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Overnight CapFloor CSV plugin (#2679)
* Overnight CapFloor CSV plugin * copyright * variable names --------- Co-authored-by: Alexis Skitini <[email protected]>
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...c/main/java/com/opengamma/strata/loader/csv/OvernightInArrearsCapFloorTradeCsvPlugin.java
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| /* | ||
| * Copyright (C) 2024 - 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.CAP_FLOOR_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.DIRECTION_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.END_DATE_CAL_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.END_DATE_CNV_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.END_DATE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.FIRST_REGULAR_START_DATE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.INDEX_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LAST_REGULAR_END_DATE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.NOTIONAL_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.OVERRIDE_START_DATE_CAL_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.OVERRIDE_START_DATE_CNV_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.OVERRIDE_START_DATE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PAYMENT_FREQUENCY_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.ROLL_CONVENTION_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.START_DATE_CAL_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.START_DATE_CNV_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.START_DATE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.STRIKE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.STUB_CONVENTION_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.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.basics.currency.Currency; | ||
| import com.opengamma.strata.basics.currency.CurrencyAmount; | ||
| import com.opengamma.strata.basics.date.AdjustableDate; | ||
| import com.opengamma.strata.basics.date.BusinessDayAdjustment; | ||
| import com.opengamma.strata.basics.date.BusinessDayConventions; | ||
| import com.opengamma.strata.basics.index.Index; | ||
| import com.opengamma.strata.basics.index.OvernightIndex; | ||
| import com.opengamma.strata.basics.schedule.Frequency; | ||
| import com.opengamma.strata.basics.schedule.PeriodicSchedule; | ||
| import com.opengamma.strata.basics.schedule.StubConvention; | ||
| import com.opengamma.strata.basics.value.ValueSchedule; | ||
| import com.opengamma.strata.collect.io.CsvOutput; | ||
| 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.capfloor.OvernightInArrearsCapFloor; | ||
| import com.opengamma.strata.product.capfloor.OvernightInArrearsCapFloorLeg; | ||
| import com.opengamma.strata.product.capfloor.OvernightInArrearsCapFloorTrade; | ||
| import com.opengamma.strata.product.common.CapFloor; | ||
| import com.opengamma.strata.product.common.PayReceive; | ||
| import com.opengamma.strata.product.swap.OvernightRateCalculation; | ||
|
|
||
| /** | ||
| * Handles the CSV file format for Overnight in arrears cap/floor trades. | ||
| */ | ||
| public class OvernightInArrearsCapFloorTradeCsvPlugin | ||
| implements TradeCsvParserPlugin, TradeCsvWriterPlugin<OvernightInArrearsCapFloorTrade> { | ||
|
|
||
| /** | ||
| * The singleton instance of the plugin. | ||
| */ | ||
| public static final OvernightInArrearsCapFloorTradeCsvPlugin INSTANCE = | ||
| new OvernightInArrearsCapFloorTradeCsvPlugin(); | ||
|
|
||
| private static final ImmutableSet<String> HEADERS = ImmutableSet.of( | ||
| CAP_FLOOR_FIELD, | ||
| START_DATE_FIELD, | ||
| END_DATE_FIELD, | ||
| PAYMENT_FREQUENCY_FIELD, | ||
| DIRECTION_FIELD, | ||
| CURRENCY_FIELD, | ||
| STRIKE_FIELD, | ||
| NOTIONAL_FIELD, | ||
| INDEX_FIELD, | ||
| PREMIUM_AMOUNT_FIELD, | ||
| PREMIUM_CURRENCY_FIELD, | ||
| PREMIUM_DIRECTION_FIELD, | ||
| PREMIUM_DATE_FIELD, | ||
| PREMIUM_DATE_CNV_FIELD, | ||
| PREMIUM_DATE_CAL_FIELD, | ||
| DATE_ADJ_CNV_FIELD, | ||
| DATE_ADJ_CAL_FIELD, | ||
| START_DATE_CNV_FIELD, | ||
| START_DATE_CAL_FIELD, | ||
| END_DATE_CNV_FIELD, | ||
| END_DATE_CAL_FIELD, | ||
| STUB_CONVENTION_FIELD, | ||
| ROLL_CONVENTION_FIELD, | ||
| FIRST_REGULAR_START_DATE_FIELD, | ||
| LAST_REGULAR_END_DATE_FIELD, | ||
| OVERRIDE_START_DATE_FIELD, | ||
| OVERRIDE_START_DATE_CNV_FIELD, | ||
| OVERRIDE_START_DATE_CAL_FIELD); | ||
|
|
||
| //------------------------------------------------------------------------- | ||
| @Override | ||
| public Set<String> tradeTypeNames() { | ||
| return ImmutableSet.of("OVERNIGHTCAPFLOOR", "OVERNIGHT CAPFLOOR"); | ||
| } | ||
|
|
||
| @Override | ||
| public Optional<Trade> parseTrade( | ||
| Class<?> requiredJavaType, | ||
| CsvRow baseRow, | ||
| List<CsvRow> additionalRows, | ||
| TradeInfo info, | ||
| TradeCsvInfoResolver resolver) { | ||
|
|
||
| if (requiredJavaType.isAssignableFrom(OvernightInArrearsCapFloorTrade.class)) { | ||
| return Optional.of(resolver.parseOvernightCapFloorTrade(baseRow, info)); | ||
| } | ||
| return Optional.empty(); | ||
| } | ||
|
|
||
| @Override | ||
| public String getName() { | ||
| return OvernightInArrearsCapFloorTrade.class.getSimpleName(); | ||
| } | ||
|
|
||
| @Override | ||
| public Set<Class<?>> supportedTradeTypes() { | ||
| return ImmutableSet.of(OvernightInArrearsCapFloorTrade.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 OvernightInArrearsCapFloorTrade parseCapFloor(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) { | ||
| OvernightInArrearsCapFloorTrade overnightCapFloorTrade = parseRow(row, info); | ||
| return resolver.completeTrade(row, overnightCapFloorTrade); | ||
| } | ||
|
|
||
| //------------------------------------------------------------------------- | ||
| // parses the row to a trade | ||
| private static OvernightInArrearsCapFloorTrade parseRow(CsvRow row, TradeInfo info) { | ||
| OvernightInArrearsCapFloor overnightInArrearsCapFloor = parseOvernightInArrearsCapFloor(row); | ||
| Optional<AdjustablePayment> paymentOpt = parsePremium(row); | ||
| return paymentOpt.map(adjustablePayment -> | ||
| OvernightInArrearsCapFloorTrade.builder() | ||
| .info(info) | ||
| .product(overnightInArrearsCapFloor) | ||
| .premium(adjustablePayment) | ||
| .build()) | ||
| .orElseGet(() -> OvernightInArrearsCapFloorTrade.builder() | ||
| .info(info) | ||
| .product(overnightInArrearsCapFloor) | ||
| .build()); | ||
| } | ||
|
|
||
| // parse an OvernightInArrearsCapFloor | ||
| private static OvernightInArrearsCapFloor parseOvernightInArrearsCapFloor(CsvRow row) { | ||
| PayReceive payReceive = row.getValue(DIRECTION_FIELD, LoaderUtils::parsePayReceive); | ||
| Currency currency = row.getValue(CURRENCY_FIELD, LoaderUtils::parseCurrency); | ||
| ValueSchedule strike = ValueSchedule.of(row.getValue(STRIKE_FIELD, LoaderUtils::parseDoublePercent)); | ||
| double notional = row.getValue(NOTIONAL_FIELD, LoaderUtils::parseDouble); | ||
| OvernightIndex overnightIndex = parseOvernightIndex(row); | ||
| PeriodicSchedule paymentSchedule = parseSchedule(row, currency); | ||
| OvernightInArrearsCapFloorLeg.Builder capFloorLegBuilder = OvernightInArrearsCapFloorLeg.builder() | ||
| .payReceive(payReceive) | ||
| .paymentSchedule(paymentSchedule) | ||
| .currency(currency) | ||
| .notional(ValueSchedule.of(notional)) | ||
| .calculation(OvernightRateCalculation.of(overnightIndex)); | ||
| CapFloor capFloorType = LoaderUtils.parseCapFloor(row.getValue(CAP_FLOOR_FIELD)); | ||
| if (capFloorType.isCap()) { | ||
| capFloorLegBuilder.capSchedule(strike); | ||
| } else { | ||
| capFloorLegBuilder.floorSchedule(strike); | ||
| } | ||
| OvernightInArrearsCapFloorLeg capFloorLeg = capFloorLegBuilder.build(); | ||
| return OvernightInArrearsCapFloor.of(capFloorLeg); | ||
| } | ||
|
|
||
| // parse the overnight index | ||
| private static OvernightIndex parseOvernightIndex(CsvRow row) { | ||
| Index index = row.getValue(INDEX_FIELD, LoaderUtils::findIndex); | ||
| if (index instanceof OvernightIndex) { | ||
| return (OvernightIndex) index; | ||
| } else { | ||
| throw new ParseFailureException("Index '{value}' is not an overnight index", index.getName()); | ||
| } | ||
| } | ||
|
|
||
| // parse the periodic schedule for CapFloor | ||
| private static PeriodicSchedule parseSchedule(CsvRow row, Currency currency) { | ||
| PeriodicSchedule.Builder builder = PeriodicSchedule.builder(); | ||
| // basics | ||
| builder.startDate(row.getValue(START_DATE_FIELD, LoaderUtils::parseDate)); | ||
| builder.endDate(row.getValue(END_DATE_FIELD, LoaderUtils::parseDate)); | ||
| builder.frequency(Frequency.parse(row.getValue(PAYMENT_FREQUENCY_FIELD))); | ||
| // stub period is not allowed for CapFloor trade | ||
| builder.stubConvention(StubConvention.NONE); | ||
| // adjustments | ||
| BusinessDayAdjustment dateAdj = | ||
| CsvLoaderUtils.parseBusinessDayAdjustment(row, DATE_ADJ_CNV_FIELD, DATE_ADJ_CAL_FIELD) | ||
| .orElse(BusinessDayAdjustment.NONE); | ||
| builder.businessDayAdjustment(dateAdj); | ||
| CsvLoaderUtils.parseBusinessDayAdjustment(row, START_DATE_CNV_FIELD, START_DATE_CAL_FIELD) | ||
| .ifPresent(builder::startDateBusinessDayAdjustment); | ||
| CsvLoaderUtils.parseBusinessDayAdjustment(row, END_DATE_CNV_FIELD, END_DATE_CAL_FIELD) | ||
| .ifPresent(builder::endDateBusinessDayAdjustment); | ||
| // optionals | ||
| row.findValue(ROLL_CONVENTION_FIELD) | ||
| .map(LoaderUtils::parseRollConvention) | ||
| .ifPresent(builder::rollConvention); | ||
| row.findValue(FIRST_REGULAR_START_DATE_FIELD) | ||
| .map(LoaderUtils::parseDate) | ||
| .ifPresent(builder::firstRegularStartDate); | ||
| row.findValue(LAST_REGULAR_END_DATE_FIELD) | ||
| .map(LoaderUtils::parseDate) | ||
| .ifPresent(builder::lastRegularEndDate); | ||
| Optional<AdjustableDate> overrideDateOpt = row.findValue(OVERRIDE_START_DATE_FIELD) | ||
| .map(ignored -> CsvLoaderUtils.parseAdjustableDate( | ||
| row, | ||
| OVERRIDE_START_DATE_FIELD, | ||
| OVERRIDE_START_DATE_CNV_FIELD, | ||
| OVERRIDE_START_DATE_CAL_FIELD, | ||
| BusinessDayConventions.MODIFIED_FOLLOWING, | ||
| currency)); | ||
| overrideDateOpt.ifPresent(builder::overrideStartDate); | ||
| return builder.build(); | ||
| } | ||
|
|
||
| // parse the upfront premium amount | ||
| private static Optional<AdjustablePayment> parsePremium(CsvRow row) { | ||
| Optional<Double> premiumAmountOpt = row.findValue(PREMIUM_AMOUNT_FIELD) | ||
| .map(LoaderUtils::parseDouble); | ||
| if (premiumAmountOpt.isPresent()) { | ||
| Currency premiumCurrency = row.getValue(PREMIUM_CURRENCY_FIELD, LoaderUtils::parseCurrency); | ||
| PayReceive premiumDirection = row.getValue(PREMIUM_DIRECTION_FIELD, LoaderUtils::parsePayReceive); | ||
| LocalDate premiumDate = row.getValue(PREMIUM_DATE_FIELD, LoaderUtils::parseDate); | ||
| CurrencyAmount premiumAmount = CurrencyAmount.of(premiumCurrency, premiumAmountOpt.get()); | ||
| AdjustablePayment payment = premiumDirection.isPay() ? | ||
| AdjustablePayment.ofPay(premiumAmount, premiumDate) : | ||
| AdjustablePayment.ofReceive(premiumAmount, premiumDate); | ||
| return Optional.of(payment); | ||
| } | ||
| return Optional.empty(); | ||
| } | ||
|
|
||
| //------------------------------------------------------------------------- | ||
| @Override | ||
| public Set<String> headers(List<OvernightInArrearsCapFloorTrade> trades) { | ||
| return HEADERS; | ||
| } | ||
|
|
||
| @Override | ||
| public void writeCsv(CsvOutput.CsvRowOutputWithHeaders csv, OvernightInArrearsCapFloorTrade trade) { | ||
| OvernightInArrearsCapFloorLeg capFloorLeg = trade.getProduct().getCapFloorLeg(); | ||
| csv.writeCell(TRADE_TYPE_FIELD, "OvernightCapFloor"); | ||
| String capFloorType; | ||
| double strike; | ||
| if (capFloorLeg.getCapSchedule().isPresent()) { | ||
| capFloorType = "Cap"; | ||
| strike = capFloorLeg.getCapSchedule().get().getInitialValue(); | ||
| } else if (capFloorLeg.getFloorSchedule().isPresent()) { | ||
| capFloorType = "Floor"; | ||
| strike = capFloorLeg.getFloorSchedule().get().getInitialValue(); | ||
| } else { | ||
| throw new UnsupportedOperationException("Unknown CapFloor type, trade is missing cap or floor schedule"); | ||
| } | ||
| csv.writeCell(CAP_FLOOR_FIELD, capFloorType); | ||
| writePeriodicSchedule(csv, capFloorLeg.getPaymentSchedule()); | ||
| csv.writeCell(DIRECTION_FIELD, capFloorLeg.getPayReceive()); | ||
| csv.writeCell(CURRENCY_FIELD, capFloorLeg.getCurrency()); | ||
| csv.writeCell(STRIKE_FIELD, formattedPercentage(strike)); | ||
| csv.writeCell(NOTIONAL_FIELD, capFloorLeg.getNotional().getInitialValue()); | ||
| csv.writeCell(INDEX_FIELD, capFloorLeg.getCalculation().getIndex()); | ||
| trade.getPremium().ifPresent(premium -> CsvWriterUtils.writePremiumFields(csv, premium)); | ||
| csv.writeNewLine(); | ||
| } | ||
|
|
||
| private void writePeriodicSchedule(CsvOutput.CsvRowOutputWithHeaders csv, PeriodicSchedule paymentSchedule) { | ||
| csv.writeCell(START_DATE_FIELD, paymentSchedule.getStartDate()); | ||
| csv.writeCell(END_DATE_FIELD, paymentSchedule.getEndDate()); | ||
| csv.writeCell(PAYMENT_FREQUENCY_FIELD, paymentSchedule.getFrequency()); | ||
| csv.writeCell(DATE_ADJ_CNV_FIELD, paymentSchedule.getBusinessDayAdjustment().getConvention()); | ||
| csv.writeCell(DATE_ADJ_CAL_FIELD, paymentSchedule.getBusinessDayAdjustment().getCalendar()); | ||
| paymentSchedule.getStartDateBusinessDayAdjustment().ifPresent(startDateAdjustment -> { | ||
| csv.writeCell(START_DATE_CNV_FIELD, startDateAdjustment.getConvention()); | ||
| csv.writeCell(START_DATE_CAL_FIELD, startDateAdjustment.getCalendar()); | ||
| }); | ||
| paymentSchedule.getEndDateBusinessDayAdjustment().ifPresent(endDateAdjustment -> { | ||
| csv.writeCell(END_DATE_CNV_FIELD, endDateAdjustment.getConvention()); | ||
| csv.writeCell(END_DATE_CAL_FIELD, endDateAdjustment.getCalendar()); | ||
| }); | ||
| paymentSchedule.getStubConvention().ifPresent( | ||
| stubConvention -> csv.writeCell(STUB_CONVENTION_FIELD, stubConvention)); | ||
| paymentSchedule.getRollConvention().ifPresent( | ||
| rollConvention -> csv.writeCell(ROLL_CONVENTION_FIELD, rollConvention)); | ||
| paymentSchedule.getFirstRegularStartDate().ifPresent( | ||
| firstRegDate -> csv.writeCell(FIRST_REGULAR_START_DATE_FIELD, firstRegDate)); | ||
| paymentSchedule.getLastRegularEndDate().ifPresent( | ||
| lastRegDate -> csv.writeCell(LAST_REGULAR_END_DATE_FIELD, lastRegDate)); | ||
| paymentSchedule.getOverrideStartDate().ifPresent(overrideStartDate -> { | ||
| csv.writeCell(OVERRIDE_START_DATE_FIELD, overrideStartDate.getUnadjusted()); | ||
| csv.writeCell(OVERRIDE_START_DATE_CNV_FIELD, overrideStartDate.getAdjustment().getConvention()); | ||
| csv.writeCell(OVERRIDE_START_DATE_CAL_FIELD, overrideStartDate.getAdjustment().getCalendar()); | ||
| }); | ||
| } | ||
|
|
||
| //------------------------------------------------------------------------- | ||
| // Restricted constructor. | ||
| private OvernightInArrearsCapFloorTradeCsvPlugin() { | ||
| } | ||
|
|
||
| } |
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