//-------------------------------------------------------------------------
// constructs an interpolated nodal curve
internal InterpolatedNodalCurve createCurve(LocalDate date, IList <LoadedCurveNode> curveNodes)
{
// copy and sort
IList <LoadedCurveNode> nodes = new List <LoadedCurveNode>(curveNodes);
nodes.sort(System.Collections.IComparer.naturalOrder());
// build each node
double[] xValues = new double[nodes.Count];
double[] yValues = new double[nodes.Count];
IList <ParameterMetadata> pointsMetadata = new List <ParameterMetadata>(nodes.Count);
for (int i = 0; i < nodes.Count; i++)
{
LoadedCurveNode point = nodes[i];
double yearFraction = dayCount.yearFraction(date, point.Date);
xValues[i] = yearFraction;
yValues[i] = point.Value;
ParameterMetadata pointMetadata = LabelDateParameterMetadata.of(point.Date, point.Label);
pointsMetadata.Add(pointMetadata);
}
// create metadata
CurveMetadata curveMetadata = DefaultCurveMetadata.builder().curveName(curveName).xValueType(xValueType).yValueType(yValueType).dayCount(dayCount).parameterMetadata(pointsMetadata).build();
return(InterpolatedNodalCurve.builder().metadata(curveMetadata).xValues(DoubleArray.copyOf(xValues)).yValues(DoubleArray.copyOf(yValues)).interpolator(interpolator).extrapolatorLeft(extrapolatorLeft).extrapolatorRight(extrapolatorRight).build());
}
private static Multimap <LocalDate, Curve> parseSingle(System.Predicate <LocalDate> datePredicate, CharSource curvesResource, IDictionary <CurveName, LoadedCurveSettings> settingsMap)
{
CsvFile csv = CsvFile.of(curvesResource, true);
IDictionary <LoadedCurveKey, IList <LoadedCurveNode> > allNodes = new Dictionary <LoadedCurveKey, IList <LoadedCurveNode> >();
foreach (CsvRow row in csv.rows())
{
string dateStr = row.getField(CURVE_DATE);
string curveNameStr = row.getField(CURVE_NAME);
string pointDateStr = row.getField(CURVE_POINT_DATE);
string pointValueStr = row.getField(CURVE_POINT_VALUE);
string pointLabel = row.getField(CURVE_POINT_LABEL);
LocalDate date = LoaderUtils.parseDate(dateStr);
if (datePredicate(date))
{
LocalDate pointDate = LoaderUtils.parseDate(pointDateStr);
double pointValue = Convert.ToDouble(pointValueStr);
LoadedCurveKey key = LoadedCurveKey.of(date, CurveName.of(curveNameStr));
IList <LoadedCurveNode> curveNodes = allNodes.computeIfAbsent(key, k => new List <LoadedCurveNode>());
curveNodes.Add(LoadedCurveNode.of(pointDate, pointValue, pointLabel));
}
}
return(buildCurves(settingsMap, allNodes));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverPrivateConstructor(typeof(RatesCurvesCsvLoader));
LoadedCurveKey.meta();
coverImmutableBean(LoadedCurveKey.of(CURVE_DATE, CurveName.of("Test")));
LoadedCurveNode.meta();
coverImmutableBean(LoadedCurveNode.of(CURVE_DATE, 1d, "Test"));
LoadedCurveSettings.meta();
LoadedCurveSettings settings1 = LoadedCurveSettings.of(CurveName.of("Test"), ValueType.YEAR_FRACTION, ValueType.ZERO_RATE, DayCounts.ACT_365F, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
LoadedCurveSettings settings2 = LoadedCurveSettings.of(CurveName.of("Test2"), ValueType.YEAR_FRACTION, ValueType.DISCOUNT_FACTOR, DayCounts.ACT_ACT_ISDA, CurveInterpolators.LOG_LINEAR, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
coverImmutableBean(settings1);
coverBeanEquals(settings1, settings2);
}
