Add CSV format for trades #1540
Conversation
| * @param refData the reference data | ||
| * @return the loaded trades, all errors are captured in the result | ||
| */ | ||
| static SwapTrade parse(CsvRow row, TradeInfo info, ReferenceData refData) { |
| while (payReceive.isPresent()) { | ||
| legs.add(parseLeg(row, "Leg " + i + " ")); | ||
| i++; | ||
| payReceive = row.findValue("Leg " + i + " " + DIRECTION_FIELD); |
There was a problem hiding this comment.
Could use private findValue() here for consistency
| .map(s -> new Integer(s)); | ||
| HolidayCalendarId cal = findValue(row, leg, daysCalField) | ||
| .map(s -> HolidayCalendarId.of(s)) | ||
| .orElse(HolidayCalendarIds.NO_HOLIDAYS); |
There was a problem hiding this comment.
Would this default behaviour of using "NO_HOLIDAYS" ever be appropriate? We are using this method for fixing and payment dates, which would always need to be good business days.
If the input contains a days adjustment but no accompanying calendar it might be better to throw an exception.
There was a problem hiding this comment.
This needs to be tackled separately
| String indexStr = indexOpt.get(); | ||
| Optional<FloatingRateName> frnOpt = FloatingRateName.extendedEnum().find(indexStr); | ||
| if (frnOpt.isPresent()) { | ||
| FloatingRateName frn = FloatingRateName.of(indexStr); |
There was a problem hiding this comment.
Seems odd to not be using frnOpt.get() here?
| private static RateCalculation parseFixedRateCalculation(CsvRow row, String leg, double fixedRate, Currency currency) { | ||
| FixedRateCalculation.Builder builder = FixedRateCalculation.builder(); | ||
| // basics | ||
| builder.dayCount(DayCount.of(getValue(row, leg, DAY_COUNT_FIELD))); |
There was a problem hiding this comment.
Probably involves too much work for the relative benefit, but would be nice to default the fixed DCF. There is a standard for each currency.
There was a problem hiding this comment.
This needs to be tackled separately
| line++; | ||
| } catch (RuntimeException ex) { | ||
| failures.add( | ||
| FailureItem.of(FailureReason.PARSING, ex, "CSV file trade could not be parsed at line {}: " + ex.getMessage(), line)); |
There was a problem hiding this comment.
Line count will not be incremented if exception is thrown.
| case "FALSE": | ||
| case "F": | ||
| case "NO": | ||
| return false; |
There was a problem hiding this comment.
Might as well support "Y" and "N" options as well
| } | ||
| // dd/MM/yy | ||
| // dd/MM/yyyy | ||
| if (str.length() >= 6 && str.charAt(2) == '/' && str.charAt(5) == '/') { |
There was a problem hiding this comment.
This should be 8 rather than 6
| throw new IllegalArgumentException( | ||
| "Unknown date format, must be formatted as " + | ||
| "yyyy-MM-dd, yyyyMMdd, dd/MM/yyyy, yyyy/MM/dd, 'd-MMM-yyyy' or 'dMMMyyyy' but was: " + str, | ||
| ex); |
There was a problem hiding this comment.
dd/MM/yy not included in the exception message
There was a problem hiding this comment.
Exceptions are only including the recommended inputs, not everything we accept ;-)
|
|
||
| //------------------------------------------------------------------------- | ||
| public void coverage() { | ||
| coverPrivateConstructor(FraTradeCsvLoader.class); |
There was a problem hiding this comment.
Why is FraTradeCsvLoader the only class tested here?
jodastephen
force-pushed
the
topic/trade-csv
branch
from
8b670f8
to
f030473
Compare
jodastephen
force-pushed
the
topic/trade-csv
branch
from
f030473
to
f46c4c9
Compare
| Tenor tenor = tenorOpt.get(); | ||
| LocalDate endDate = startDate.plus(tenor); | ||
| SwapTrade trade = createSwap(info, conventionStr, startDate, endDate, buySell, notional, fixedRate, fxRateOpt); | ||
| return adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt); |
There was a problem hiding this comment.
Can we update the javadoc (TradeCsvLoader) to reflect the fact that this combination is now supported?
Change column name Fix Javadoc
jodastephen
force-pushed
the
topic/trade-csv
branch
from
f440f89
to
63e91d4
Compare
FRA, Swap and Term Deposit.
All can be created from a convention or from individual fields.
Swaps do not support variable notional/rate/gearing/spread, but support almost all other features.