private static RateCalculation parseOvernightRateCalculation( CsvRow row, String leg, OvernightIndex overnightIndex, OvernightAccrualMethod accrualMethod) { OvernightRateCalculation.Builder builder = OvernightRateCalculation.builder(); // basics builder.index(overnightIndex); builder.accrualMethod(findValue(row, leg, ACCRUAL_METHOD_FIELD) .map(s -> OvernightAccrualMethod.of(s)) .orElse(accrualMethod)); // optionals findValue(row, leg, DAY_COUNT_FIELD) .map(s -> LoaderUtils.parseDayCount(s)) .ifPresent(v -> builder.dayCount(v)); findValue(row, leg, RATE_CUT_OFF_DAYS_FIELD) .map(s -> Integer.valueOf(s)) .ifPresent(v -> builder.rateCutOffDays(v)); findValue(row, leg, NEGATIVE_RATE_METHOD_FIELD).map(s -> NegativeRateMethod.of(s)) .ifPresent(v -> builder.negativeRateMethod(v)); findValue(row, leg, GEARING_FIELD) .map(s -> LoaderUtils.parseDouble(s)) .ifPresent(v -> builder.gearing(ValueSchedule.of(v))); findValue(row, leg, SPREAD_FIELD) .map(s -> LoaderUtils.parseDoublePercent(s)) .ifPresent(v -> builder.spread(ValueSchedule.of(v))); return builder.build(); }
private static Map<CurveName, LoadedCurveSettings> parseCurveSettings(CharSource settingsResource) { ImmutableMap.Builder<CurveName, LoadedCurveSettings> builder = ImmutableMap.builder(); CsvFile csv = CsvFile.of(settingsResource, true); for (CsvRow row : csv.rows()) { String curveNameStr = row.getField(SETTINGS_CURVE_NAME); String valueTypeStr = row.getField(SETTINGS_VALUE_TYPE); String dayCountStr = row.getField(SETTINGS_DAY_COUNT); String interpolatorStr = row.getField(SETTINGS_INTERPOLATOR); String leftExtrapolatorStr = row.getField(SETTINGS_LEFT_EXTRAPOLATOR); String rightExtrapolatorStr = row.getField(SETTINGS_RIGHT_EXTRAPOLATOR); if (!VALUE_TYPE_MAP.containsKey(valueTypeStr.toLowerCase(Locale.ENGLISH))) { throw new IllegalArgumentException( Messages.format("Unsupported {} in curve settings: {}", SETTINGS_VALUE_TYPE, valueTypeStr)); } CurveName curveName = CurveName.of(curveNameStr); ValueType valueType = VALUE_TYPE_MAP.get(valueTypeStr.toLowerCase(Locale.ENGLISH)); CurveInterpolator interpolator = CurveInterpolator.of(interpolatorStr); CurveExtrapolator leftExtrap = CurveExtrapolator.of(leftExtrapolatorStr); CurveExtrapolator rightExtrap = CurveExtrapolator.of(rightExtrapolatorStr); // ONE_ONE day count is not used DayCount dayCount = LoaderUtils.parseDayCount(dayCountStr); LoadedCurveSettings settings = LoadedCurveSettings.of( curveName, ValueType.YEAR_FRACTION, valueType, dayCount, interpolator, leftExtrap, rightExtrap); builder.put(curveName, settings); } return builder.build(); }
Optional<LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s -> LoaderUtils.parseDate(s)); Optional<Currency> currencyOpt = row.findValue(CURRENCY_FIELD).map(s -> Currency.parse(s)); Optional<DayCount> dayCountOpt = row.findValue(DAY_COUNT_FIELD).map(s -> LoaderUtils.parseDayCount(s)); BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD) .map(s -> LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
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 -> LoaderUtils.parseDayCount(s)); BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD) .map(s -> LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
static Map<CurveName, LoadedCurveSettings> parseCurveSettings(CharSource settingsResource) { ImmutableMap.Builder<CurveName, LoadedCurveSettings> builder = ImmutableMap.builder(); CsvFile csv = CsvFile.of(settingsResource, true); for (CsvRow row : csv.rows()) { String curveNameStr = row.getField(SETTINGS_CURVE_NAME); String valueTypeStr = row.getField(SETTINGS_VALUE_TYPE); String dayCountStr = row.getField(SETTINGS_DAY_COUNT); String interpolatorStr = row.getField(SETTINGS_INTERPOLATOR); String leftExtrapolatorStr = row.getField(SETTINGS_LEFT_EXTRAPOLATOR); String rightExtrapolatorStr = row.getField(SETTINGS_RIGHT_EXTRAPOLATOR); if (!VALUE_TYPE_MAP.containsKey(valueTypeStr.toLowerCase(Locale.ENGLISH))) { throw new IllegalArgumentException( Messages.format("Unsupported {} in curve settings: {}", SETTINGS_VALUE_TYPE, valueTypeStr)); } CurveName curveName = CurveName.of(curveNameStr); ValueType yValueType = VALUE_TYPE_MAP.get(valueTypeStr.toLowerCase(Locale.ENGLISH)); CurveInterpolator interpolator = CurveInterpolator.of(interpolatorStr); CurveExtrapolator leftExtrap = CurveExtrapolator.of(leftExtrapolatorStr); CurveExtrapolator rightExtrap = CurveExtrapolator.of(rightExtrapolatorStr); boolean isPriceIndex = yValueType.equals(ValueType.PRICE_INDEX); ValueType xValueType = isPriceIndex ? ValueType.MONTHS : ValueType.YEAR_FRACTION; DayCount dayCount = isPriceIndex ? ONE_ONE : LoaderUtils.parseDayCount(dayCountStr); LoadedCurveSettings settings = LoadedCurveSettings.of(curveName, xValueType, yValueType, dayCount, interpolator, leftExtrap, rightExtrap); builder.put(curveName, settings); } return builder.build(); }
.map(s -> LoaderUtils.parseDayCount(s)).orElse(defaultFixedLegDayCount); if (dayCount == null) { throw new IllegalArgumentException("Swap leg must define day count using '" + leg + DAY_COUNT_FIELD + "'");
.map(s -> LoaderUtils.parseDayCount(s)) .ifPresent(v -> builder.dayCount(v)); findValue(row, leg, FIXING_RELATIVE_TO_FIELD)