com.opengamma.strata.loader.csv.TermDepositTradeCsvPlugin Maven / Gradle / Ivy
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/*
* Copyright (C) 2017 - 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.BUY_SELL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.CONVENTION_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DATE_ADJ_CAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DATE_ADJ_CNV_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DAY_COUNT_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.END_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.FIXED_RATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.NOTIONAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.START_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TENOR_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_TYPE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderUtils.formattedPercentage;
import java.time.LocalDate;
import java.time.Period;
import java.util.List;
import java.util.Optional;
import java.util.Set;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.BusinessDayConvention;
import com.opengamma.strata.basics.date.BusinessDayConventions;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.HolidayCalendarId;
import com.opengamma.strata.collect.io.CsvOutput.CsvRowOutputWithHeaders;
import com.opengamma.strata.collect.io.CsvRow;
import com.opengamma.strata.collect.result.ParseFailureException;
import com.opengamma.strata.loader.LoaderUtils;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.deposit.TermDeposit;
import com.opengamma.strata.product.deposit.TermDepositTrade;
import com.opengamma.strata.product.deposit.type.TermDepositConvention;
/**
* Handles the CSV file format for Term Deposit trades.
*/
final class TermDepositTradeCsvPlugin implements TradeCsvParserPlugin, TradeCsvWriterPlugin {
/**
* The singleton instance of the plugin.
*/
public static final TermDepositTradeCsvPlugin INSTANCE = new TermDepositTradeCsvPlugin();
/** The headers. */
private static final ImmutableSet HEADERS = ImmutableSet.of(
BUY_SELL_FIELD,
CURRENCY_FIELD,
NOTIONAL_FIELD,
START_DATE_FIELD,
END_DATE_FIELD,
FIXED_RATE_FIELD,
DAY_COUNT_FIELD,
DATE_ADJ_CNV_FIELD,
DATE_ADJ_CAL_FIELD);
//-------------------------------------------------------------------------
@Override
public Set tradeTypeNames() {
return ImmutableSet.of("TERMDEPOSIT", "TERM DEPOSIT");
}
@Override
public Optional parseTrade(
Class requiredJavaType,
CsvRow baseRow,
List additionalRows,
TradeInfo info,
TradeCsvInfoResolver resolver) {
if (requiredJavaType.isAssignableFrom(TermDepositTrade.class)) {
return Optional.of(resolver.parseTermDepositTrade(baseRow, info));
}
return Optional.empty();
}
@Override
public String getName() {
return TermDepositTrade.class.getSimpleName();
}
@Override
public Set> supportedTradeTypes() {
return ImmutableSet.of(TermDepositTrade.class);
}
//-------------------------------------------------------------------------
/**
* Parses from the CSV row.
*
* @param row the CSV row
* @param info the trade info
* @param resolver the resolver used to parse additional information
* @return the parsed trade
*/
static TermDepositTrade parse(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) {
TermDepositTrade trade = parseRow(row, info, resolver);
return resolver.completeTrade(row, trade);
}
// parse the row to a trade
private static TermDepositTrade parseRow(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) {
BuySell buySell = row.getValue(BUY_SELL_FIELD, LoaderUtils::parseBuySell);
double notional = row.getValue(NOTIONAL_FIELD, LoaderUtils::parseDouble);
double fixedRate = row.getValue(FIXED_RATE_FIELD, LoaderUtils::parseDoublePercent);
Optional conventionOpt = row.findValue(CONVENTION_FIELD, TermDepositConvention::of);
Optional tenorOpt = row.findValue(TENOR_FIELD, s -> LoaderUtils.parseTenor(s).getPeriod());
Optional startDateOpt = row.findValue(START_DATE_FIELD, LoaderUtils::parseDate);
Optional endDateOpt = row.findValue(END_DATE_FIELD, LoaderUtils::parseDate);
Optional currencyOpt = row.findValue(CURRENCY_FIELD, Currency::parse);
Optional dayCountOpt = row.findValue(DAY_COUNT_FIELD, LoaderUtils::parseDayCount);
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD)
.map(LoaderUtils::parseBusinessDayConvention).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD, HolidayCalendarId::of);
// use convention if available
if (conventionOpt.isPresent()) {
if (currencyOpt.isPresent() || dayCountOpt.isPresent()) {
throw new ParseFailureException(
"TermDeposit trade had invalid combination of fields. When '" + CONVENTION_FIELD +
"' is present these fields must not be present: " +
ImmutableList.of(CURRENCY_FIELD, DAY_COUNT_FIELD));
}
TermDepositConvention convention = conventionOpt.get();
// explicit dates take precedence over relative ones
if (startDateOpt.isPresent() && endDateOpt.isPresent()) {
if (tenorOpt.isPresent()) {
throw new ParseFailureException(
"TermDeposit trade had invalid combination of fields. When these fields are found " +
ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) +
" then these fields must not be present " +
ImmutableList.of(TENOR_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
TermDepositTrade trade = convention.toTrade(info, startDate, endDate, buySell, notional, fixedRate);
return adjustTrade(trade, dateCnv, dateCalOpt);
}
// relative dates
if (tenorOpt.isPresent() && info.getTradeDate().isPresent()) {
if (startDateOpt.isPresent() || endDateOpt.isPresent()) {
throw new ParseFailureException(
"TermDeposit trade had invalid combination of fields. When these fields are found " +
ImmutableList.of(CONVENTION_FIELD, TENOR_FIELD, TRADE_DATE_FIELD) +
" then these fields must not be present " +
ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.getTradeDate().get();
Period periodToStart = tenorOpt.get();
TermDepositTrade trade = convention.createTrade(
tradeDate, periodToStart, buySell, notional, fixedRate, resolver.getReferenceData());
trade = trade.toBuilder().info(info).build();
return adjustTrade(trade, dateCnv, dateCalOpt);
}
} else if (startDateOpt.isPresent() && endDateOpt.isPresent() && currencyOpt.isPresent() && dayCountOpt.isPresent()) {
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
Currency currency = currencyOpt.get();
DayCount dayCount = dayCountOpt.get();
TermDeposit.Builder builder = TermDeposit.builder()
.buySell(buySell)
.currency(currency)
.notional(notional)
.startDate(startDate)
.endDate(endDate)
.dayCount(dayCount)
.rate(fixedRate);
TermDepositTrade trade = TermDepositTrade.of(info, builder.build());
return adjustTrade(trade, dateCnv, dateCalOpt);
}
// no match
throw new ParseFailureException(
"TermDeposit trade had invalid combination of fields. These fields are mandatory:" +
ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) +
" and one of these combinations is mandatory: " +
ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, TENOR_FIELD) +
" or " +
ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) +
" or " +
ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD, CURRENCY_FIELD, DAY_COUNT_FIELD));
}
// adjust trade based on additional fields specified
private static TermDepositTrade adjustTrade(
TermDepositTrade trade,
BusinessDayConvention dateCnv,
Optional dateCalOpt) {
if (!dateCalOpt.isPresent()) {
return trade;
}
TermDeposit.Builder builder = trade.getProduct().toBuilder();
dateCalOpt.ifPresent(cal -> builder.businessDayAdjustment(BusinessDayAdjustment.of(dateCnv, cal)));
return trade.toBuilder()
.product(builder.build())
.build();
}
//-------------------------------------------------------------------------
@Override
public Set headers(List trades) {
return HEADERS;
}
@Override
public void writeCsv(CsvRowOutputWithHeaders csv, TermDepositTrade trade) {
TermDeposit product = trade.getProduct();
csv.writeCell(TRADE_TYPE_FIELD, "TermDeposit");
csv.writeCell(BUY_SELL_FIELD, product.getBuySell());
csv.writeCell(CURRENCY_FIELD, product.getCurrency());
csv.writeCell(NOTIONAL_FIELD, product.getNotional());
csv.writeCell(START_DATE_FIELD, product.getStartDate());
csv.writeCell(END_DATE_FIELD, product.getEndDate());
csv.writeCell(FIXED_RATE_FIELD, formattedPercentage(product.getRate()));
csv.writeCell(DAY_COUNT_FIELD, product.getDayCount());
product.getBusinessDayAdjustment().ifPresent(bda -> {
csv.writeCell(DATE_ADJ_CNV_FIELD, bda.getConvention());
csv.writeCell(DATE_ADJ_CAL_FIELD, bda.getCalendar());
});
csv.writeNewLine();
}
//-------------------------------------------------------------------------
// Restricted constructor.
private TermDepositTradeCsvPlugin() {
}
}
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