Skip to content

Commit

Permalink
Add support for CDS in CSV (#1956)
Browse files Browse the repository at this point in the history 
* Add support for CDS in CSV

Follow standard pattern of other asset classes
  • Loading branch information
@jodastephen
jodastephen committed Apr 25, 2019
1 parent 6e7a348 commit 19ee4f5
Show file tree
Hide file tree
Showing 10 changed files with 648 additions and 53 deletions.
3 changes: 2 additions & 1 deletion ...les/loader/src/main/java/com/opengamma/strata/loader/csv/BulletPaymentTradeCsvPlugin.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@
*/
package com.opengamma.strata.loader.csv;

import static com.opengamma.strata.basics.date.BusinessDayConventions.FOLLOWING;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.DIRECTION_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.NOTIONAL_FIELD;
Expand Down Expand Up @@ -63,7 +64,7 @@ private static BulletPaymentTrade parseRow(CsvRow row, TradeInfo info, TradeCsvI
CurrencyAmount amount = CsvLoaderUtils.parseCurrencyAmountWithDirection(
row, CURRENCY_FIELD, NOTIONAL_FIELD, DIRECTION_FIELD);
AdjustableDate date = CsvLoaderUtils.parseAdjustableDate(
row, PAYMENT_DATE_FIELD, PAYMENT_DATE_CNV_FIELD, PAYMENT_DATE_CAL_FIELD, amount.getCurrency());
row, PAYMENT_DATE_FIELD, PAYMENT_DATE_CNV_FIELD, PAYMENT_DATE_CAL_FIELD, FOLLOWING, amount.getCurrency());

BulletPayment payment = BulletPayment.builder()
.payReceive(PayReceive.ofSignedAmount(amount.getAmount()))
Expand Down
411 changes: 411 additions & 0 deletions modules/loader/src/main/java/com/opengamma/strata/loader/csv/CdsTradeCsvPlugin.java
View file

Large diffs are not rendered by default.

40 changes: 36 additions & 4 deletions modules/loader/src/main/java/com/opengamma/strata/loader/csv/CsvLoaderUtils.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -5,7 +5,6 @@
*/
package com.opengamma.strata.loader.csv;

import static com.opengamma.strata.basics.date.BusinessDayConventions.FOLLOWING;
import static com.opengamma.strata.collect.Guavate.toImmutableMap;

import java.math.BigDecimal;
Expand All @@ -22,7 +21,9 @@
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.BusinessDayConvention;
import com.opengamma.strata.basics.date.BusinessDayConventions;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.date.HolidayCalendarId;
import com.opengamma.strata.basics.date.HolidayCalendarIds;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.io.CsvRow;
Expand Down Expand Up @@ -275,13 +276,12 @@ static AdjustableDate parseAdjustableDate(

/**
* Parses a business day adjustment, defaulting the adjustment using the currency.
* <p>
* The default uses {@link BusinessDayConventions#FOLLOWING}.
*
* @param row the CSV row to parse
* @param dateField the date field
* @param conventionField the convention field
* @param calendarField the calendar field
* @param defaultConvention the default convention
* @param currency the applicable currency, used for defaulting
* @return the adjustment
* @throws IllegalArgumentException if the row cannot be parsed
Expand All @@ -291,11 +291,12 @@ static AdjustableDate parseAdjustableDate(
String dateField,
String conventionField,
String calendarField,
BusinessDayConvention defaultConvention,
Currency currency) {

LocalDate date = LoaderUtils.parseDate(row.getValue(dateField));
BusinessDayAdjustment adj = parseBusinessDayAdjustment(row, conventionField, calendarField)
.orElseGet(() -> BusinessDayAdjustment.of(FOLLOWING, HolidayCalendarId.defaultByCurrency(currency)));
.orElseGet(() -> BusinessDayAdjustment.of(defaultConvention, HolidayCalendarId.defaultByCurrency(currency)));
return AdjustableDate.of(date, adj);
}

Expand Down Expand Up @@ -329,6 +330,37 @@ static Optional<BusinessDayAdjustment> parseBusinessDayAdjustment(
return Optional.empty();
}

/**
* Parses days adjustment from CSV.
*
* @param row the CSV row to parse
* @param daysField the days field
* @param daysCalField the days calendar field
* @param cnvField the convention field
* @param calField the calendar field
* @return the adjustment
* @throws IllegalArgumentException if the row cannot be parsed
*/
static DaysAdjustment parseDaysAdjustment(
CsvRow row,
String daysField,
String daysCalField,
String cnvField,
String calField) {

int days = LoaderUtils.parseInteger(row.getValue(daysField));
HolidayCalendarId daysCal = row.findValue(daysCalField)
.map(s -> HolidayCalendarId.of(s))
.orElse(HolidayCalendarIds.NO_HOLIDAYS);
BusinessDayAdjustment bda = parseBusinessDayAdjustment(row, cnvField, calField)
.orElse(BusinessDayAdjustment.NONE);
return DaysAdjustment.builder()
.days(days)
.calendar(daysCal)
.adjustment(bda)
.build();
}

//-------------------------------------------------------------------------
/**
* Parses a currency amount.
Expand Down
25 changes: 12 additions & 13 deletions modules/loader/src/main/java/com/opengamma/strata/loader/csv/FullSwapTradeCsvPlugin.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -13,11 +13,23 @@
import static com.opengamma.strata.loader.csv.TradeCsvLoader.DATE_ADJ_CNV_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.DAY_COUNT_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.DIRECTION_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.END_DATE_CAL_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.END_DATE_CNV_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.END_DATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.FIRST_REGULAR_START_DATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.FIXED_RATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.FREQUENCY_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.INDEX_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.LAST_REGULAR_END_DATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.NOTIONAL_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.OVERRIDE_START_DATE_CAL_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.OVERRIDE_START_DATE_CNV_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.OVERRIDE_START_DATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.ROLL_CONVENTION_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.START_DATE_CAL_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.START_DATE_CNV_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.START_DATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.STUB_CONVENTION_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.TYPE_FIELD;

import java.time.LocalDate;
Expand Down Expand Up @@ -104,19 +116,6 @@ final class FullSwapTradeCsvPlugin implements TradeTypeCsvWriter<SwapTrade> {
public static final FullSwapTradeCsvPlugin INSTANCE = new FullSwapTradeCsvPlugin();

// CSV column headers
private static final String FREQUENCY_FIELD = "Frequency";
private static final String START_DATE_CNV_FIELD = "Start Date Convention";
private static final String START_DATE_CAL_FIELD = "Start Date Calendar";
private static final String END_DATE_CNV_FIELD = "End Date Convention";
private static final String END_DATE_CAL_FIELD = "End Date Calendar";
private static final String ROLL_CONVENTION_FIELD = "Roll Convention";
private static final String STUB_CONVENTION_FIELD = "Stub Convention";
private static final String FIRST_REGULAR_START_DATE_FIELD = "First Regular Start Date";
private static final String LAST_REGULAR_END_DATE_FIELD = "Last Regular End Date";
private static final String OVERRIDE_START_DATE_FIELD = "Override Start Date";
private static final String OVERRIDE_START_DATE_CNV_FIELD = "Override Start Date Convention";
private static final String OVERRIDE_START_DATE_CAL_FIELD = "Override Start Date Calendar";

private static final String PAYMENT_FREQUENCY_FIELD = "Payment Frequency";
private static final String PAYMENT_RELATIVE_TO_FIELD = "Payment Relative To";
private static final String PAYMENT_OFFSET_DAYS_FIELD = "Payment Offset Days";
Expand Down
18 changes: 18 additions & 0 deletions modules/loader/src/main/java/com/opengamma/strata/loader/csv/TradeCsvInfoResolver.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -10,6 +10,7 @@
import com.opengamma.strata.product.SecurityTrade;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeInfoBuilder;
import com.opengamma.strata.product.credit.CdsTrade;
import com.opengamma.strata.product.deposit.TermDepositTrade;
import com.opengamma.strata.product.fra.FraTrade;
import com.opengamma.strata.product.fx.FxSingleTrade;
Expand Down Expand Up @@ -237,4 +238,21 @@ public default FxVanillaOptionTrade completeTrade(CsvRow row, FxVanillaOptionTra
return completeTradeCommon(row, trade);
}

/**
* Completes the CDS trade, potentially parsing additional columns.
* <p>
* This is called after the trade has been parsed and after
* {@link #parseTradeInfo(CsvRow, TradeInfoBuilder)}.
* <p>
* By default this calls {@link #completeTradeCommon(CsvRow, Trade)}.
*
* @param row the CSV row to parse
* @param trade the parsed trade
* @return the updated trade
*/
public default CdsTrade completeTrade(CsvRow row, CdsTrade trade) {
//do nothing
return completeTradeCommon(row, trade);
}

}
19 changes: 19 additions & 0 deletions modules/loader/src/main/java/com/opengamma/strata/loader/csv/TradeCsvLoader.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -36,6 +36,7 @@
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.TradeInfoBuilder;
import com.opengamma.strata.product.credit.CdsTrade;
import com.opengamma.strata.product.deposit.TermDepositTrade;
import com.opengamma.strata.product.deposit.type.TermDepositConventions;
import com.opengamma.strata.product.fra.FraTrade;
Expand Down Expand Up @@ -238,6 +239,19 @@ public final class TradeCsvLoader {
static final String PREMIUM_DATE_CAL_FIELD = "Premium Date Calendar";
static final String FRA_DISCOUNTING_FIELD = "FRA Discounting Method";

static final String FREQUENCY_FIELD = "Frequency";
static final String START_DATE_CNV_FIELD = "Start Date Convention";
static final String START_DATE_CAL_FIELD = "Start Date Calendar";
static final String END_DATE_CNV_FIELD = "End Date Convention";
static final String END_DATE_CAL_FIELD = "End Date Calendar";
static final String ROLL_CONVENTION_FIELD = "Roll Convention";
static final String STUB_CONVENTION_FIELD = "Stub Convention";
static final String FIRST_REGULAR_START_DATE_FIELD = "First Regular Start Date";
static final String LAST_REGULAR_END_DATE_FIELD = "Last Regular End Date";
static final String OVERRIDE_START_DATE_FIELD = "Override Start Date";
static final String OVERRIDE_START_DATE_CNV_FIELD = "Override Start Date Convention";
static final String OVERRIDE_START_DATE_CAL_FIELD = "Override Start Date Calendar";

// basic CSV column headers
static final String TYPE_FIELD = "Strata Trade Type";
static final String ID_SCHEME_FIELD = "Id Scheme";
Expand Down Expand Up @@ -511,6 +525,11 @@ private <T extends Trade> ValueWithFailures<List<T>> parseFile(CsvIterator csv,
trades.add(tradeType.cast(FxVanillaOptionTradeCsvPlugin.parse(row, info, resolver)));
}
break;
case "CDS":
if (tradeType == CdsTrade.class || tradeType == Trade.class) {
trades.add(tradeType.cast(CdsTradeCsvPlugin.parse(row, info, resolver)));
}
break;
default:
failures.add(FailureItem.of(
FailureReason.PARSING,
Expand Down
2 changes: 2 additions & 0 deletions modules/loader/src/main/java/com/opengamma/strata/loader/csv/TradeCsvWriter.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -63,6 +63,7 @@
import com.opengamma.strata.product.bond.BondFutureOptionTrade;
import com.opengamma.strata.product.bond.CapitalIndexedBondTrade;
import com.opengamma.strata.product.bond.FixedCouponBondTrade;
import com.opengamma.strata.product.credit.CdsTrade;
import com.opengamma.strata.product.deposit.TermDepositTrade;
import com.opengamma.strata.product.dsf.DsfTrade;
import com.opengamma.strata.product.etd.EtdFutureTrade;
Expand Down Expand Up @@ -99,6 +100,7 @@ public final class TradeCsvWriter {
.put(FxSwapTrade.class, FxSwapTradeCsvPlugin.INSTANCE)
.put(SwaptionTrade.class, SwaptionTradeCsvPlugin.INSTANCE) // then options
.put(FxVanillaOptionTrade.class, FxVanillaOptionTradeCsvPlugin.INSTANCE)
.put(CdsTrade.class, CdsTradeCsvPlugin.INSTANCE) // then credit
.put(SecurityTrade.class, SecurityTradeCsvPlugin.INSTANCE) // then securities
.put(EtdFutureTrade.class, SecurityTradeCsvPlugin.INSTANCE)
.put(EtdOptionTrade.class, SecurityTradeCsvPlugin.INSTANCE)
Expand Down
4 changes: 2 additions & 2 deletions modules/loader/src/test/java/com/opengamma/strata/loader/csv/CsvLoaderUtilsTest.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -88,7 +88,7 @@ public void test_parseAdjustableDate_defaulting() {
ImmutableList<String> firstRow = ImmutableList.of("2019-03-01", "F", "GBLO");
CsvRow row = CsvFile.of(headers, ImmutableList.of(firstRow)).row(0);
assertEquals(
CsvLoaderUtils.parseAdjustableDate(row, "DTE", "CNV", "CAL", Currency.EUR),
CsvLoaderUtils.parseAdjustableDate(row, "DTE", "CNV", "CAL", FOLLOWING, Currency.EUR),
AdjustableDate.of(
LocalDate.of(2019, 3, 1),
BusinessDayAdjustment.of(FOLLOWING, HolidayCalendarIds.GBLO)));
Expand All @@ -99,7 +99,7 @@ public void test_parseAdjustableDate_defaulting_noAdjustment() {
ImmutableList<String> firstRow = ImmutableList.of("2019-03-01");
CsvRow row = CsvFile.of(headers, ImmutableList.of(firstRow)).row(0);
assertEquals(
CsvLoaderUtils.parseAdjustableDate(row, "DTE", "CNV", "CAL", Currency.EUR),
CsvLoaderUtils.parseAdjustableDate(row, "DTE", "CNV", "CAL", FOLLOWING, Currency.EUR),
AdjustableDate.of(LocalDate.of(2019, 3, 1), BusinessDayAdjustment.of(FOLLOWING, EUTA)));
}

Expand Down
110 changes: 109 additions & 1 deletion modules/loader/src/test/java/com/opengamma/strata/loader/csv/TradeCsvLoaderTest.java
View file
Original file line number Diff line number Diff line change
Expand Up @@ -81,6 +81,11 @@
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.LongShort;
import com.opengamma.strata.product.credit.Cds;
import com.opengamma.strata.product.credit.CdsTrade;
import com.opengamma.strata.product.credit.PaymentOnDefault;
import com.opengamma.strata.product.credit.ProtectionStartOfDay;
import com.opengamma.strata.product.credit.type.CdsConventions;
import com.opengamma.strata.product.deposit.TermDeposit;
import com.opengamma.strata.product.deposit.TermDepositTrade;
import com.opengamma.strata.product.deposit.type.TermDepositConventions;
Expand Down Expand Up @@ -1391,14 +1396,117 @@ public void test_load_termDeposit() {
checkRoundtrip(TermDepositTrade.class, filtered, expected0, expected1, expected2);
}

//-------------------------------------------------------------------------
public void test_load_cds() {
TradeCsvLoader test = TradeCsvLoader.standard();
ValueWithFailures<List<Trade>> trades = test.load(FILE);

List<CdsTrade> filtered = trades.getValue().stream()
.flatMap(filtering(CdsTrade.class))
.collect(toImmutableList());
assertEquals(filtered.size(), 4);

CdsTrade expected0 = expectedCds0();
CdsTrade expected1 = expectedCds1();
CdsTrade expected2 = expectedCds2();
CdsTrade expected3 = expectedCds3();

assertBeanEquals(expected0, filtered.get(0));
assertBeanEquals(expected1, filtered.get(1));
assertBeanEquals(expected2, filtered.get(2));
assertBeanEquals(expected3, filtered.get(3));

checkRoundtrip(CdsTrade.class, filtered, expected0, expected1, expected2, expected3);
}

private CdsTrade expectedCds0() {
StandardId legEnt = StandardId.of("OG-Entity", "FOO");
return CdsConventions.GBP_STANDARD
.createTrade(legEnt, date(2017, 6, 1), Tenor.ofYears(5), BUY, 2_000_000, 0.005, REF_DATA)
.toBuilder()
.info(TradeInfo.builder()
.id(StandardId.of("OG", "123441"))
.tradeDate(date(2017, 6, 1))
.build())
.build();
}

private CdsTrade expectedCds1() {
StandardId legEnt = StandardId.of("BLUE", "BAR");
return CdsConventions.EUR_GB_STANDARD
.createTrade(legEnt, date(2017, 6, 1), date(2017, 6, 21), date(2019, 6, 19), SELL, 1_500_000, 0.011, REF_DATA)
.toBuilder()
.info(TradeInfo.builder()
.id(StandardId.of("OG", "123442"))
.tradeDate(date(2017, 6, 1))
.build())
.build();
}

private CdsTrade expectedCds2() {
return CdsTrade.builder()
.info(TradeInfo.builder()
.id(StandardId.of("OG", "123443"))
.tradeDate(date(2017, 6, 1))
.build())
.product(Cds.builder()
.buySell(BUY)
.legalEntityId(StandardId.of("BLUE", "CAT"))
.fixedRate(0.026)
.currency(EUR)
.notional(1_500_000)
.paymentSchedule(PeriodicSchedule.builder()
.startDate(date(2017, 6, 21))
.endDate(date(2019, 6, 19))
.frequency(Frequency.P3M)
.stubConvention(StubConvention.SMART_INITIAL)
.rollConvention(RollConventions.IMM)
.businessDayAdjustment(BusinessDayAdjustment.NONE)
.build())
.build())
.build();
}

private CdsTrade expectedCds3() {
return CdsTrade.builder()
.info(TradeInfo.builder()
.id(StandardId.of("OG", "123444"))
.tradeDate(date(2017, 6, 1))
.build())
.product(Cds.builder()
.buySell(BUY)
.legalEntityId(StandardId.of("BLUE", "CAT"))
.fixedRate(0.026)
.currency(EUR)
.notional(1_500_000)
.dayCount(DayCounts.ACT_365F)
.paymentOnDefault(PaymentOnDefault.NONE)
.protectionStart(ProtectionStartOfDay.NONE)
.paymentSchedule(PeriodicSchedule.builder()
.startDate(date(2017, 6, 21))
.endDate(date(2019, 6, 19))
.frequency(Frequency.P3M)
.stubConvention(StubConvention.SMART_FINAL)
.rollConvention(RollConventions.IMM)
.businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, GBLO))
.build())
.stepinDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO))
.settlementDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO))
.build())
.upfrontFee(
AdjustablePayment.of(CurrencyAmount.of(GBP, -1000),
AdjustableDate.of(date(2017, 6, 3), BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO))))
.build();
}

//-------------------------------------------------------------------------
public void test_load_filtered() {
TradeCsvLoader test = TradeCsvLoader.standard();
ValueWithFailures<List<Trade>> trades = test.parse(
ImmutableList.of(FILE.getCharSource()), ImmutableList.of(FraTrade.class, TermDepositTrade.class));

assertEquals(trades.getValue().size(), 6);
assertEquals(trades.getFailures().size(), 13);
assertEquals(trades.getFailures().size(), 17);
assertEquals(trades.getFailures().get(0).getMessage(),
"Trade type not allowed " + SwapTrade.class.getName() + ", only these types are supported: FraTrade, TermDepositTrade");
}
Expand Down
Loading

0 comments on commit 19ee4f5

Please sign in to comment.