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use crate::{
ad::adreal::ADReal,
core::{
elements::{
curveelement::{DiscountCurveElement, DividendCurveElement},
montecarlosimulationelement::MonteCarloSimulationElement,
volatilitycubelement::VolatilityCubeElement,
volatilitysurfaceelement::VolatilitySurfaceElement,
},
marketdatahandling::marketdata::MarketData,
pillars::Pillars,
},
currencies::{currency::Currency, exchangeratestore::ExchangeRateStore},
indices::marketindex::MarketIndex,
time::date::Date,
utils::errors::{QSError, Result},
};
/// The [`PricerState`] trait defines the interface for accessing
/// market data responses, derived elements and finxing values during the
/// pricing process.
pub trait PricerState {
/// Retrieves the market data response associated with this state, if available.
fn get_market_data_reponse(&self) -> Option<&MarketData>;
/// Retrieves a mutable reference to the market data response associated with this state, if available.
fn get_market_data_reponse_mut(&mut self) -> Option<&mut MarketData>;
/// Retrieves the discount curve element associated with the given market index, if available.
///
/// ## Errors
///
/// Returns an error if the market data response is not available or if the discount curve for the specified index is not found.
fn get_discount_curve_element(&self, index: &MarketIndex) -> Result<&DiscountCurveElement> {
self.get_market_data_reponse()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.constructed_elements()
.discount_curves()
.get(index)
.ok_or_else(|| QSError::NotFoundErr(format!("Curve for index {index}")))
}
/// Retrieves the mutable discount curve element associated with the given market index, if available.
///
/// ## Errors
///
/// Returns an error if the market data response is not available or if the discount curve for the specified index is not found.
fn get_discount_curve_element_mut(
&mut self,
index: &MarketIndex,
) -> Result<&mut DiscountCurveElement> {
self.get_market_data_reponse_mut()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.constructed_elements_mut()
.discount_curves_mut()
.get_mut(index)
.ok_or_else(|| QSError::NotFoundErr(format!("Curve for index {index}")))
}
/// Retrieves the dividend curve element associated with the given market index, if available.
///
/// ## Errors
///
/// Returns an error if the market data response is not available or if the dividend curve for the specified index is not found.
fn get_dividend_curve_element(&self, index: &MarketIndex) -> Result<&DividendCurveElement> {
self.get_market_data_reponse()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.constructed_elements()
.dividend_curves()
.get(index)
.ok_or_else(|| QSError::NotFoundErr(format!("Dividend curve for index {index}")))
}
/// Retrieves the exchange rate between two currencies from the exchange-rate store.
///
/// Returns an [`ADReal`] so that sensitivities to FX rates are captured on the AD tape.
///
/// ## Errors
///
/// Returns an error if the market data response or exchange-rate store is not available,
/// or if no rate path exists between the two currencies.
fn get_exchange_rate(&self, base: Currency, quote: Currency) -> Result<ADReal> {
self.get_market_data_reponse()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.exchange_rate_store()
.ok_or_else(|| QSError::NotFoundErr("ExchangeRateStore not available.".into()))?
.get_exchange_rate(base, quote)
}
/// Retrieves the exchange-rate store from the market data, if available.
fn get_exchange_rate_store(&self) -> Option<&ExchangeRateStore> {
self.get_market_data_reponse()
.and_then(|md| md.exchange_rate_store())
}
/// Retrieves the fixing for a given market index and date, if available.
///
/// ## Errors
///
/// Returns an error if the market data response is not available or if the fixing for the specified index and date is not found.
fn get_fixing(&self, index: &MarketIndex, date: Date) -> Result<f64> {
self.get_market_data_reponse()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.fixings()
.get(index)
.and_then(|date_map| date_map.get(&date).copied())
.ok_or_else(|| {
QSError::NotFoundErr(format!(
"Fixing for index {index} on date {date} not found."
))
})
}
/// Retrieves the volatility surface element associated with the given market index, if available.
///
/// ## Errors
///
/// Returns an error if the market data response is not available or if the volatility surface for the specified index is not found.
fn get_volatility_surface_element(
&self,
index: &MarketIndex,
) -> Result<&VolatilitySurfaceElement> {
self.get_market_data_reponse()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.constructed_elements()
.volatility_surfaces()
.get(index)
.ok_or_else(|| QSError::NotFoundErr(format!("Volatility surface for index {index}")))
}
/// Retrieves the volatility surface element associated with the given market index, if available.
///
/// ## Errors
///
/// Returns an error if the market data response is not available or if the volatility surface for the specified index is not found.
fn get_volatility_surface_element_mut(
&mut self,
index: &MarketIndex,
) -> Result<&mut VolatilitySurfaceElement> {
self.get_market_data_reponse_mut()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.constructed_elements_mut()
.volatility_surfaces_mut()
.get_mut(index)
.ok_or_else(|| QSError::NotFoundErr(format!("Volatility surface for index {index}")))
}
/// Retrieves the volatility cube element associated with the given market index, if available.
///
/// ## Errors
///
/// Returns an if the market data response is not available or if the volatility cube for the specified index is not found.
fn get_volatility_cube_element(&self, index: &MarketIndex) -> Result<&VolatilityCubeElement> {
self.get_market_data_reponse()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.constructed_elements()
.volatility_cubes()
.get(index)
.ok_or_else(|| QSError::NotFoundErr(format!("Volatility cube for index {index}")))
}
/// Retrieves the simulation element associated with the given market index, if available.
///
/// ## Errors
///
/// Returns an error if the market data response is not available or if the simulation element for the specified index is not found.
fn get_simulation_element(&self, index: &MarketIndex) -> Result<&MonteCarloSimulationElement> {
self.get_market_data_reponse()
.ok_or_else(|| QSError::NotFoundErr("MarketDataResponse not available.".into()))?
.constructed_elements()
.simulations()
.get(index)
.ok_or_else(|| QSError::NotFoundErr(format!("Simulation element for index {index}")))
}
/// Puts the pillars into the tape.
///
/// This includes curve/surface pillars **and** exchange-rate spot rates.
///
/// ## Errors
///
/// Returns an error if the market data response is not available.
fn put_pillars_on_tape(&mut self) -> Result<()> {
if let Some(md_response) = self.get_market_data_reponse_mut() {
for curve in md_response
.constructed_elements_mut()
.discount_curves_mut()
.values_mut()
{
curve.curve_mut().put_pillars_on_tape();
}
for curve in md_response
.constructed_elements_mut()
.dividend_curves_mut()
.values_mut()
{
curve.curve_mut().put_pillars_on_tape();
}
for surface in md_response
.constructed_elements_mut()
.volatility_surfaces_mut()
.values_mut()
{
surface.surface_mut().put_pillars_on_tape();
}
// Put FX spot rates on tape
if let Some(fx_store) = md_response.exchange_rate_store_mut() {
fx_store.put_pillars_on_tape();
}
}
Ok(())
}
}