Add CSV loader for sensitivities #1816
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Provides the ability to load sensitivities in two formats Leniently handles some older formats
jodastephen
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| * <ul> | ||
| * <li>'Id Scheme' (optional) - the name of the scheme that the identifier is unique within, defaulted to 'OG-Sensitivity'. | ||
| * <li>'Id' (optional) - the identifier of the sensitivity, such as 'SENS12345'. | ||
| * <li>'Reference - a currency, floating rate name, index name or curve name. |
| * <li>'Sensitivity Date' (optional) - the date of the bucketed sensitivity, such as '2018-06-01'. | ||
| * <li>'Currency' (optional) - the currency of each sensitivity value, such as 'GBP'. | ||
| * If omitted, the currency will be implied from the reference, which must start with the currency. | ||
| * <li>one or more sensitivity value columns, the reference of the sensitivity is specified by the header name. |
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This part of the doc seems odd? Starts talking about references again
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You either have a reference column and flexible types, or a type column and flexible references.
| * The standard reference name for a discount curve is the currency, such as 'GBP'. | ||
| * The standard reference name for a forward curve is the index name, such as 'GBP-LIBOR-3M'. | ||
| * Any curve name may be used however, which will be specific to the market data setup. | ||
| * <li>'Sensitivity Tenor' - the tenor of the bucketed sensitivity, such as '1Y'. |
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(optional) too - perhaps worth a note about requiring one of either Tenor or Date
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I don't want to document the historic behaviour. Tenor is required unless the resolver says otherwise, so I cover that in the resolver section.
| if (csv.containsHeader(REFERENCE_HEADER) || csv.containsHeader(TYPE_HEADER)) { | ||
| return true; | ||
| } else { | ||
| return csv.headers().stream() |
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can be return csv.headers().stream().anyMatch(header -> knownReference(header));
| * @param charSource the CSV character source to check | ||
| * @return true if the source is a CSV file with known headers, false otherwise | ||
| */ | ||
| public boolean isKnownFormat(CharSource charSource) { |
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Can be static - what's the strata convention/rule on this? (I usually encourage static where possible in the OG lambda stack)
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True, but this matches other CSV parsers in Strata, and allows future expansion where the resolver is used when determining the format.
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| //------------------------------------------------------------------------- | ||
| // parses the currency as a column or from the reference | ||
| private Currency parseCurrency(CsvRow row, CurveName reference) { |
| } | ||
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| // checks if the identifier in the row matches the previous one | ||
| private boolean matchId(CsvRow row, String id) { |
Provides the ability to load sensitivities in two formats
Leniently handles some older formats