// parse full definition
private static FxSwapTrade parseFull(CsvRow row, TradeInfo info)
{
FxSingle nearFx = FxSingleTradeCsvLoader.parseFxSingle(row, "");
FxSingle farFx = FxSingleTradeCsvLoader.parseFxSingle(row, "Far ");
return(FxSwapTrade.of(info, FxSwap.of(nearFx, farFx)));
}
// convention-based
// ideally we'd use the trade date plus "period to start" to get the spot/payment date
// but we don't have all the data and it gets complicated in places like TRY, RUB and AED
private static FxSwapTrade parseConvention(CsvRow row, TradeInfo info)
{
CurrencyPair pair = CurrencyPair.parse(row.getValue(CONVENTION_FIELD));
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double nearFxRate = LoaderUtils.parseDouble(row.getValue(FX_RATE_FIELD));
double farFxRate = LoaderUtils.parseDouble(row.getValue(FAR_FX_RATE_DATE_FIELD));
LocalDate nearPaymentDate = LoaderUtils.parseDate(row.getValue(PAYMENT_DATE_FIELD));
LocalDate farPaymentDate = LoaderUtils.parseDate(row.getValue(FAR_PAYMENT_DATE_FIELD));
Optional <BusinessDayAdjustment> paymentAdj = FxSingleTradeCsvLoader.parsePaymentDateAdjustment(row);
CurrencyAmount amount = CurrencyAmount.of(currency, buySell.normalize(notional));
FxRate nearRate = FxRate.of(pair, nearFxRate);
FxRate farRate = FxRate.of(pair, farFxRate);
FxSwap fx = paymentAdj.map(adj => FxSwap.of(amount, nearRate, nearPaymentDate, farRate, farPaymentDate, adj)).orElseGet(() => FxSwap.of(amount, nearRate, nearPaymentDate, farRate, farPaymentDate));
return(FxSwapTrade.of(info, fx));
}
// loads a single CSV file
private ValueWithFailures <IList <T> > parseFile <T>(CsvIterator csv, Type <T> tradeType) where T : com.opengamma.strata.product.Trade
{
IList <T> trades = new List <T>();
IList <FailureItem> failures = new List <FailureItem>();
while (csv.hasNext())
{
CsvRow row = csv.next();
try
{
string typeRaw = row.getField(TYPE_FIELD);
TradeInfo info = parseTradeInfo(row);
switch (typeRaw.ToUpper(Locale.ENGLISH))
{
case "FRA":
if (tradeType == typeof(FraTrade) || tradeType == typeof(Trade))
{
trades.Add(tradeType.cast(FraTradeCsvLoader.parse(row, info, resolver)));
}
break;
case "SECURITY":
if (tradeType == typeof(SecurityTrade) || tradeType == typeof(GenericSecurityTrade) || tradeType == typeof(ResolvableSecurityTrade) || tradeType == typeof(Trade))
{
SecurityQuantityTrade parsed = SecurityCsvLoader.parseTrade(row, info, resolver);
if (tradeType.IsInstanceOfType(parsed))
{
trades.Add(tradeType.cast(parsed));
}
}
break;
case "SWAP":
if (tradeType == typeof(SwapTrade) || tradeType == typeof(Trade))
{
IList <CsvRow> variableRows = new List <CsvRow>();
while (csv.hasNext() && csv.peek().getField(TYPE_FIELD).ToUpper(Locale.ENGLISH).Equals("VARIABLE"))
{
variableRows.Add(csv.next());
}
trades.Add(tradeType.cast(SwapTradeCsvLoader.parse(row, variableRows, info, resolver)));
}
break;
case "TERMDEPOSIT":
case "TERM DEPOSIT":
if (tradeType == typeof(TermDepositTrade) || tradeType == typeof(Trade))
{
trades.Add(tradeType.cast(TermDepositTradeCsvLoader.parse(row, info, resolver)));
}
break;
case "VARIABLE":
failures.Add(FailureItem.of(FailureReason.PARSING, "CSV file contained a 'Variable' type at line {lineNumber} that was not preceeded by a 'Swap'", row.lineNumber()));
break;
case "FX":
case "FXSINGLE":
case "FX SINGLE":
if (tradeType == typeof(FxSingleTrade) || tradeType == typeof(FxTrade) || tradeType == typeof(Trade))
{
trades.Add(tradeType.cast(FxSingleTradeCsvLoader.parse(row, info, resolver)));
}
break;
case "FXSWAP":
case "FX SWAP":
if (tradeType == typeof(FxSwapTrade) || tradeType == typeof(FxTrade) || tradeType == typeof(Trade))
{
trades.Add(tradeType.cast(FxSwapTradeCsvLoader.parse(row, info, resolver)));
}
break;
default:
failures.Add(FailureItem.of(FailureReason.PARSING, "CSV file trade type '{tradeType}' is not known at line {lineNumber}", typeRaw, row.lineNumber()));
break;
}
}
catch (Exception ex)
{
failures.Add(FailureItem.of(FailureReason.PARSING, ex, "CSV file trade could not be parsed at line {lineNumber}: {exceptionMessage}", row.lineNumber(), ex.Message));
}
}
return(ValueWithFailures.of(trades, failures));
}
