importData.cpp

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#include ".\importData.h"

importData::importData(void)
{
}

importData::importData(char *argv)
{
        FileReader::setdatadir (argv); // memorize the local path if the user wants the predefined data
        runInterface();
}

void importData::importYieldCurve(string path){
        string yieldCurveData = _datadir + "/"+path;

        valarray<yieldPoint> *rates = 
                FileReader::buildYieldPointArray(yieldCurveData);

        _yc =yieldCurve(*rates,"test yc");
        cout<<"- Yield curve imported"<<endl;
}

void importData::importVolSurface(string path,Real spot)
{
        Date t0=Date();
        t0.setDateToToday ();
        string volSurfaceData=_datadir+"/"+path;
        volsurfaceparams *params =
                FileReader::buildVolSurfaceParams(volSurfaceData);

        _vs= volsurface(spot, t0, _yc, *params);
        _vs.setvolsurface();
        cout<<"- Volatility surface imported"<<endl;
}

void importData::importCreditCurve(string path){
        string creditSpreadsData= _datadir+"/"+path;
        valarray<CreditSpreadPoint> *creditSpreadArray =
                FileReader::buildCreditSpreadPointArray(creditSpreadsData);
        _cc=creditCurve(_yc,*creditSpreadArray,"test cc");
        cout<<"- Credit spreads imported"<<endl;
}


bool importData::runInterface(){
        cout<<"\n**************************************"<<endl;
        cout<<"********* Data import Module *********"<<endl;
        cout<<"**************************************\n"<<endl;
        cout<<"As it is a financial products module, you first need to import market data."<<endl;
        cout<<"Would you like to import your own data or use the stale one provided ? "<<endl;
        cout<<"[The yield points come from the US swap market from Oct 5th, 2005]"<<endl;
        cout<<"[The options are on -- (spot 2994) from July 16th, 2005]"<<endl;
        cout<<"[The credit spreads are on -- from -- ]"<<endl;
        cout<<"Type 1 to input your data files location, 2 to see the files format,\n Else another key to get default inputs:"<<endl;
        string userWantsToImport;
        cin>>userWantsToImport;
        Natural importNAt=atoi(userWantsToImport.c_str());
        if(importNAt==2)
                importNAt=displayFileFormatsMenu();
        cout<<((importNAt==1) ? "\nYou will now choose your data:" : "\nThe program will get its own data:" )<<endl;
        if(importNAt!=1){
                _datadir=FileReader::getdatadirasstring();
                importYieldCurve();
                importVolSurface();
                importCreditCurve();
                cout<<"--> Default data imported\n"<<endl;
                setMarketData();
                return true;
        }
        else{
                return runUserDefinedInterface();
        }
}
void importData::setMarketData(){
        _marketData.yieldcurve=_yc;
        _marketData.vols=_vs;
        _marketData.creditcurve=_cc;
}

bool importData::runUserDefinedInterface(){
        bool failure=true;
        bool input;
        bool yc,vs,cs;
        string dataDir;
        cout<<"We need a spot for the call/put prices to calibrate the volatility surface, please input one"<<endl;
        Real spot;
        cin>>spot;

        while (failure){
                cout<<"\nNOTE:\n- Your own data should be in the SAME directory "<<endl;
                cout<<"- The yield curve name shoud be "<<YCNAME<<endl;
                cout<<"- The volatility suface name shoud be "<<VSNAME<<endl;
                cout<<"- The credit spreads name shoud be "<<CSNAME<<endl;
                cout<<"Please input the path where your data is located, ALL 3 files"<<endl;
                cin>>dataDir;
                cout<<"\n"<<endl;
                yc=FileReader::fileexists(dataDir+"/"+YCNAME);
                vs=FileReader::fileexists(dataDir+"/"+VSNAME);
                cs=FileReader::fileexists(dataDir+"/"+CSNAME);
                failure=!(yc&&vs&&cs); //if all are found, then failure will be false
                if(failure){
                        if(!yc)
                                cout<<"- "<<YCNAME<<" not found"<<endl;
                        if(!vs)
                                cout<<"- "<<VSNAME<<" not found"<<endl;
                        if(!cs)
                                cout<<"- "<<CSNAME<<" not found"<<endl;
                        cout<<"Some data are not located where you speficied - do you want to re-input ?\nType 1 if yes, else another key "<<endl;
                        cin>>input;
                        if(!input){
                                cout<<"Default import launched:"<<endl;
                                _datadir=FileReader::getdatadirasstring();
                                importYieldCurve();
                                importVolSurface();
                                importCreditCurve();
                                cout<<"--> Default data imported\n"<<endl;
                                setMarketData();
                                return true;
                        }
                }
        }
        _datadir=dataDir;
        importYieldCurve(YCNAME);
        importVolSurface(VSNAME,spot);
        importCreditCurve(CSNAME);
        cout<<"--> Personal data imported\n"<<endl;
        setMarketData();
        return true;
}


Natural importData::displayFileFormatsMenu(){
        cout<<"\nHELP ON FILE FORMATS\n"<<endl;
        cout<<"YIELD CURVE\nA csv file as follows, with on each line a rate,a maturity in years,and a rate type (Cash or Swap)."<<endl;
        cout<<"For example a possible first line could be:\n"<<endl;
        cout<<"0.041,0.25,Cash     <-- Meaning the Cash rate of maturity 3 months is 4.1 percent\n\n"<<endl;

        cout<<"VOLATILITIES\nAs csv file as follows:"<<endl;
        cout<<"- The first 2 lines specify the number of maturities quoted and the number of strikes at these:\n"<<endl;
        cout<<"maturities            ,    1\nstrikes               ,    2\n"<<endl;
        cout<<"- Then a matrix of which the first column has the maturities in DD-MM-YYYY, "<<endl;
        cout<<"and then alternatively prices at the given strike and the option type (c/p). For example:\n"<<endl;
        cout<<"maturities / strikes  , 2395.95  , type, 2545.69  , type"<<endl;
        cout<<"17-3-2006             , 693.1431 ,  c  , 561.4132 ,  c\n"<<endl;
        cout<<"<-- Meaning that for maturity 17-3-2006, the 2395.95 call is quoted 693.1431, and the 2545.69 is 561.4132\n\n"<<endl;

        cout<<"CREDIT SPREADS\nA csv file as follows, with on each line a spread,a maturity in years,and a spread type (Abs or Rel)."<<endl;
        cout<<"For example a possible first line could be:\n"<<endl;
        cout<<"0.0014,2,Rel     <-- Meaning the realtive credit spread rate of maturity 2 years is 14 bps\n\n"<<endl;

        cout<<"Now that you know, would you like to import your own data or use the stale one provided ? "<<endl;
        cout<<"Type 1 to input your data files location, else another key to get the default inputs:"<<endl;
        Natural userWantsToImport;
        cin>>userWantsToImport;
        return userWantsToImport;
}

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