public void test_write_standard_roundTrip()
{
CharSource source = ResourceLocator.ofClasspath("com/opengamma/strata/loader/csv/sensitivity-standard.csv").CharSource;
ValueWithFailures <ListMultimap <string, CurveSensitivities> > parsed1 = LOADER.parse(ImmutableList.of(source));
assertEquals(parsed1.Failures.size(), 0, parsed1.Failures.ToString());
assertEquals(parsed1.Value.size(), 1);
IList <CurveSensitivities> csensList1 = parsed1.Value.get("");
assertEquals(csensList1.Count, 1);
CurveSensitivities csens1 = csensList1[0];
StringBuilder buf = new StringBuilder();
WRITER.write(csens1, buf);
string content = buf.ToString();
ValueWithFailures <ListMultimap <string, CurveSensitivities> > parsed2 = LOADER.parse(ImmutableList.of(CharSource.wrap(content)));
assertEquals(parsed2.Failures.size(), 0, parsed2.Failures.ToString());
assertEquals(parsed2.Value.size(), 1);
IList <CurveSensitivities> csensList2 = parsed2.Value.get("");
assertEquals(csensList2.Count, 1);
CurveSensitivities csens2 = csensList2[0];
assertEquals(csens2, csens1);
}
//-------------------------------------------------------------------------
public void test_parse_list()
{
CharSource source = ResourceLocator.ofClasspath("com/opengamma/strata/loader/csv/sensitivity-list.csv").CharSource;
assertEquals(LOADER.isKnownFormat(source), true);
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
assertEquals(test.Value.size(), 1);
IList <CurveSensitivities> list = test.Value.get("");
assertEquals(list.Count, 1);
CurveSensitivities csens0 = list[0];
assertEquals(csens0.TypedSensitivities.size(), 3);
string tenors = "1D, 1W, 2W, 1M, 3M, 6M, 12M, 2Y, 5Y, 10Y";
assertSens(csens0, ZERO_RATE_DELTA, "GBP", GBP, tenors, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10);
assertSens(csens0, ZERO_RATE_DELTA, "GBP-LIBOR", GBP, tenors, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10);
assertSens(csens0, ZERO_RATE_GAMMA, "GBP", GBP, tenors, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1);
assertSens(csens0, ZERO_RATE_GAMMA, "GBP-LIBOR", GBP, tenors, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1);
assertSens(csens0, OTHER, "GBP", GBP, tenors, 0, 0, 0, 0, 0, 0, 10, 0, 0, 0);
assertSens(csens0, OTHER, "GBP-LIBOR", GBP, tenors, 0, 0, 0, 0, 0, 0, 10, 0, 0, 0);
}
public void test_parse_grid_full()
{
CharSource source = ResourceLocator.ofClasspath("com/opengamma/strata/loader/csv/sensitivity-grid-full.csv").CharSource;
assertEquals(LOADER_CCP.isKnownFormat(source), true);
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER_CCP.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
IList <CurveSensitivities> list0 = test.Value.get("SCHEME~TR1");
assertEquals(list0.Count, 1);
CurveSensitivities csens0 = list0[0];
assertEquals(csens0.Id, StandardId.of("SCHEME", "TR1"));
assertEquals(csens0.Info.getAttribute(CCP_ATTR), "LCH");
assertEquals(csens0.TypedSensitivities.size(), 2);
assertSens(csens0, ZERO_RATE_DELTA, "GBCURVE", GBP, "1M, 3M, 6M", 1, 2, 3);
assertSens(csens0, ZERO_RATE_GAMMA, "GBCURVE", GBP, "1M, 3M, 6M", 4, 5, 6);
IList <CurveSensitivities> list1 = test.Value.get("OG-Sensitivity~TR2");
assertEquals(list1.Count, 1);
CurveSensitivities csens1 = list1[0];
assertEquals(csens1.Id, StandardId.of("OG-Sensitivity", "TR2"));
assertEquals(csens1.Info.getAttribute(CCP_ATTR), "CME");
assertEquals(csens1.TypedSensitivities.size(), 1);
assertSens(csens1, ZERO_RATE_DELTA, "GBCURVE", GBP, "1M, 3M, 6M", 7, 8, 9);
}
//-------------------------------------------------------------------------
/// <summary>
/// Write sensitivities to an appendable in the standard sensitivities format.
/// <para>
/// The output is written in standard format, with no identifier columns.
/// The parameter metadata must contain tenors.
///
/// </para>
/// </summary>
/// <param name="curveSens"> the curve sensitivities to write </param>
/// <param name="output"> the appendable to write to </param>
/// <exception cref="IllegalArgumentException"> if the metadata does not contain tenors </exception>
/// <exception cref="UncheckedIOException"> if an IO error occurs </exception>
public void write(CurveSensitivities curveSens, Appendable output)
{
CsvOutput csv = CsvOutput.standard(output, "\n");
IList <string> additionalHeaders = supplier.headers(curveSens);
// check for dates
if (curveSens.TypedSensitivities.values().stream().flatMap(allParamSens => allParamSens.Sensitivities.stream()).flatMap(paramSens => paramSens.ParameterMetadata.stream()).anyMatch(pmd => !(pmd is TenoredParameterMetadata)))
{
throw new System.ArgumentException("Parameter metadata must contain tenors");
}
bool containsDates = curveSens.TypedSensitivities.values().stream().flatMap(allParamSens => allParamSens.Sensitivities.stream()).flatMap(paramSens => paramSens.ParameterMetadata.stream()).anyMatch(pmd => pmd is DatedParameterMetadata);
// headers
csv.writeCell(SensitivityCsvLoader.REFERENCE_HEADER);
csv.writeCell(SensitivityCsvLoader.TYPE_HEADER);
csv.writeCell(SensitivityCsvLoader.TENOR_HEADER);
if (containsDates)
{
csv.writeCell(SensitivityCsvLoader.DATE_HEADER);
}
csv.writeCell(SensitivityCsvLoader.CURRENCY_HEADER);
csv.writeCell(SensitivityCsvLoader.VALUE_HEADER);
csv.writeLine(additionalHeaders);
// content, grouped by reference, then type
MapStream.of(curveSens.TypedSensitivities).flatMapValues(sens => sens.Sensitivities.stream()).mapKeys((type, sens) => Pair.of(sens.MarketDataName.Name, type)).sortedKeys().forEach((pair, paramSens) => write(pair.First, pair.Second, curveSens, paramSens, additionalHeaders, containsDates, csv));
}
//-------------------------------------------------------------------------
// parses the file in grid format
private void parseGridFormat(CsvIterator csv, ListMultimap <string, CurveSensitivities> parsed, IList <FailureItem> failures)
{
// find the applicable reference columns
IDictionary <string, CurveName> references = new LinkedHashMap <string, CurveName>();
foreach (string header in csv.headers())
{
string headerLowerCase = header.ToLower(Locale.ENGLISH);
if (!REF_HEADERS.contains(headerLowerCase) && !resolver.isInfoColumn(headerLowerCase))
{
references[header] = CurveName.of(header);
}
}
// loop around all rows, peeking to match batches with the same identifier
// no exception catch at this level to avoid infinite loops
while (csv.hasNext())
{
CsvRow peekedRow = csv.peek();
PortfolioItemInfo info = parseInfo(peekedRow);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
string id = info.Id.map(StandardId::toString).orElse("");
// process in batches, where the ID is the same
CurveSensitivitiesBuilder builder = CurveSensitivities.builder(info);
IList <CsvRow> batchRows = csv.nextBatch(r => matchId(r, id));
foreach (CsvRow batchRow in batchRows)
{
try
{
ParameterMetadata metadata = parseMetadata(batchRow, true);
CurveSensitivitiesType type = batchRow.findValue(TYPE_HEADER).map(str => CurveSensitivitiesType.of(str)).orElse(CurveSensitivitiesType.ZERO_RATE_DELTA);
foreach (KeyValuePair <string, CurveName> entry in references.SetOfKeyValuePairs())
{
CurveName reference = entry.Value;
CurveName resolvedCurveName = resolver.checkCurveName(reference);
string valueStr = batchRow.getField(entry.Key);
Currency currency = parseCurrency(batchRow, reference);
if (valueStr.Length > 0)
{
double value = LoaderUtils.parseDouble(valueStr);
builder.add(type, resolvedCurveName, currency, metadata, value);
}
}
}
catch (System.ArgumentException ex)
{
failures.Add(FailureItem.of(PARSING, "CSV file could not be parsed at line {}: {}", batchRow.lineNumber(), ex.Message));
}
}
CurveSensitivities sens = builder.build();
if (!sens.TypedSensitivities.Empty)
{
parsed.put(sens.Id.map(object.toString).orElse(""), sens);
}
}
}
//-------------------------------------------------------------------------
private void assertSens(CurveSensitivities sens, CurveSensitivitiesType type, string curveNameStr, Currency currency, string tenors, params double[] values)
{
CurveName curveName = CurveName.of(curveNameStr);
CurrencyParameterSensitivity sensitivity = sens.getTypedSensitivity(type).getSensitivity(curveName, currency);
assertEquals(sensitivity.MarketDataName, CurveName.of(curveNameStr));
assertEquals(sensitivity.Currency, currency);
assertEquals(metadataString(sensitivity.ParameterMetadata), tenors);
assertEquals(sensitivity.Sensitivity, DoubleArray.ofUnsafe(values));
}
public void test_parse_list_duplicateTenor()
{
CharSource source = CharSource.wrap("Reference,Sensitivity Tenor,Zero Rate Delta\n" + "GBP,P1D,1\n" + "GBP,P1M,2\n" + "GBP,P1M,3\n");
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
assertEquals(test.Value.size(), 1);
IList <CurveSensitivities> list = test.Value.get("");
assertEquals(list.Count, 1);
CurveSensitivities csens0 = list[0];
assertEquals(csens0.TypedSensitivities.size(), 1);
assertSens(csens0, ZERO_RATE_DELTA, "GBP", GBP, "1D, 1M", 1, 5);
}
public void test_parse_grid_duplicateTenor()
{
CharSource source = CharSource.wrap("Sensitivity Type,Sensitivity Tenor,GBP\n" + "ZeroRateGamma,P6M,1\n" + "ZeroRateGamma,12M,2\n" + "ZeroRateGamma,12M,3\n");
assertEquals(LOADER_DATE.isKnownFormat(source), true);
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER_DATE.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
assertEquals(test.Value.size(), 1);
IList <CurveSensitivities> list = test.Value.get("");
assertEquals(list.Count, 1);
CurveSensitivities csens0 = list[0];
assertEquals(csens0.TypedSensitivities.size(), 1);
assertSens(csens0, ZERO_RATE_GAMMA, "GBP", GBP, "6M, 1Y", 1, 5); // 12M -> 1Y
}
//-------------------------------------------------------------------------
// parses the file in standard format
private void parseStandardFormat(CsvIterator csv, ListMultimap <string, CurveSensitivities> parsed, IList <FailureItem> failures)
{
// loop around all rows, peeking to match batches with the same identifier
// no exception catch at this level to avoid infinite loops
while (csv.hasNext())
{
CsvRow peekedRow = csv.peek();
PortfolioItemInfo info = parseInfo(peekedRow);
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
string id = info.Id.map(StandardId::toString).orElse("");
// process in batches, where the ID is the same
CurveSensitivitiesBuilder builder = CurveSensitivities.builder(info);
IList <CsvRow> batchRows = csv.nextBatch(r => matchId(r, id));
foreach (CsvRow batchRow in batchRows)
{
try
{
CurveName reference = CurveName.of(batchRow.getValue(REFERENCE_HEADER));
CurveName resolvedCurveName = resolver.checkCurveName(reference);
CurveSensitivitiesType type = CurveSensitivitiesType.of(batchRow.getValue(TYPE_HEADER));
ParameterMetadata metadata = parseMetadata(batchRow, false);
Currency currency = parseCurrency(batchRow, reference);
string valueStr = batchRow.getField(VALUE_HEADER);
if (valueStr.Length > 0)
{
double value = LoaderUtils.parseDouble(valueStr);
builder.add(type, resolvedCurveName, currency, metadata, value);
}
}
catch (System.ArgumentException ex)
{
failures.Add(FailureItem.of(PARSING, "CSV file could not be parsed at line {}: {}", batchRow.lineNumber(), ex.Message));
}
}
CurveSensitivities sens = builder.build();
if (!sens.TypedSensitivities.Empty)
{
parsed.put(sens.Id.map(object.toString).orElse(""), sens);
}
}
}
// writes the rows for a single CurrencyParameterSensitivity
private void write(string reference, CurveSensitivitiesType type, CurveSensitivities curveSens, CurrencyParameterSensitivity paramSens, IList <string> additionalHeaders, bool containsDates, CsvOutput csv)
{
IList <string> additionalCells = supplier.values(additionalHeaders, curveSens, paramSens);
for (int i = 0; i < paramSens.ParameterCount; i++)
{
ParameterMetadata pmd = paramSens.getParameterMetadata(i);
Tenor tenor = ((TenoredParameterMetadata)pmd).Tenor;
double value = paramSens.Sensitivity.get(i);
csv.writeCell(reference);
csv.writeCell(type.Name);
csv.writeCell(tenor.ToString());
if (containsDates)
{
csv.writeCell(pmd is DatedParameterMetadata ? ((DatedParameterMetadata)pmd).Date.ToString() : "");
}
csv.writeCell(paramSens.Currency.Code);
csv.writeCell(decimal.valueOf(value).toPlainString());
csv.writeLine(additionalCells);
}
}
//-------------------------------------------------------------------------
public void test_parse_multipleSources()
{
CharSource source1 = CharSource.wrap("Reference,Sensitivity Tenor,Zero Rate Delta\n" + "GBP-LIBOR,P1M,1.1\n" + "GBP-LIBOR,P2M,1.2\n");
CharSource source2 = CharSource.wrap("Reference,Sensitivity Tenor,Zero Rate Delta\n" + "GBP-LIBOR,P3M,1.3\n" + "GBP-LIBOR,P6M,1.4\n");
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER.parse(ImmutableList.of(source1, source2));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
assertEquals(test.Value.Keys.Count, 1);
IList <CurveSensitivities> list = test.Value.get("");
assertEquals(list.Count, 2);
CurveSensitivities csens0 = list[0];
assertEquals(csens0.TypedSensitivities.size(), 1);
assertSens(csens0, ZERO_RATE_DELTA, "GBP-LIBOR", GBP, "1M, 2M", 1.1, 1.2);
CurveSensitivities csens1 = list[1];
assertEquals(csens1.TypedSensitivities.size(), 1);
assertSens(csens1, ZERO_RATE_DELTA, "GBP-LIBOR", GBP, "3M, 6M", 1.3, 1.4);
}
public void test_write_standard_withDate()
{
CurveName curve1 = CurveName.of("GBDSC");
CurveName curve2 = CurveName.of("GBFWD");
// listed in reverse order to check ordering
CurveSensitivities sens = CurveSensitivities.builder(PortfolioItemInfo.empty().withAttribute(CCP_ATTR, "LCH")).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 1).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 2).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 3).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 5).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorDateParameterMetadata.of(date(2018, 6, 30), Tenor.TENOR_3M), 2).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 4).build();
StringBuilder buf = new StringBuilder();
WRITER_CCP.write(sens, buf);
string content = buf.ToString();
string expected = "" +
"Reference,Sensitivity Type,Sensitivity Tenor,Sensitivity Date,Currency,Value,CCP\n" +
"GBDSC,ZeroRateDelta,3M,2018-06-30,GBP,2.0,LCH\n" +
"GBDSC,ZeroRateDelta,6M,,GBP,4.0,LCH\n" +
"GBFWD,ZeroRateDelta,3M,,GBP,3.0,LCH\n" +
"GBFWD,ZeroRateDelta,6M,,GBP,5.0,LCH\n" +
"GBFWD,ZeroRateGamma,3M,,GBP,1.0,LCH\n" +
"GBFWD,ZeroRateGamma,6M,,GBP,2.0,LCH\n";
assertEquals(content, expected);
}
public void test_parse_grid_dateInTenorColumn()
{
CharSource source = CharSource.wrap("Sensitivity Type,Sensitivity Tenor,GBP\n" + "ZeroRateGamma,2018-06-30,1\n");
assertEquals(LOADER_DATE.isKnownFormat(source), true);
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER_DATE.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
assertEquals(test.Value.size(), 1);
IList <CurveSensitivities> list = test.Value.get("");
assertEquals(list.Count, 1);
CurveSensitivities csens0 = list[0];
assertEquals(csens0.TypedSensitivities.size(), 1);
CurrencyParameterSensitivities cpss = csens0.getTypedSensitivity(ZERO_RATE_GAMMA);
assertEquals(cpss.Sensitivities.size(), 1);
CurrencyParameterSensitivity cps = cpss.Sensitivities.get(0);
assertEquals(cps.ParameterMetadata.size(), 1);
assertEquals(cps.ParameterMetadata.get(0), LabelDateParameterMetadata.of(date(2018, 6, 30), "2018-06-30"));
}
public override IList <string> values(IList <string> additionalHeaders, CurveSensitivities curveSens, CurrencyParameterSensitivity paramSens)
{
return(ImmutableList.of(curveSens.Info.findAttribute(CCP_ATTR).orElse("")));
}
public override IList <string> headers(CurveSensitivities curveSens)
{
return(ImmutableList.of("CCP"));
}
