//-------------------------------------------------------------------------
/// <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));
}
// 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);
}
}