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