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Sign upAdd CSV format for trades #1540
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jodastephen
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brianweller89
Jul 31, 2017
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| * @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) { |
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| while (payReceive.isPresent()) { | ||
| legs.add(parseLeg(row, "Leg " + i + " ")); | ||
| i++; | ||
| payReceive = row.findValue("Leg " + i + " " + DIRECTION_FIELD); |
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| .map(s -> new Integer(s)); | ||
| HolidayCalendarId cal = findValue(row, leg, daysCalField) | ||
| .map(s -> HolidayCalendarId.of(s)) | ||
| .orElse(HolidayCalendarIds.NO_HOLIDAYS); |
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brianweller89
Aug 14, 2017
Contributor
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.
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| String indexStr = indexOpt.get(); | ||
| Optional<FloatingRateName> frnOpt = FloatingRateName.extendedEnum().find(indexStr); | ||
| if (frnOpt.isPresent()) { | ||
| FloatingRateName frn = FloatingRateName.of(indexStr); |
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| 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))); |
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brianweller89
Aug 14, 2017
Contributor
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.
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| line++; | ||
| } catch (RuntimeException ex) { | ||
| failures.add( | ||
| FailureItem.of(FailureReason.PARSING, ex, "CSV file trade could not be parsed at line {}: " + ex.getMessage(), line)); |
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| case "FALSE": | ||
| case "F": | ||
| case "NO": | ||
| return false; |
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| } | ||
| // dd/MM/yy | ||
| // dd/MM/yyyy | ||
| if (str.length() >= 6 && str.charAt(2) == '/' && str.charAt(5) == '/') { |
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| 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); |
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jodastephen
Aug 18, 2017
Member
Exceptions are only including the recommended inputs, not everything we accept ;-)
| //------------------------------------------------------------------------- | ||
| public void coverage() { | ||
| coverPrivateConstructor(FraTradeCsvLoader.class); |
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jodastephen
added some commits
Aug 22, 2017
| 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); |
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brianweller89
Aug 22, 2017
Contributor
Can we update the javadoc (TradeCsvLoader) to reflect the fact that this combination is now supported?
jodastephen
merged commit deee1bc
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Aug 22, 2017
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Sep 18, 2017
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jodastephen commentedJul 31, 2017
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.