots

csOptionPayoffTypes

protected final ColumnSource csOptionPayoffTypes

csOptionExerciseTypes

protected final ColumnSource csOptionExerciseTypes

csOptionSettlementTypes

protected final ColumnSource csOptionSettlementTypes

csOptionExpirations

protected final ColumnSource csOptionExpirations

csOptionStrikes

protected final ColumnSource csOptionStrikes

csDivExDates

protected final ColumnSource csDivExDates

csDivCashAmounts

protected final ColumnSource csDivCashAmounts

csDivProportionalAmounts

protected final ColumnSource csDivProportionalAmounts

csYieldCurveDates

protected final ColumnSource csYieldCurveDates

csYieldCurveRates

protected final ColumnSource csYieldCurveRates

csCarryCurveDates

protected final ColumnSource csCarryCurveDates

csCarryCurveRates

protected final ColumnSource csCarryCurveRates

csCarryCurveErrors

protected final ColumnSource csCarryCurveErrors

Constructor Detail

EquityFitDataManager

public EquityFitDataManager(Supplier<DATATYPE> newEquityFitData,
                            RowDataManager.LoadExtraColumns<DATATYPE> loadFitDataExtraColumns,
                            DynamicTable data)

Create a multithreaded resource to fit a derivative model's parameters for equities.

The input table must have the following columns: - Timestamp: DBDateTime - FitGroup: String - UnderlyingId: long - UnderlyingSym: String - UnderlyingType: String - UnderlyingBid: double - UnderlyingAsk: double - OptionId: DbLongArray - OptionSym: DbArray - OptionRoot: DbArray (optional) - OptionPayoffType: DbArray - OptionExerciseType: DbArray - OptionExpiration: DbArray - OptionStrike: DbDoubleArray - DivExDate: DbArray - DivCashAmount: DbDoubleArray - DivProportionalAmount: DbDoubleArray - YieldCurveDate: DbArray - YieldCurveRate: DbArray - CarryCurveDate: DbArray - CarryCurveRate: DbDoubleArray - CarryCurveError: DbDoubleArray

Parameters:

newEquityFitData - function to create a new EquityFitData of the proper type.

loadFitDataExtraColumns - function to parse the data at a specific table index and load it into the EquityFitData.

data - data for fitting the option model.

Method Detail

table

public DynamicTable table()

Description copied from interface: RowDataManager

Gets the source table.

Specified by:

table in interface RowDataManager<FitScope,DATATYPE extends EquityFitData>

Returns:

source table.

newData

public DATATYPE newData()

Description copied from interface: RowDataManager

Creates a new data instance.

Specified by:

newData in interface RowDataManager<FitScope,DATATYPE extends EquityFitData>

Returns:

new data instance.

uniqueIdCurrent

public FitScope uniqueIdCurrent(long index)

Description copied from interface: RowDataManager

Gets the current unique identifier value for a row.

This function should only be called during an update loop or while holding the LTM lock.

Specified by:

uniqueIdCurrent in interface RowDataManager<FitScope,DATATYPE extends EquityFitData>

Parameters:

index - table row index.

Returns:

current unique identifier for a row.

uniqueIdPrev

public FitScope uniqueIdPrev(long index)

Description copied from interface: RowDataManager

Gets the previous unique identifier value for a row. One column of each table is designated as a unique identifier for data rows.

This function should only be called during an update loop or while holding the LTM lock.

Specified by:

uniqueIdPrev in interface RowDataManager<FitScope,DATATYPE extends EquityFitData>

Parameters:

index - table row index.

Returns:

previous underlying id.

underlyingMidCurrent

public double underlyingMidCurrent(long index)

Gets the current mid market price for the underlying, or NULL if both the bid and ask are not present.

Parameters:

index - data row index.

Returns:

current mid market price for the underlying, or NULL if both the bid and ask are not present.

loadData

public void loadData(DATATYPE fitData,
                     long index,
                     boolean usePrev)

Description copied from interface: RowDataManager

Populates a data object with data from a table row.

This method should be called while the LTM lock is held. This can occur either during the update loop or the LTM lock can be acquired outside the update loop. If the LTM lock is not held, the loaded data can be inconsistent or corrupt.

Specified by:

loadData in interface RowDataManager<FitScope,DATATYPE extends EquityFitData>

Parameters:

fitData - data structure to populate

index - table index of the row to load data from

usePrev - use data from the previous table update