public DatedParameterMetadata metadata(LocalDate valuationDate, ReferenceData refData)
{
LocalDate nodeDate = date(valuationDate, refData);
if (date_Renamed.Fixed)
{
return(LabelDateParameterMetadata.of(nodeDate, label));
}
return(TenorDateParameterMetadata.of(nodeDate, template.Tenor, label));
}
// parses the currency as a column or from the reference
private ParameterMetadata parseMetadata(CsvRow row, bool lenientDateParsing)
{
// parse the tenor and date fields
Optional <Tenor> tenorOpt = row.findValue(TENOR_HEADER).flatMap(LoaderUtils.tryParseTenor);
Optional <LocalDate> dateOpt = row.findValue(DATE_HEADER).map(LoaderUtils.parseDate);
Optional <string> tenorStrOpt = row.findValue(TENOR_HEADER);
if (tenorStrOpt.Present && !tenorOpt.Present)
{
if (lenientDateParsing && !dateOpt.Present && !resolver.TenorRequired)
{
try
{
dateOpt = tenorStrOpt.map(LoaderUtils.parseDate);
}
catch (Exception)
{
// hide this exception, as this is a historic format
throw new System.ArgumentException(Messages.format("Invalid tenor '{}', must be expressed as nD, nW, nM or nY", tenorStrOpt.get()));
}
}
else
{
throw new System.ArgumentException(Messages.format("Invalid tenor '{}', must be expressed as nD, nW, nM or nY", tenorStrOpt.get()));
}
}
// build correct metadata based on the parsed fields
if (tenorOpt.Present)
{
Tenor tenor = resolver.checkSensitivityTenor(tenorOpt.get());
if (dateOpt.Present)
{
return(TenorDateParameterMetadata.of(dateOpt.get(), tenor));
}
else
{
return(TenorParameterMetadata.of(tenor));
}
}
else if (resolver.TenorRequired)
{
throw new System.ArgumentException(Messages.format("Missing value for '{}' column", TENOR_HEADER));
}
else if (dateOpt.Present)
{
return(LabelDateParameterMetadata.of(dateOpt.get(), dateOpt.get().ToString()));
}
else
{
throw new System.ArgumentException(Messages.format("Unable to parse tenor or date, check '{}' and '{}' columns", TENOR_HEADER, DATE_HEADER));
}
}
public void test_parse_grid_tenorAndDateColumns()
{
CharSource source = CharSource.wrap("Sensitivity Type,Sensitivity Tenor,Sensitivity Date,GBP\n" + "ZeroRateGamma,1M,2018-06-30,1\n");
assertEquals(LOADER.isKnownFormat(source), true);
ValueWithFailures <ListMultimap <string, CurveSensitivities> > test = LOADER.parse(ImmutableList.of(source));
assertEquals(test.Failures.size(), 0, test.Failures.ToString());
assertEquals(test.Value.size(), 1);
IList <CurveSensitivities> list = test.Value.get("");
assertEquals(list.Count, 1);
CurveSensitivities csens0 = list[0];
assertEquals(csens0.TypedSensitivities.size(), 1);
CurrencyParameterSensitivities cpss = csens0.getTypedSensitivity(ZERO_RATE_GAMMA);
assertEquals(cpss.Sensitivities.size(), 1);
CurrencyParameterSensitivity cps = cpss.Sensitivities.get(0);
assertEquals(cps.ParameterMetadata.size(), 1);
assertEquals(cps.ParameterMetadata.get(0), TenorDateParameterMetadata.of(date(2018, 6, 30), TENOR_1M));
}
public void test_write_standard_withDate()
{
CurveName curve1 = CurveName.of("GBDSC");
CurveName curve2 = CurveName.of("GBFWD");
// listed in reverse order to check ordering
CurveSensitivities sens = CurveSensitivities.builder(PortfolioItemInfo.empty().withAttribute(CCP_ATTR, "LCH")).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 1).add(ZERO_RATE_GAMMA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 2).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_3M), 3).add(ZERO_RATE_DELTA, curve2, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 5).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorDateParameterMetadata.of(date(2018, 6, 30), Tenor.TENOR_3M), 2).add(ZERO_RATE_DELTA, curve1, Currency.GBP, TenorParameterMetadata.of(Tenor.TENOR_6M), 4).build();
StringBuilder buf = new StringBuilder();
WRITER_CCP.write(sens, buf);
string content = buf.ToString();
string expected = "" +
"Reference,Sensitivity Type,Sensitivity Tenor,Sensitivity Date,Currency,Value,CCP\n" +
"GBDSC,ZeroRateDelta,3M,2018-06-30,GBP,2.0,LCH\n" +
"GBDSC,ZeroRateDelta,6M,,GBP,4.0,LCH\n" +
"GBFWD,ZeroRateDelta,3M,,GBP,3.0,LCH\n" +
"GBFWD,ZeroRateDelta,6M,,GBP,5.0,LCH\n" +
"GBFWD,ZeroRateGamma,3M,,GBP,1.0,LCH\n" +
"GBFWD,ZeroRateGamma,6M,,GBP,2.0,LCH\n";
assertEquals(content, expected);
}
public override DatedParameterMetadata metadata(LocalDate nodeDate)
{
return(template is TenorCdsTemplate?TenorDateParameterMetadata.of(nodeDate, ((TenorCdsTemplate)template).Tenor, label) : LabelDateParameterMetadata.of(nodeDate, label));
}
public override TenorDateParameterMetadata metadata(LocalDate nodeDate)
{
return(TenorDateParameterMetadata.of(nodeDate, tenor));
}
