/// <summary>
/// Gets all rates curves.
/// </summary>
/// <returns> the map of all rates curves </returns>
public virtual SortedDictionary <LocalDate, RatesCurveGroup> loadAllRatesCurves()
{
if (!subdirectoryExists(CURVES_DIR))
{
throw new System.ArgumentException("No rates curves directory found");
}
ResourceLocator curveGroupsResource = getResource(CURVES_DIR, CURVES_GROUPS_FILE);
if (curveGroupsResource == null)
{
throw new System.ArgumentException(Messages.format("Unable to load rates curves: curve groups file not found at {}/{}", CURVES_DIR, CURVES_GROUPS_FILE));
}
ResourceLocator curveSettingsResource = getResource(CURVES_DIR, CURVES_SETTINGS_FILE);
if (curveSettingsResource == null)
{
throw new System.ArgumentException(Messages.format("Unable to load rates curves: curve settings file not found at {}/{}", CURVES_DIR, CURVES_SETTINGS_FILE));
}
ListMultimap <LocalDate, RatesCurveGroup> curveGroups = RatesCurvesCsvLoader.loadAllDates(curveGroupsResource, curveSettingsResource, RatesCurvesResources);
// There is only one curve group in the market data file so this will always succeed
IDictionary <LocalDate, RatesCurveGroup> curveGroupMap = Maps.transformValues(curveGroups.asMap(), groups => groups.GetEnumerator().next());
return(new SortedDictionary <>(curveGroupMap));
}
private void loadRatesCurves(ImmutableMarketDataBuilder builder, LocalDate marketDataDate)
{
if (!subdirectoryExists(CURVES_DIR))
{
log.debug("No rates curves directory found");
return;
}
ResourceLocator curveGroupsResource = getResource(CURVES_DIR, CURVES_GROUPS_FILE);
if (curveGroupsResource == null)
{
log.error("Unable to load rates curves: curve groups file not found at {}/{}", CURVES_DIR, CURVES_GROUPS_FILE);
return;
}
ResourceLocator curveSettingsResource = getResource(CURVES_DIR, CURVES_SETTINGS_FILE);
if (curveSettingsResource == null)
{
log.error("Unable to load rates curves: curve settings file not found at {}/{}", CURVES_DIR, CURVES_SETTINGS_FILE);
return;
}
try
{
ICollection <ResourceLocator> curvesResources = RatesCurvesResources;
IList <RatesCurveGroup> ratesCurves = RatesCurvesCsvLoader.load(marketDataDate, curveGroupsResource, curveSettingsResource, curvesResources);
foreach (RatesCurveGroup group in ratesCurves)
{
// add entry for higher level discount curve name
group.DiscountCurves.forEach((ccy, curve) => builder.addValue(CurveId.of(group.Name, curve.Name), curve));
// add entry for higher level forward curve name
group.ForwardCurves.forEach((idx, curve) => builder.addValue(CurveId.of(group.Name, curve.Name), curve));
}
}
catch (Exception e)
{
log.error("Error loading rates curves", e);
}
}
