private static IDictionary <CurveName, LoadedCurveSettings> parseCurveSettings(CharSource settingsResource)
{
ImmutableMap.Builder <CurveName, LoadedCurveSettings> builder = ImmutableMap.builder();
CsvFile csv = CsvFile.of(settingsResource, true);
foreach (CsvRow row in csv.rows())
{
string curveNameStr = row.getField(SETTINGS_CURVE_NAME);
string valueTypeStr = row.getField(SETTINGS_VALUE_TYPE);
string dayCountStr = row.getField(SETTINGS_DAY_COUNT);
string interpolatorStr = row.getField(SETTINGS_INTERPOLATOR);
string leftExtrapolatorStr = row.getField(SETTINGS_LEFT_EXTRAPOLATOR);
string rightExtrapolatorStr = row.getField(SETTINGS_RIGHT_EXTRAPOLATOR);
if (!VALUE_TYPE_MAP.containsKey(valueTypeStr.ToLower(Locale.ENGLISH)))
{
throw new System.ArgumentException(Messages.format("Unsupported {} in curve settings: {}", SETTINGS_VALUE_TYPE, valueTypeStr));
}
CurveName curveName = CurveName.of(curveNameStr);
ValueType valueType = VALUE_TYPE_MAP.get(valueTypeStr.ToLower(Locale.ENGLISH));
CurveInterpolator interpolator = CurveInterpolator.of(interpolatorStr);
CurveExtrapolator leftExtrap = CurveExtrapolator.of(leftExtrapolatorStr);
CurveExtrapolator rightExtrap = CurveExtrapolator.of(rightExtrapolatorStr);
// ONE_ONE day count is not used
DayCount dayCount = LoaderUtils.parseDayCount(dayCountStr);
LoadedCurveSettings settings = LoadedCurveSettings.of(curveName, ValueType.YEAR_FRACTION, valueType, dayCount, interpolator, leftExtrap, rightExtrap);
builder.put(curveName, settings);
}
return(builder.build());
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
LoadedCurveSettings other = (LoadedCurveSettings)obj;
return(JodaBeanUtils.equal(curveName, other.curveName) && JodaBeanUtils.equal(xValueType, other.xValueType) && JodaBeanUtils.equal(yValueType, other.yValueType) && JodaBeanUtils.equal(dayCount, other.dayCount) && JodaBeanUtils.equal(interpolator, other.interpolator) && JodaBeanUtils.equal(extrapolatorLeft, other.extrapolatorLeft) && JodaBeanUtils.equal(extrapolatorRight, other.extrapolatorRight));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverPrivateConstructor(typeof(RatesCurvesCsvLoader));
LoadedCurveKey.meta();
coverImmutableBean(LoadedCurveKey.of(CURVE_DATE, CurveName.of("Test")));
LoadedCurveNode.meta();
coverImmutableBean(LoadedCurveNode.of(CURVE_DATE, 1d, "Test"));
LoadedCurveSettings.meta();
LoadedCurveSettings settings1 = LoadedCurveSettings.of(CurveName.of("Test"), ValueType.YEAR_FRACTION, ValueType.ZERO_RATE, DayCounts.ACT_365F, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
LoadedCurveSettings settings2 = LoadedCurveSettings.of(CurveName.of("Test2"), ValueType.YEAR_FRACTION, ValueType.DISCOUNT_FACTOR, DayCounts.ACT_ACT_ISDA, CurveInterpolators.LOG_LINEAR, CurveExtrapolators.LINEAR, CurveExtrapolators.LINEAR);
coverImmutableBean(settings1);
coverBeanEquals(settings1, settings2);
}
private static Multimap <LocalDate, Curve> buildCurves(IDictionary <CurveName, LoadedCurveSettings> settingsMap, IDictionary <LoadedCurveKey, IList <LoadedCurveNode> > allNodes)
{
ImmutableMultimap.Builder <LocalDate, Curve> results = ImmutableMultimap.builder();
foreach (KeyValuePair <LoadedCurveKey, IList <LoadedCurveNode> > entry in allNodes.SetOfKeyValuePairs())
{
LoadedCurveKey key = entry.Key;
LoadedCurveSettings settings = settingsMap[key.CurveName];
if (settings == null)
{
throw new System.ArgumentException(Messages.format("Missing settings for curve: {}", key));
}
results.put(key.CurveDate, settings.createCurve(key.CurveDate, entry.Value));
}
return(results.build());
}
// build the curves
private static IList <CurveDefinition> buildCurveDefinition(IDictionary <CurveName, LoadedCurveSettings> settingsMap, IDictionary <CurveName, IList <CurveNode> > allNodes)
{
ImmutableList.Builder <CurveDefinition> results = ImmutableList.builder();
foreach (KeyValuePair <CurveName, IList <CurveNode> > entry in allNodes.SetOfKeyValuePairs())
{
CurveName name = entry.Key;
LoadedCurveSettings settings = settingsMap[name];
if (settings == null)
{
throw new System.ArgumentException(Messages.format("Missing settings for curve: {}", name));
}
results.add(settings.createCurveDefinition(entry.Value));
}
return(results.build());
}