com.opengamma.strata.loader.csv.FxVanillaOptionTradeCsvPlugin Maven / Gradle / Ivy

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/*
 * Copyright (C) 2019 - 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.loader.csv.CsvLoaderColumns.EXPIRY_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.EXPIRY_TIME_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.EXPIRY_ZONE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_1_CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_1_DIRECTION_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_1_NOTIONAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_1_PAYMENT_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_2_CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_2_DIRECTION_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_2_NOTIONAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_2_PAYMENT_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LONG_SHORT_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PAYMENT_DATE_CAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PAYMENT_DATE_CNV_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PREMIUM_AMOUNT_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PREMIUM_CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PREMIUM_DATE_CAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PREMIUM_DATE_CNV_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PREMIUM_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PREMIUM_DIRECTION_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_TYPE_FIELD;

import java.time.LocalDate;
import java.time.LocalTime;
import java.time.ZoneId;
import java.util.List;
import java.util.Optional;
import java.util.Set;

import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.currency.AdjustablePayment;
import com.opengamma.strata.collect.io.CsvOutput;
import com.opengamma.strata.collect.io.CsvOutput.CsvRowOutputWithHeaders;
import com.opengamma.strata.collect.io.CsvRow;
import com.opengamma.strata.loader.LoaderUtils;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.LongShort;
import com.opengamma.strata.product.fx.FxSingle;
import com.opengamma.strata.product.fx.FxSingleTrade;
import com.opengamma.strata.product.fxopt.FxVanillaOption;
import com.opengamma.strata.product.fxopt.FxVanillaOptionTrade;

/**
 * Handles the CSV file format for FX vanilla option trades.
 */
class FxVanillaOptionTradeCsvPlugin implements TradeCsvParserPlugin, TradeCsvWriterPlugin {

  /**
   * The singleton instance of the plugin.
   */
  public static final FxVanillaOptionTradeCsvPlugin INSTANCE = new FxVanillaOptionTradeCsvPlugin();

  /** The headers. */
  private static final ImmutableSet HEADERS = ImmutableSet.of(
      LONG_SHORT_FIELD,
      EXPIRY_DATE_FIELD,
      EXPIRY_TIME_FIELD,
      EXPIRY_ZONE_FIELD,
      PREMIUM_DATE_FIELD,
      PREMIUM_DATE_CNV_FIELD,
      PREMIUM_DATE_CAL_FIELD,
      PREMIUM_DIRECTION_FIELD,
      PREMIUM_CURRENCY_FIELD,
      PREMIUM_AMOUNT_FIELD,
      LEG_1_DIRECTION_FIELD,
      LEG_1_PAYMENT_DATE_FIELD,
      LEG_1_CURRENCY_FIELD,
      LEG_1_NOTIONAL_FIELD,
      LEG_2_DIRECTION_FIELD,
      LEG_2_PAYMENT_DATE_FIELD,
      LEG_2_CURRENCY_FIELD,
      LEG_2_NOTIONAL_FIELD,
      PAYMENT_DATE_CNV_FIELD,
      PAYMENT_DATE_CAL_FIELD);

  //-------------------------------------------------------------------------
  @Override
  public Set tradeTypeNames() {
    return ImmutableSet.of("FXVANILLAOPTION", "FX VANILLA OPTION");
  }

  @Override
  public Optional parseTrade(
      Class requiredJavaType,
      CsvRow baseRow,
      List additionalRows,
      TradeInfo info,
      TradeCsvInfoResolver resolver) {

    if (requiredJavaType.isAssignableFrom(FxVanillaOptionTrade.class)) {
      return Optional.of(resolver.parseFxVanillaOptionTrade(baseRow, info));
    }
    return Optional.empty();
  }

  @Override
  public String getName() {
    return FxVanillaOptionTrade.class.getSimpleName();
  }

  @Override
  public Set> supportedTradeTypes() {
    return ImmutableSet.of(FxVanillaOptionTrade.class);
  }

  //-------------------------------------------------------------------------
  /**
   * Parses the data from a CSV row.
   *
   * @param row  the CSV row object
   * @param info  the trade info object
   * @param resolver  the resolver used to parse additional information
   * @return the parsed trade
   */
  static FxVanillaOptionTrade parse(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) {
    FxSingleTrade singleTrade = FxSingleTradeCsvPlugin.parseRow(row, info);
    FxVanillaOptionTrade trade = parseRow(row, info, singleTrade.getProduct());
    return resolver.completeTrade(row, trade);
  }

  // parses the trade
  private static FxVanillaOptionTrade parseRow(CsvRow row, TradeInfo info, FxSingle underlying) {
    LongShort longShort = row.getValue(LONG_SHORT_FIELD, LoaderUtils::parseLongShort);
    LocalDate expiryDate = row.getValue(EXPIRY_DATE_FIELD, LoaderUtils::parseDate);
    LocalTime expiryTime = row.getValue(EXPIRY_TIME_FIELD, LoaderUtils::parseTime);
    ZoneId expiryZone = row.getValue(EXPIRY_ZONE_FIELD, LoaderUtils::parseZoneId);

    FxVanillaOption option = FxVanillaOption.builder()
        .longShort(longShort)
        .expiryDate(expiryDate)
        .expiryTime(expiryTime)
        .expiryZone(expiryZone)
        .underlying(underlying)
        .build();
    return FxVanillaOptionTrade.builder()
        .info(info)
        .product(option)
        .premium(CsvLoaderUtils.tryParsePremiumFromDefaultFields(row)
            .orElse(AdjustablePayment.of(option.getCurrencyPair().getBase(), 0d, expiryDate)))
        .build();
  }

  //-------------------------------------------------------------------------
  @Override
  public Set headers(List trades) {
    return HEADERS;
  }

  @Override
  public void writeCsv(CsvRowOutputWithHeaders csv, FxVanillaOptionTrade trade) {
    csv.writeCell(TRADE_TYPE_FIELD, "FxVanillaOption");
    writeFxVanillaOption(csv, trade.getProduct());
    CsvWriterUtils.writePremiumFields(csv, trade.getPremium());
    csv.writeNewLine();
  }

  protected void writeFxVanillaOption(CsvOutput.CsvRowOutputWithHeaders csv, FxVanillaOption product) {
    csv.writeCell(LONG_SHORT_FIELD, product.getLongShort());
    csv.writeCell(EXPIRY_DATE_FIELD, product.getExpiryDate());
    csv.writeCell(EXPIRY_TIME_FIELD, product.getExpiryTime());
    csv.writeCell(EXPIRY_ZONE_FIELD, product.getExpiryZone());
    CsvWriterUtils.writeFxSingle(csv, "", product.getUnderlying());
  }

  //-------------------------------------------------------------------------
  // Restricted constructor.
  private FxVanillaOptionTradeCsvPlugin() {
  }

}