private static IborIndex parseIborIndex(CsvRow row)
{
string name = row.getValue(NAME_FIELD);
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
bool active = bool.Parse(row.getValue(ACTIVE_FIELD));
DayCount dayCount = DayCount.of(row.getValue(DAY_COUNT_FIELD));
HolidayCalendarId fixingCal = HolidayCalendarId.of(row.getValue(FIXING_CALENDAR_FIELD));
int offsetDays = int.Parse(row.getValue(OFFSET_DAYS_FIELD));
HolidayCalendarId offsetCal = HolidayCalendarId.of(row.getValue(OFFSET_CALENDAR_FIELD));
HolidayCalendarId effectiveCal = HolidayCalendarId.of(row.getValue(EFFECTIVE_DATE_CALENDAR_FIELD));
Tenor tenor = Tenor.parse(row.getValue(TENOR_FIELD));
LocalTime time = LocalTime.parse(row.getValue(FIXING_TIME_FIELD), TIME_FORMAT);
ZoneId zoneId = ZoneId.of(row.getValue(FIXING_ZONE_FIELD));
DayCount fixedLegDayCount = DayCount.of(row.getValue(FIXED_LEG_DAY_COUNT));
// interpret CSV
DaysAdjustment fixingOffset = DaysAdjustment.ofBusinessDays(-offsetDays, offsetCal, BusinessDayAdjustment.of(PRECEDING, fixingCal)).normalized();
DaysAdjustment effectiveOffset = DaysAdjustment.ofBusinessDays(offsetDays, offsetCal, BusinessDayAdjustment.of(FOLLOWING, effectiveCal)).normalized();
// convention can be two different things
PeriodAdditionConvention periodAdditionConvention = PeriodAdditionConvention.extendedEnum().find(row.getField(TENOR_CONVENTION_FIELD)).orElse(PeriodAdditionConventions.NONE);
BusinessDayConvention tenorBusinessConvention = BusinessDayConvention.extendedEnum().find(row.getField(TENOR_CONVENTION_FIELD)).orElse(isEndOfMonth(periodAdditionConvention) ? MODIFIED_FOLLOWING : FOLLOWING);
BusinessDayAdjustment adj = BusinessDayAdjustment.of(tenorBusinessConvention, effectiveCal);
TenorAdjustment tenorAdjustment = TenorAdjustment.of(tenor, periodAdditionConvention, adj);
// build result
return(ImmutableIborIndex.builder().name(name).currency(currency).active(active).dayCount(dayCount).fixingCalendar(fixingCal).fixingDateOffset(fixingOffset).effectiveDateOffset(effectiveOffset).maturityDateOffset(tenorAdjustment).fixingTime(time).fixingZone(zoneId).defaultFixedLegDayCount(fixedLegDayCount).build());
}
// days adjustment, defaulting calendar and adjustment
private static Optional <DaysAdjustment> parseDaysAdjustment(CsvRow row, string leg, string daysField, string daysCalField, string cnvField, string calField)
{
int?daysOpt = findValue(row, leg, daysField).map(s => Convert.ToInt32(s));
HolidayCalendarId cal = findValue(row, leg, daysCalField).map(s => HolidayCalendarId.of(s)).orElse(HolidayCalendarIds.NO_HOLIDAYS);
BusinessDayAdjustment bda = parseBusinessDayAdjustment(row, leg, cnvField, calField).orElse(BusinessDayAdjustment.NONE);
if (!daysOpt.HasValue)
{
return(null);
}
return(DaysAdjustment.builder().days(daysOpt.Value).calendar(cal).adjustment(bda).build());
}
private static FxIndex parseFxIndex(CsvRow row)
{
string name = row.getField(NAME_FIELD);
Currency baseCurrency = Currency.parse(row.getField(BASE_CURRENCY_FIELD));
Currency counterCurrency = Currency.parse(row.getField(COUNTER_CURRENCY_FIELD));
HolidayCalendarId fixingCal = HolidayCalendarId.of(row.getField(FIXING_CALENDAR_FIELD));
int maturityDays = int.Parse(row.getField(MATURITY_DAYS_FIELD));
HolidayCalendarId maturityCal = HolidayCalendarId.of(row.getField(MATURITY_CALENDAR_FIELD));
// build result
return(ImmutableFxIndex.builder().name(name).currencyPair(CurrencyPair.of(baseCurrency, counterCurrency)).fixingCalendar(fixingCal).maturityDateOffset(DaysAdjustment.ofBusinessDays(maturityDays, maturityCal)).build());
}
// adjustable date, defaulting business day convention and holiday calendar
private static Optional <AdjustableDate> parseAdjustableDate(CsvRow row, string leg, string dateField, string cnvField, string calField)
{
Optional <LocalDate> dateOpt = findValue(row, leg, dateField).map(s => LoaderUtils.parseDate(s));
if (!dateOpt.Present)
{
return(null);
}
BusinessDayConvention dateCnv = findValue(row, leg, cnvField).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
HolidayCalendarId cal = findValue(row, leg, calField).map(s => HolidayCalendarId.of(s)).orElse(HolidayCalendarIds.NO_HOLIDAYS);
return(AdjustableDate.of(dateOpt.get(), BusinessDayAdjustment.of(dateCnv, cal)));
}
private static OvernightIndex parseOvernightIndex(CsvRow row)
{
string name = row.getValue(NAME_FIELD);
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
bool active = bool.Parse(row.getValue(ACTIVE_FIELD));
DayCount dayCount = DayCount.of(row.getValue(DAY_COUNT_FIELD));
HolidayCalendarId fixingCal = HolidayCalendarId.of(row.getValue(FIXING_CALENDAR_FIELD));
int publicationDays = int.Parse(row.getValue(PUBLICATION_DAYS_FIELD));
int effectiveDays = int.Parse(row.getValue(EFFECTIVE_DAYS_FIELD));
DayCount fixedLegDayCount = DayCount.of(row.getValue(FIXED_LEG_DAY_COUNT));
// build result
return(ImmutableOvernightIndex.builder().name(name).currency(currency).active(active).dayCount(dayCount).fixingCalendar(fixingCal).publicationDateOffset(publicationDays).effectiveDateOffset(effectiveDays).defaultFixedLegDayCount(fixedLegDayCount).build());
}
//-------------------------------------------------------------------------
// days adjustment, defaulting business day convention
private static Optional <BusinessDayAdjustment> parseBusinessDayAdjustment(CsvRow row, string leg, string cnvField, string calField)
{
BusinessDayConvention dateCnv = findValue(row, leg, cnvField).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
return(findValue(row, leg, calField).map(s => HolidayCalendarId.of(s)).map(cal => BusinessDayAdjustment.of(dateCnv, cal)));
}
/// <summary>
/// Converts an FpML business center string to a {@code HolidayCalendar}.
/// </summary>
/// <param name="fpmlBusinessCenter"> the business center name used by FpML </param>
/// <returns> the holiday calendar </returns>
/// <exception cref="IllegalArgumentException"> if the holiday calendar is not known </exception>
public HolidayCalendarId convertHolidayCalendar(string fpmlBusinessCenter)
{
return(HolidayCalendarId.of(fpmlBusinessCenter));
}
// parse a trade based on a convention
internal static SwapTrade parseWithConvention(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver, string conventionStr)
{
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fixedRate = LoaderUtils.parseDoublePercent(row.getValue(FIXED_RATE_FIELD));
Optional <Period> periodToStartOpt = row.findValue(PERIOD_TO_START_FIELD).map(s => LoaderUtils.parsePeriod(s));
Optional <Tenor> tenorOpt = row.findValue(TENOR_FIELD).map(s => LoaderUtils.parseTenor(s));
Optional <LocalDate> startDateOpt = row.findValue(START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <RollConvention> rollCnvOpt = row.findValue(ROLL_CONVENTION_FIELD).map(s => LoaderUtils.parseRollConvention(s));
Optional <StubConvention> stubCnvOpt = row.findValue(STUB_CONVENTION_FIELD).map(s => StubConvention.of(s));
Optional <LocalDate> firstRegStartDateOpt = row.findValue(FIRST_REGULAR_START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> lastRegEndDateOpt = row.findValue(LAST_REGULAR_END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional <HolidayCalendarId> dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD).map(s => HolidayCalendarId.of(s));
double? fxRateOpt = row.findValue(FX_RATE_FIELD).map(str => LoaderUtils.parseDouble(str));
// explicit dates take precedence over relative ones
if (startDateOpt.Present && endDateOpt.Present)
{
if (periodToStartOpt.Present || tenorOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(PERIOD_TO_START_FIELD, TENOR_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
SwapTrade trade = createSwap(info, conventionStr, startDate, endDate, buySell, notional, fixedRate, fxRateOpt);
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
// start date + tenor
if (startDateOpt.Present && tenorOpt.Present)
{
if (periodToStartOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, TENOR_FIELD) + " then these fields must not be present " + ImmutableList.of(PERIOD_TO_START_FIELD, END_DATE_FIELD));
}
LocalDate startDate = startDateOpt.get();
Tenor tenor = tenorOpt.get();
LocalDate endDate = startDate.plus(tenor);
SwapTrade trade = createSwap(info, conventionStr, startDate, endDate, buySell, notional, fixedRate, fxRateOpt);
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
// relative dates
if (periodToStartOpt.Present && tenorOpt.Present && info.TradeDate.Present)
{
if (startDateOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, PERIOD_TO_START_FIELD, TENOR_FIELD, TRADE_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.TradeDate.get();
Period periodToStart = periodToStartOpt.get();
Tenor tenor = tenorOpt.get();
if (fxRateOpt.HasValue)
{
XCcyIborIborSwapConvention convention = XCcyIborIborSwapConvention.of(conventionStr);
double notionalFlat = notional * fxRateOpt.Value;
SwapTrade trade = convention.createTrade(tradeDate, periodToStart, tenor, buySell, notional, notionalFlat, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
else
{
SingleCurrencySwapConvention convention = SingleCurrencySwapConvention.of(conventionStr);
SwapTrade trade = convention.createTrade(tradeDate, periodToStart, tenor, buySell, notional, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
}
// no match
throw new System.ArgumentException("Swap trade had invalid combination of fields. These fields are mandatory:" + ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) + " and one of these combinations is mandatory: " + ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, PERIOD_TO_START_FIELD, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD));
}
