/// <summary>Opens a CRIF file and reads its content.</summary>
/// <param name="filePath">The <see cref="T:System.String"/> representing the file to open for reading.</param>
/// <returns>An <see cref="System.Collections.Generic.ICollection{T}"/> of <see cref="T:InitialMargin.Core.DataEntity"/> objects defined in the CRIF file.</returns>
/// <exception cref="T:System.ArgumentException">Thrown when <paramref name="filePath">filePath</paramref> is invalid or does not refer to a CSV file.</exception>
/// <exception cref="T:System.IO.FileNotFoundException">Thrown when <paramref name="filePath">filePath</paramref> could not be found.</exception>
/// <exception cref="T:System.IO.InvalidDataException">Thrown when the CRIF file contains invalid or malformed data.</exception>
public static ICollection <DataEntity> Read(String filePath)
{
List <String[]> fieldsMatrix = CsvParser.Parse(filePath, Encoding.UTF8, '\t', false);
if (fieldsMatrix.Count == 0)
{
throw new InvalidDataException($"[{filePath}] The CRIF file is empty.");
}
String[] properties = fieldsMatrix.ElementAt(0);
fieldsMatrix = fieldsMatrix.Skip(1).ToList();
if (properties.Any(String.IsNullOrWhiteSpace))
{
throw new InvalidDataException($"[{filePath}] The CRIF file contains empty column headers.");
}
if (s_Properties.Intersect(properties).Count() != s_Properties.Length)
{
throw new InvalidDataException($"[{filePath}] The CRIF file does not contain all the required column headers: {String.Join(", ", s_Properties)}.");
}
Dictionary <String, Int32> propertiesMapping = new Dictionary <String, Int32>(s_Properties.Length);
foreach (String property in s_Properties)
{
propertiesMapping.Add(property, Array.IndexOf(properties, property));
}
List <DataEntity> entities = new List <DataEntity>();
foreach (var tuple in fieldsMatrix.Select((x, i) => new { Index = i, Value = x }))
{
Int32 index = tuple.Index + 2;
String[] values = tuple.Value;
if (values.Length != properties.Length)
{
throw new InvalidDataException($"[{filePath}, Line {index}] The CRIF file contains an entry whose number of columns doesn't match the number of column headers.");
}
EntryObject o = ToEntryObject(values, propertiesMapping);
if ((o.InitialMarginModel != "Schedule") && (o.InitialMarginModel != "SIMM"))
{
throw new InvalidDataException($"[{filePath}, Line {index}] The CRIF file contains an entry with an invalid IMModel property.");
}
DataEntity entity = null;
try
{
switch (o.RiskType)
{
case "Notional":
{
if (o.InitialMarginModel == "SIMM")
{
entity = ReadAddOnNotional(o);
}
else
{
entity = ReadNotional(o);
}
break;
}
case "Param_AddOnFixedAmount":
entity = ReadAddOnFixedAmount(o);
break;
case "Param_AddOnNotionalFactor":
entity = ReadAddOnNotionalFactor(o);
break;
case "Param_ProductClassMultiplier":
entity = ReadProductMultiplier(o);
break;
case "PV":
entity = ReadPresentValue(o);
break;
case "Risk_BaseCorr":
entity = ReadSensitivityBaseCorrelation(o);
break;
case "Risk_Commodity":
case "Risk_CommodityVol":
entity = ParseSensitivityCommodity(o);
break;
case "Risk_CreditNonQ":
case "Risk_CreditVolNonQ":
entity = ParseSensitivityCreditNonQualifying(o);
break;
case "Risk_CreditQ":
case "Risk_CreditVol":
entity = ParseSensitivityCreditQualifying(o);
break;
case "Risk_Equity":
case "Risk_EquityVol":
entity = ReadSensitivityEquity(o);
break;
case "Risk_FX":
case "Risk_FXVol":
entity = ReadSensitivityFx(o);
break;
case "Risk_Inflation":
case "Risk_InflationVol":
entity = ReadSensitivityInflation(o);
break;
case "Risk_IRCurve":
case "Risk_IRVol":
entity = ReadSensitivityInterestRate(o);
break;
case "Risk_XCcyBasis":
entity = ReadSensitivityCrossCurrencyBasis(o);
break;
}
}
catch (InvalidDataException e)
{
throw new InvalidDataException($"[{filePath}, Line {index}] {e.Message}");
}
if (entity == null)
{
throw new InvalidDataException($"[{filePath}, Line {index}] The CRIF file contains an entry with an invalid RiskType property.");
}
entities.Add(entity);
}
return(entities);
}
