//-------------------------------------------------------------------------
// 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);
}
}
}
/// <summary>
/// Parses one or more CSV format curve files for all available dates.
/// <para>
/// A predicate is specified that is used to filter the dates that are returned.
/// This could match a single date, a set of dates or all dates.
/// </para>
/// <para>
/// If the files contain a duplicate entry an exception will be thrown.
///
/// </para>
/// </summary>
/// <param name="datePredicate"> the predicate used to select the dates </param>
/// <param name="groupsCharSource"> the curve groups CSV character source </param>
/// <param name="settingsCharSource"> the curve settings CSV character source </param>
/// <param name="curveValueCharSources"> the CSV character sources for curves </param>
/// <returns> the loaded curves, mapped by date and identifier </returns>
/// <exception cref="IllegalArgumentException"> if the files contain a duplicate entry </exception>
public static ImmutableListMultimap <LocalDate, LegalEntityCurveGroup> parse(System.Predicate <LocalDate> datePredicate, CharSource groupsCharSource, CharSource settingsCharSource, ICollection <CharSource> curveValueCharSources)
{
IDictionary <CurveGroupName, IDictionary <Pair <RepoGroup, Currency>, CurveName> > repoGroups = new LinkedHashMap <CurveGroupName, IDictionary <Pair <RepoGroup, Currency>, CurveName> >();
IDictionary <CurveGroupName, IDictionary <Pair <LegalEntityGroup, Currency>, CurveName> > legalEntityGroups = new LinkedHashMap <CurveGroupName, IDictionary <Pair <LegalEntityGroup, Currency>, CurveName> >();
parseCurveMaps(groupsCharSource, repoGroups, legalEntityGroups);
IDictionary <LocalDate, IDictionary <CurveName, Curve> > allCurves = parseCurves(datePredicate, settingsCharSource, curveValueCharSources);
ImmutableListMultimap.Builder <LocalDate, LegalEntityCurveGroup> builder = ImmutableListMultimap.builder();
foreach (KeyValuePair <LocalDate, IDictionary <CurveName, Curve> > curveEntry in allCurves.SetOfKeyValuePairs())
{
LocalDate date = curveEntry.Key;
IDictionary <CurveName, Curve> curves = curveEntry.Value;
foreach (KeyValuePair <CurveGroupName, IDictionary <Pair <RepoGroup, Currency>, CurveName> > repoEntry in repoGroups.SetOfKeyValuePairs())
{
CurveGroupName groupName = repoEntry.Key;
IDictionary <Pair <RepoGroup, Currency>, Curve> repoCurves = MapStream.of(repoEntry.Value).mapValues(name => queryCurve(name, curves, date, groupName, "Repo")).toMap();
IDictionary <Pair <LegalEntityGroup, Currency>, Curve> issuerCurves = MapStream.of(legalEntityGroups[groupName]).mapValues(name => queryCurve(name, curves, date, groupName, "Issuer")).toMap();
builder.put(date, LegalEntityCurveGroup.of(groupName, repoCurves, issuerCurves));
}
}
return(builder.build());
}
