/// <summary>
/// Writes the curve nodes in a CSV format to an appendable.
/// </summary>
/// <param name="underlying"> the underlying appendable destination </param>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="group"> the curve group </param>
public static void writeCurveNodes(Appendable underlying, LocalDate valuationDate, RatesCurveGroup group)
{
CsvOutput csv = CsvOutput.standard(underlying);
// header
csv.writeLine(HEADERS_NODES);
// rows
string valuationDateStr = valuationDate.ToString();
IDictionary <Currency, Curve> discountingCurves = group.DiscountCurves;
ISet <CurveName> names = new HashSet <CurveName>();
foreach (KeyValuePair <Currency, Curve> entry in discountingCurves.SetOfKeyValuePairs())
{
Curve curve = entry.Value;
nodeLines(valuationDateStr, curve, csv);
names.Add(curve.Name);
}
IDictionary <Index, Curve> forwardCurves = group.ForwardCurves;
foreach (KeyValuePair <Index, Curve> entry in forwardCurves.SetOfKeyValuePairs())
{
Curve curve = entry.Value;
if (!names.Contains(curve.Name))
{
nodeLines(valuationDateStr, curve, csv);
names.Add(curve.Name);
}
}
}
/// <summary>
/// Writes the curve settings in a CSV format to an appendable.
/// </summary>
/// <param name="underlying"> the underlying appendable destination </param>
/// <param name="group"> the curve group </param>
public static void writeCurveSettings(Appendable underlying, RatesCurveGroup group)
{
CsvOutput csv = CsvOutput.standard(underlying);
// header
csv.writeLine(HEADERS_SETTINGS);
// rows
IDictionary <Currency, Curve> discountingCurves = group.DiscountCurves;
ISet <CurveName> names = new HashSet <CurveName>();
foreach (KeyValuePair <Currency, Curve> entry in discountingCurves.SetOfKeyValuePairs())
{
Curve curve = entry.Value;
csv.writeLine(curveSettings(curve));
names.Add(curve.Name);
}
IDictionary <Index, Curve> forwardCurves = group.ForwardCurves;
foreach (KeyValuePair <Index, Curve> entry in forwardCurves.SetOfKeyValuePairs())
{
Curve curve = entry.Value;
if (!names.Contains(curve.Name))
{
csv.writeLine(curveSettings(curve));
names.Add(curve.Name);
}
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Write sensitivities to an appendable in the standard sensitivities format.
/// <para>
/// The output is written in standard format, with no identifier columns.
/// The parameter metadata must contain tenors.
///
/// </para>
/// </summary>
/// <param name="curveSens"> the curve sensitivities to write </param>
/// <param name="output"> the appendable to write to </param>
/// <exception cref="IllegalArgumentException"> if the metadata does not contain tenors </exception>
/// <exception cref="UncheckedIOException"> if an IO error occurs </exception>
public void write(CurveSensitivities curveSens, Appendable output)
{
CsvOutput csv = CsvOutput.standard(output, "\n");
IList <string> additionalHeaders = supplier.headers(curveSens);
// check for dates
if (curveSens.TypedSensitivities.values().stream().flatMap(allParamSens => allParamSens.Sensitivities.stream()).flatMap(paramSens => paramSens.ParameterMetadata.stream()).anyMatch(pmd => !(pmd is TenoredParameterMetadata)))
{
throw new System.ArgumentException("Parameter metadata must contain tenors");
}
bool containsDates = curveSens.TypedSensitivities.values().stream().flatMap(allParamSens => allParamSens.Sensitivities.stream()).flatMap(paramSens => paramSens.ParameterMetadata.stream()).anyMatch(pmd => pmd is DatedParameterMetadata);
// headers
csv.writeCell(SensitivityCsvLoader.REFERENCE_HEADER);
csv.writeCell(SensitivityCsvLoader.TYPE_HEADER);
csv.writeCell(SensitivityCsvLoader.TENOR_HEADER);
if (containsDates)
{
csv.writeCell(SensitivityCsvLoader.DATE_HEADER);
}
csv.writeCell(SensitivityCsvLoader.CURRENCY_HEADER);
csv.writeCell(SensitivityCsvLoader.VALUE_HEADER);
csv.writeLine(additionalHeaders);
// content, grouped by reference, then type
MapStream.of(curveSens.TypedSensitivities).flatMapValues(sens => sens.Sensitivities.stream()).mapKeys((type, sens) => Pair.of(sens.MarketDataName.Name, type)).sortedKeys().forEach((pair, paramSens) => write(pair.First, pair.Second, curveSens, paramSens, additionalHeaders, containsDates, csv));
}
/// <summary>
/// Writes the curve group in a CSV format to an appendable.
/// </summary>
/// <param name="underlying"> the underlying appendable destination </param>
/// <param name="groups"> the curve groups </param>
public static void writeCurveGroup(Appendable underlying, params RatesCurveGroup[] groups)
{
CsvOutput csv = CsvOutput.standard(underlying);
csv.writeLine(HEADERS);
foreach (RatesCurveGroup group in groups)
{
writeCurveGroup(csv, group);
}
}