Add parser for seasonality

modules/loader/src/main/java/com/opengamma/strata/loader/csv/RatesCalibrationCsvLoader.java

@@ -42,6 +42,7 @@
 import com.opengamma.strata.market.curve.CurveNodeDate;
 import com.opengamma.strata.market.curve.CurveNodeDateOrder;
 import com.opengamma.strata.market.curve.NodalCurveDefinition;
+import com.opengamma.strata.market.curve.SeasonalityDefinition;
 import com.opengamma.strata.market.curve.node.FixedIborSwapCurveNode;
 import com.opengamma.strata.market.curve.node.FixedInflationSwapCurveNode;
 import com.opengamma.strata.market.curve.node.FixedOvernightSwapCurveNode;
@@ -201,6 +202,32 @@ public static ImmutableMap<CurveGroupName, CurveGroupDefinition> load(
     return parse(groupsResource.getCharSource(), settingsResource.getCharSource(), curveNodeCharSources);
   }
 
+  /**
+   * Loads one or more CSV format curve calibration files with seasonality.
+   * <p>
+   * If the files contain a duplicate entry an exception will be thrown.
+   * 
+   * @param groupsResource  the curve groups CSV resource
+   * @param settingsResource  the curve settings CSV resource
+   * @param seasonalityResource  the curve seasonality CSV resource
+   * @param curveNodeResources  the CSV resources for curve nodes
+   * @return the group definitions, mapped by name
+   * @throws IllegalArgumentException if the files contain a duplicate entry
+   */
+  public static ImmutableMap<CurveGroupName, CurveGroupDefinition> loadWithSeasonality(
+      ResourceLocator groupsResource,
+      ResourceLocator settingsResource,
+      ResourceLocator seasonalityResource,
+      Collection<ResourceLocator> curveNodeResources) {
+
+    Collection<CharSource> curveNodeCharSources = curveNodeResources.stream().map(r -> r.getCharSource()).collect(toList());
+    return parseWithSeasonality(
+        groupsResource.getCharSource(),
+        settingsResource.getCharSource(),
+        seasonalityResource.getCharSource(),
+        curveNodeCharSources);
+  }
+
   //-------------------------------------------------------------------------
   /**
    * Parses one or more CSV format curve calibration files.
@@ -218,6 +245,39 @@ public static ImmutableMap<CurveGroupName, CurveGroupDefinition> parse(
       CharSource settingsCharSource,
       Collection<CharSource> curveNodeCharSources) {
 
+    return parse0(groupsCharSource, settingsCharSource, ImmutableMap.of(), curveNodeCharSources);
+  }
+
+  /**
+   * Parses one or more CSV format curve calibration files with seasonality.
+   * <p>
+   * If the files contain a duplicate entry an exception will be thrown.
+   * 
+   * @param groupsCharSource  the curve groups CSV character source
+   * @param settingsCharSource  the curve settings CSV character source
+   * @param seasonalityResource  the seasonality CSV character source
+   * @param curveNodeCharSources  the CSV character sources for curve nodes
+   * @return the group definitions, mapped by name
+   * @throws IllegalArgumentException if the files contain a duplicate entry
+   */
+  public static ImmutableMap<CurveGroupName, CurveGroupDefinition> parseWithSeasonality(
+      CharSource groupsCharSource,
+      CharSource settingsCharSource,
+      CharSource seasonalityResource,
+      Collection<CharSource> curveNodeCharSources) {
+
+    Map<CurveName, SeasonalityDefinition> seasonality =
+        SeasonalityDefinitionCsvLoader.parseSeasonalityDefinitions(seasonalityResource);
+    return parse0(groupsCharSource, settingsCharSource, seasonality, curveNodeCharSources);
+  }
+
+  // parse based on pre-parsed seasonality
+  private static ImmutableMap<CurveGroupName, CurveGroupDefinition> parse0(
+      CharSource groupsCharSource,
+      CharSource settingsCharSource,
+      Map<CurveName, SeasonalityDefinition> seasonality,
+      Collection<CharSource> curveNodeCharSources) {
+
     // load curve groups and settings
     List<CurveGroupDefinition> curveGroups = CurveGroupDefinitionCsvLoader.parseCurveGroupDefinitions(groupsCharSource);
     Map<CurveName, LoadedCurveSettings> settingsMap = RatesCurvesCsvLoader.parseCurveSettings(settingsCharSource);
@@ -229,7 +289,7 @@ public static ImmutableMap<CurveGroupName, CurveGroupDefinition> parse(
 
     // Add the curve definitions to the curve group definitions
     return curveGroups.stream()
-        .map(groupDefinition -> groupDefinition.withCurveDefinitions(curveDefinitions))
+        .map(groupDefinition -> groupDefinition.withCurveDefinitions(curveDefinitions).withSeasonalityDefinitions(seasonality))
         .collect(toImmutableMap(groupDefinition -> groupDefinition.getName()));
   }
 

modules/loader/src/main/java/com/opengamma/strata/loader/csv/SeasonalityDefinitionCsvLoader.java

@@ -0,0 +1,91 @@
+/**
+ * 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 java.util.Locale;
+import java.util.Map;
+
+import com.google.common.collect.ImmutableList;
+import com.google.common.collect.ImmutableMap;
+import com.google.common.io.CharSource;
+import com.opengamma.strata.collect.array.DoubleArray;
+import com.opengamma.strata.collect.io.CsvFile;
+import com.opengamma.strata.collect.io.CsvRow;
+import com.opengamma.strata.collect.io.ResourceLocator;
+import com.opengamma.strata.market.ShiftType;
+import com.opengamma.strata.market.curve.CurveName;
+import com.opengamma.strata.market.curve.SeasonalityDefinition;
+
+/**
+ * Loads a set of seasonality definitions into memory by reading from CSV resources.
+ * <p>
+ * The CSV file has the following header row:<br />
+ * {@code Curve Name,Shift Type,Jan-Feb,Feb-Mar,Mar-Apr,Apr-May,May-Jun,Jun-Jul,Jul-Aug,Aug-Sep,Sep-Oct,Oct-Nov,Nov-Dec,Dec-Jan}.
+ *
+ * <ul>
+ *   <li>The 'Curve Name' column is the name of the curve.
+ *   <li>The 'Shift Type' column is the type of the shift, "Scaled" (multiplicative) or "Absolute" (additive).
+ *   <li>The 'Jan-Feb' and similar columns are the seasonality values month-on-month.
+ * </ul>
+ */
+public final class SeasonalityDefinitionCsvLoader {
+
+  // Column headers
+  private static final String CURVE_NAME = "Curve Name";
+  private static final String SHIFT_TYPE = "Shift Type";
+  private static final ImmutableList<String> MONTH_PAIRS = ImmutableList.of(
+      "Jan-Feb",
+      "Feb-Mar",
+      "Mar-Apr",
+      "Apr-May",
+      "May-Jun",
+      "Jun-Jul",
+      "Jul-Aug",
+      "Aug-Sep",
+      "Sep-Oct",
+      "Oct-Nov",
+      "Nov-Dec",
+      "Dec-Jan");
+
+  //-------------------------------------------------------------------------
+  /**
+   * Loads the seasonality definition CSV file.
+   *
+   * @param resource  the seasonality CSV resource
+   * @return the map of seasonality definitions
+   */
+  public static Map<CurveName, SeasonalityDefinition> loadSeasonalityDefinitions(ResourceLocator resource) {
+    return parseSeasonalityDefinitions(resource.getCharSource());
+  }
+
+  //-------------------------------------------------------------------------
+  /**
+   * Parses the seasonality definition CSV file.
+   *
+   * @param charSource  the seasonality CSV character source
+   * @return the map of seasonality definitions
+   */
+  public static Map<CurveName, SeasonalityDefinition> parseSeasonalityDefinitions(CharSource charSource) {
+    ImmutableMap.Builder<CurveName, SeasonalityDefinition> builder = ImmutableMap.builder();
+    CsvFile csv = CsvFile.of(charSource, true);
+    for (CsvRow row : csv.rows()) {
+      String curveNameStr = row.getField(CURVE_NAME);
+      String shiftTypeStr = row.getField(SHIFT_TYPE);
+      DoubleArray values = DoubleArray.of(12, i -> Double.parseDouble(row.getField(MONTH_PAIRS.get(i))));
+
+      CurveName curveName = CurveName.of(curveNameStr);
+      ShiftType shiftType = ShiftType.valueOf(shiftTypeStr.toUpperCase(Locale.ENGLISH));
+      builder.put(curveName, SeasonalityDefinition.of(values, shiftType));
+    }
+    return builder.build();
+  }
+
+  //-------------------------------------------------------------------------
+  // this class only has static methods
+  private SeasonalityDefinitionCsvLoader() {
+  }
+
+}

modules/loader/src/test/java/com/opengamma/strata/loader/csv/RatesCalibrationCsvLoaderTest.java

@@ -16,7 +16,9 @@
 import com.google.common.collect.ImmutableSet;
 import com.opengamma.strata.basics.currency.Currency;
 import com.opengamma.strata.basics.index.IborIndices;
+import com.opengamma.strata.basics.index.PriceIndices;
 import com.opengamma.strata.collect.io.ResourceLocator;
+import com.opengamma.strata.market.ShiftType;
 import com.opengamma.strata.market.ValueType;
 import com.opengamma.strata.market.curve.CurveGroupDefinition;
 import com.opengamma.strata.market.curve.CurveGroupEntry;
@@ -32,6 +34,7 @@ public class RatesCalibrationCsvLoaderTest {
 
   private static final String GROUPS_1 = "classpath:com/opengamma/strata/loader/csv/groups.csv";
   private static final String SETTINGS_1 = "classpath:com/opengamma/strata/loader/csv/settings.csv";
+  private static final String SEASONALITY_1 = "classpath:com/opengamma/strata/loader/csv/seasonality.csv";
   private static final String CALIBRATION_1 = "classpath:com/opengamma/strata/loader/csv/calibration-1.csv";
 
   private static final String SETTINGS_EMPTY = "classpath:com/opengamma/strata/loader/csv/settings-empty.csv";
@@ -40,10 +43,11 @@ public class RatesCalibrationCsvLoaderTest {
 
   //-------------------------------------------------------------------------
   public void test_parsing() {
-    Map<CurveGroupName, CurveGroupDefinition> test = RatesCalibrationCsvLoader.load(
+    Map<CurveGroupName, CurveGroupDefinition> test = RatesCalibrationCsvLoader.loadWithSeasonality(
         ResourceLocator.of(GROUPS_1),
         ResourceLocator.of(SETTINGS_1),
-        ResourceLocator.of(CALIBRATION_1));
+        ResourceLocator.of(SEASONALITY_1),
+        ImmutableList.of(ResourceLocator.of(CALIBRATION_1)));
     assertEquals(test.size(), 1);
 
     assertDefinition(test.get(CurveGroupName.of("Default")));
@@ -79,16 +83,15 @@ public void test_invalid_curve_duplicate_points() {
   private void assertDefinition(CurveGroupDefinition defn) {
     assertEquals(defn.getName(), CurveGroupName.of("Default"));
     assertEquals(defn.getEntries().size(), 3);
+    assertEquals(defn.getSeasonalityDefinitions().size(), 1);
+    assertEquals(defn.getSeasonalityDefinitions().get(CurveName.of("USD-CPI")).getAdjustmentType(), ShiftType.SCALED);
 
-    CurveGroupEntry entry0 = defn.getEntries().get(0);
-    CurveGroupEntry entry1 = defn.getEntries().get(1);
-    if (entry0.getCurveName().equals(CurveName.of("USD-3ML"))) {
-      CurveGroupEntry temp = entry0;
-      entry0 = entry1;
-      entry1 = temp;
-    }
+    CurveGroupEntry entry0 = findEntry(defn, "USD-Disc");
+    CurveGroupEntry entry1 = findEntry(defn, "USD-3ML");
+    CurveGroupEntry entry2 = findEntry(defn, "USD-CPI");
     NodalCurveDefinition defn0 = defn.findCurveDefinition(entry0.getCurveName()).get();
     NodalCurveDefinition defn1 = defn.findCurveDefinition(entry1.getCurveName()).get();
+    NodalCurveDefinition defn2 = defn.findCurveDefinition(entry2.getCurveName()).get();
 
     assertEquals(entry0.getDiscountCurrencies(), ImmutableSet.of(Currency.USD));
     assertEquals(entry0.getIndices(), ImmutableSet.of());
@@ -101,6 +104,16 @@ private void assertDefinition(CurveGroupDefinition defn) {
     assertEquals(defn1.getName(), CurveName.of("USD-3ML"));
     assertEquals(defn1.getYValueType(), ValueType.ZERO_RATE);
     assertEquals(defn1.getParameterCount(), 27);
+
+    assertEquals(entry2.getDiscountCurrencies(), ImmutableSet.of());
+    assertEquals(entry2.getIndices(), ImmutableSet.of(PriceIndices.US_CPI_U));
+    assertEquals(defn2.getName(), CurveName.of("USD-CPI"));
+    assertEquals(defn2.getYValueType(), ValueType.PRICE_INDEX);
+    assertEquals(defn2.getParameterCount(), 2);
+  }
+
+  private CurveGroupEntry findEntry(CurveGroupDefinition defn, String curveName) {
+    return defn.getEntries().stream().filter(d -> d.getCurveName().getName().equals(curveName)).findFirst().get();
   }
 
   //-------------------------------------------------------------------------

modules/loader/src/test/java/com/opengamma/strata/loader/csv/SeasonalityDefinitionCsvLoaderTest.java

@@ -0,0 +1,43 @@
+/**
+ * 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.collect.TestHelper.coverPrivateConstructor;
+import static org.testng.Assert.assertEquals;
+
+import java.util.Map;
+
+import org.testng.annotations.Test;
+
+import com.opengamma.strata.collect.io.ResourceLocator;
+import com.opengamma.strata.market.ShiftType;
+import com.opengamma.strata.market.curve.CurveName;
+import com.opengamma.strata.market.curve.SeasonalityDefinition;
+
+/**
+ * Test {@link SeasonalityDefinitionCsvLoader}.
+ */
+@Test
+public class SeasonalityDefinitionCsvLoaderTest {
+
+  private static final String GROUPS_1 = "classpath:com/opengamma/strata/loader/csv/seasonality.csv";
+
+  //-------------------------------------------------------------------------
+  public void test_loadSeasonalityDefinition() {
+    Map<CurveName, SeasonalityDefinition> defns =
+        SeasonalityDefinitionCsvLoader.loadSeasonalityDefinitions(ResourceLocator.of(GROUPS_1));
+    assertEquals(defns.size(), 1);
+    SeasonalityDefinition defn = defns.get(CurveName.of("USD-CPI"));
+    assertEquals(defn.getAdjustmentType(), ShiftType.SCALED);
+    assertEquals(defn.getSeasonalityMonthOnMonth().size(), 12);
+  }
+
+  //-------------------------------------------------------------------------
+  public void coverage() {
+    coverPrivateConstructor(SeasonalityDefinitionCsvLoader.class);
+  }
+
+}

modules/loader/src/test/resources/com/opengamma/strata/loader/csv/seasonality.csv

@@ -0,0 +1,2 @@
+Curve Name,Shift Type,Jan-Feb,Feb-Mar,Mar-Apr,Apr-May,May-Jun,Jun-Jul,Jul-Aug,Aug-Sep,Sep-Oct,Oct-Nov,Nov-Dec,Dec-Jan
+USD-CPI,Scaled,1.00275,1.00105,1.00639,1.00086,0.99888,0.99557,1.00141,1.00166,0.99914,0.99837,0.99957,0.99434

modules/market/src/main/java/com/opengamma/strata/market/curve/CurveGroupDefinition.java

@@ -42,6 +42,7 @@
 import com.opengamma.strata.basics.index.Index;
 import com.opengamma.strata.basics.index.PriceIndex;
 import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.collect.MapStream;
 import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries;
 import com.opengamma.strata.data.MarketData;
 import com.opengamma.strata.market.ValueType;
@@ -376,6 +377,22 @@ public CurveGroupDefinition withCurveDefinitions(List<NodalCurveDefinition> curv
         name, entries, filteredDefinitions, seasonalityDefinitions, computeJacobian, computePvSensitivityToMarketQuote);
   }
 
+  /**
+   * Returns a copy of this object containing the specified seasonality definitions.
+   * <p>
+   * Seasonality definitions are ignored if there is no entry in this definition with the same curve name.
+   *
+   * @param seasonalityDefinitions  seasonality definitions
+   * @return a copy of this object containing the specified seasonality definitions
+   */
+  public CurveGroupDefinition withSeasonalityDefinitions(Map<CurveName, SeasonalityDefinition> seasonalityDefinitions) {
+    Set<CurveName> curveNames = entries.stream().map(entry -> entry.getCurveName()).collect(toSet());
+    Map<CurveName, SeasonalityDefinition> filteredDefinitions = MapStream.of(seasonalityDefinitions)
+        .filterKeys(cn -> curveNames.contains(cn)).toMap();
+    return new CurveGroupDefinition(
+        name, entries, curveDefinitions, filteredDefinitions, computeJacobian, computePvSensitivityToMarketQuote);
+  }
+
   /**
    * Returns a copy of this definition with a different name.
    *