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Add CSV format for trades (#1540)
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CSV format for trades - FRA, Swap and Term Deposit
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@jodastephen
jodastephen committed Aug 22, 2017
1 parent 7208982 commit deee1bc
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Showing 12 changed files with 2,561 additions and 8 deletions.
2 changes: 1 addition & 1 deletion examples/src/main/java/com/opengamma/strata/examples/data/export/ExportUtils.java
View file
Expand Up @@ -109,7 +109,7 @@ public static void export(
public static void export(String string, String fileName) {
File file = new File(fileName);
Unchecked.wrap(() -> Files.createParentDirs(file));
Unchecked.wrap(() -> Files.write(string, file, StandardCharsets.UTF_8));
Unchecked.wrap(() -> Files.asCharSink(file, StandardCharsets.UTF_8).write(string));
}

}
8 changes: 4 additions & 4 deletions modules/collect/src/main/java/com/opengamma/strata/collect/io/CsvRow.java
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Expand Up @@ -131,7 +131,7 @@ public String field(int index) {
*/
public String getField(String header) {
return findField(header)
.orElseThrow(() -> new IllegalArgumentException("Header not found: " + header));
.orElseThrow(() -> new IllegalArgumentException("Header not found: '" + header + "'"));
}

/**
Expand Down Expand Up @@ -159,7 +159,7 @@ public Optional<String> findField(String header) {
*/
public String getField(Pattern headerPattern) {
return findField(headerPattern)
.orElseThrow(() -> new IllegalArgumentException("Header pattern not found: " + headerPattern));
.orElseThrow(() -> new IllegalArgumentException("Header pattern not found: '" + headerPattern + "'"));
}

/**
Expand Down Expand Up @@ -192,7 +192,7 @@ public Optional<String> findField(Pattern headerPattern) {
public String getValue(Pattern headerPattern) {
String value = getField(headerPattern);
if (value.isEmpty()) {
throw new IllegalArgumentException("No value was found for header pattern" + headerPattern);
throw new IllegalArgumentException("No value was found for header pattern: '" + headerPattern + "'");
} else {
return value;
}
Expand All @@ -211,7 +211,7 @@ public String getValue(Pattern headerPattern) {
public String getValue(String header) {
String value = getField(header);
if (value.isEmpty()) {
throw new IllegalArgumentException("No value was found for field " + header);
throw new IllegalArgumentException("No value was found for field: '" + header + "'");
} else {
return value;
}
Expand Down
159 changes: 159 additions & 0 deletions modules/loader/src/main/java/com/opengamma/strata/loader/csv/FraTradeCsvLoader.java
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@@ -0,0 +1,159 @@
/*
* Copyright (C) 2017 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.loader.csv;

import static com.opengamma.strata.loader.csv.TradeCsvLoader.BUY_SELL_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.CONVENTION_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.DATE_ADJ_CAL_FIELD;
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.END_DATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.FIXED_RATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.INDEX_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.INTERPOLATED_INDEX_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.NOTIONAL_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.PERIOD_TO_START_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.START_DATE_FIELD;
import static com.opengamma.strata.loader.csv.TradeCsvLoader.TRADE_DATE_FIELD;

import java.time.LocalDate;
import java.time.Period;
import java.util.Optional;

import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
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.DayCount;
import com.opengamma.strata.basics.date.HolidayCalendarId;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.collect.io.CsvRow;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.fra.Fra;
import com.opengamma.strata.product.fra.FraTrade;
import com.opengamma.strata.product.fra.type.FraConvention;

/**
* Loads FRA trades from CSV files.
*/
final class FraTradeCsvLoader {

/**
* Parses from the CSV row.
*
* @param row the CSV row
* @param info the trade info
* @param refData the reference data
* @return the loaded trades, all errors are captured in the result
*/
static FraTrade parse(CsvRow row, TradeInfo info, ReferenceData refData) {
BuySell buySell = TradeCsvLoader.parseBuySell(row.getValue(BUY_SELL_FIELD));
double notional = TradeCsvLoader.parseDouble(row.getValue(NOTIONAL_FIELD));
double fixedRate = TradeCsvLoader.parseDoublePercent(row.getValue(FIXED_RATE_FIELD));
Optional<FraConvention> conventionOpt = row.findValue(CONVENTION_FIELD).map(s -> FraConvention.of(s));
Optional<Period> periodToStartOpt = row.findValue(PERIOD_TO_START_FIELD).map(s -> Tenor.parse(s).getPeriod());
Optional<LocalDate> startDateOpt = row.findValue(START_DATE_FIELD).map(s -> TradeCsvLoader.parseDate(s));
Optional<LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s -> TradeCsvLoader.parseDate(s));
Optional<IborIndex> indexOpt = row.findValue(INDEX_FIELD).map(s -> IborIndex.of(s));
Optional<IborIndex> interpolatedOpt = row.findValue(INTERPOLATED_INDEX_FIELD).map(s -> IborIndex.of(s));
Optional<DayCount> dayCountOpt = row.findValue(DAY_COUNT_FIELD).map(s -> DayCount.of(s));
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD)
.map(s -> BusinessDayConvention.of(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional<HolidayCalendarId> dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD).map(s -> HolidayCalendarId.of(s));
// not parsing paymentDate, fixingDateOffset, discounting

// use convention if available
if (conventionOpt.isPresent()) {
if (indexOpt.isPresent() || interpolatedOpt.isPresent() || dayCountOpt.isPresent()) {
throw new IllegalArgumentException(
"Fra trade had invalid combination of fields. When '" + CONVENTION_FIELD +
"' is present these fields must not be present: " +
ImmutableList.of(INDEX_FIELD, INTERPOLATED_INDEX_FIELD, DAY_COUNT_FIELD));
}
FraConvention convention = conventionOpt.get();
// explicit dates take precedence over relative ones
if (startDateOpt.isPresent() && endDateOpt.isPresent()) {
if (periodToStartOpt.isPresent()) {
throw new IllegalArgumentException(
"Fra trade had invalid combination of fields. When these fields are found " +
ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) +
" then these fields must not be present " +
ImmutableList.of(PERIOD_TO_START_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
// NOTE: payment date assumed to be the start date
FraTrade trade = convention.toTrade(info, startDate, endDate, startDate, buySell, notional, fixedRate);
return adjustTrade(trade, dateCnv, dateCalOpt);
}
// relative dates
if (periodToStartOpt.isPresent() && info.getTradeDate().isPresent()) {
if (startDateOpt.isPresent() || endDateOpt.isPresent()) {
throw new IllegalArgumentException(
"Fra trade had invalid combination of fields. When these fields are found " +
ImmutableList.of(CONVENTION_FIELD, PERIOD_TO_START_FIELD, TRADE_DATE_FIELD) +
" then these fields must not be present " +
ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.getTradeDate().get();
Period periodToStart = periodToStartOpt.get();
FraTrade trade = convention.createTrade(tradeDate, periodToStart, buySell, notional, fixedRate, refData);
trade = trade.toBuilder().info(info).build();
return adjustTrade(trade, dateCnv, dateCalOpt);
}

} else if (startDateOpt.isPresent() && endDateOpt.isPresent() && indexOpt.isPresent()) {
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
IborIndex index = indexOpt.get();
Fra.Builder builder = Fra.builder()
.buySell(buySell)
.notional(notional)
.startDate(startDate)
.endDate(endDate)
.fixedRate(fixedRate)
.index(index);
interpolatedOpt.ifPresent(interpolated -> builder.indexInterpolated(interpolated));
dayCountOpt.ifPresent(dayCount -> builder.dayCount(dayCount));
return adjustTrade(FraTrade.of(info, builder.build()), dateCnv, dateCalOpt);
}
// no match
throw new IllegalArgumentException(
"Fra trade had invalid combination of fields. These fields are mandatory:" +
ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) +
" and one of these combinations is mandatory: " +
ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, PERIOD_TO_START_FIELD) +
" or " +
ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) +
" or " +
ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD, INDEX_FIELD));
}

// adjust trade based on additional fields specified
private static FraTrade adjustTrade(
FraTrade trade,
BusinessDayConvention dateCnv,
Optional<HolidayCalendarId> dateCalOpt) {

if (!dateCalOpt.isPresent()) {
return trade;
}
Fra.Builder builder = trade.getProduct().toBuilder();
dateCalOpt.ifPresent(cal -> builder.businessDayAdjustment(BusinessDayAdjustment.of(dateCnv, cal)));
return trade.toBuilder()
.product(builder.build())
.build();
}

//-------------------------------------------------------------------------
// Restricted constructor.
private FraTradeCsvLoader() {
}

}

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