//-------------------------------------------------------------------------
// rate calculation
private static RateCalculation parseRateCalculation(CsvRow row, string leg, FloatingRateIndex index, DayCount defaultFixedLegDayCount, BusinessDayAdjustment bda, Currency currency)
{
if (index is IborIndex)
{
return(parseIborRateCalculation(row, leg, (IborIndex)index, bda, currency));
}
else if (index is OvernightIndex)
{
Optional <FloatingRateName> frnOpt = FloatingRateName.extendedEnum().find(getValue(row, leg, INDEX_FIELD));
if (frnOpt.Present)
{
FloatingRateName frn = frnOpt.get();
if (frn.Type == FloatingRateType.OVERNIGHT_AVERAGED)
{
return(parseOvernightRateCalculation(row, leg, (OvernightIndex)index, OvernightAccrualMethod.AVERAGED));
}
}
return(parseOvernightRateCalculation(row, leg, (OvernightIndex)index, OvernightAccrualMethod.COMPOUNDED));
}
else if (index is PriceIndex)
{
return(parseInflationRateCalculation(row, leg, (PriceIndex)index, currency));
}
else
{
return(parseFixedRateCalculation(row, leg, currency, defaultFixedLegDayCount));
}
}
// for historical compatibility, we determine known format by looking for these specific things
// the new approach is to require either the 'Reference' or the 'Sensitivity Type' column
private static bool knownReference(string refStr)
{
try
{
Optional <IborIndex> ibor = IborIndex.extendedEnum().find(refStr);
if (ibor.Present)
{
return(true);
}
else
{
Optional <FloatingRateName> frName = FloatingRateName.extendedEnum().find(refStr);
if (frName.Present)
{
return(true);
}
else if (refStr.Length == 3)
{
Currency.of(refStr); // this may throw an exception validating the string
return(true);
}
else
{
return(false);
}
}
}
catch (Exception)
{
return(false);
}
}
//-------------------------------------------------------------------------
public virtual void test_normalized()
{
assertEquals(FloatingRateName.of("GBP-LIBOR-BBA").normalized(), FloatingRateName.of("GBP-LIBOR"));
assertEquals(FloatingRateName.of("GBP-WMBA-SONIA-COMPOUND").normalized(), FloatingRateName.of("GBP-SONIA"));
foreach (FloatingRateName name in FloatingRateName.extendedEnum().lookupAll().values())
{
assertNotNull(name.normalized());
}
}
//-------------------------------------------------------------------------
// parses the currency as a column or from the reference
private static Currency parseCurrency(CsvRow row, CurveName reference)
{
Optional <string> currencyStr = row.findValue(CURRENCY_HEADER);
if (currencyStr.Present)
{
return(LoaderUtils.parseCurrency(currencyStr.get()));
}
string referenceStr = reference.Name.ToUpper(Locale.ENGLISH);
try
{
Optional <IborIndex> ibor = IborIndex.extendedEnum().find(referenceStr);
if (ibor.Present)
{
return(ibor.get().Currency);
}
else
{
Optional <FloatingRateName> frName = FloatingRateName.extendedEnum().find(referenceStr);
if (frName.Present)
{
return(frName.get().Currency);
}
else if (referenceStr.Length == 3)
{
return(Currency.of(referenceStr));
}
else if (referenceStr.Length > 3 && referenceStr[3] == '-' || referenceStr[3] == '_')
{
return(LoaderUtils.parseCurrency(referenceStr.Substring(0, 3)));
}
else
{
// drop out to exception
}
}
}
catch (Exception)
{
// drop out to exception
}
throw new System.ArgumentException("Unable to parse currency from reference, consider adding a 'Currency' column");
}