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Add FxSingleBarrierOptionTradeCsvPlugin and related tests. (#2324)
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...er/src/main/java/com/opengamma/strata/loader/csv/FxSingleBarrierOptionTradeCsvPlugin.java
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| /* | ||
| * Copyright (C) 2021 - present by OpenGamma Inc. and the OpenGamma group of companies | ||
| * | ||
| * Please see distribution for license. | ||
| */ | ||
| package com.opengamma.strata.loader.csv; | ||
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|
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| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.BARRIER_LEVEL_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.BARRIER_TYPE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.KNOCK_TYPE_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.REBATE_AMOUNT_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.REBATE_CURRENCY_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.REBATE_DIRECTION_FIELD; | ||
| import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_TYPE_FIELD; | ||
|
|
||
| import java.time.LocalDate; | ||
| import java.time.ZoneId; | ||
| import java.util.List; | ||
| import java.util.Optional; | ||
| import java.util.Set; | ||
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|
||
| import com.google.common.collect.ImmutableList; | ||
| 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.CsvRow; | ||
| import com.opengamma.strata.loader.LoaderUtils; | ||
| import com.opengamma.strata.product.Trade; | ||
| import com.opengamma.strata.product.TradeInfo; | ||
| import com.opengamma.strata.product.fxopt.FxSingleBarrierOption; | ||
| import com.opengamma.strata.product.fxopt.FxSingleBarrierOptionTrade; | ||
| import com.opengamma.strata.product.fxopt.FxVanillaOptionTrade; | ||
| import com.opengamma.strata.product.option.BarrierType; | ||
| import com.opengamma.strata.product.option.KnockType; | ||
| import com.opengamma.strata.product.option.SimpleConstantContinuousBarrier; | ||
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|
||
| /** | ||
| * Handles the CSV files format for FX Single Barrier Option trades. | ||
| */ | ||
| public class FxSingleBarrierOptionTradeCsvPlugin implements TradeCsvParserPlugin, TradeCsvWriterPlugin<FxSingleBarrierOptionTrade> { | ||
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|
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| /** | ||
| * The singleton instance of the plugin. | ||
| */ | ||
| public static final FxSingleBarrierOptionTradeCsvPlugin INSTANCE = new FxSingleBarrierOptionTradeCsvPlugin(); | ||
|
|
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| /** | ||
| * The CSV headers. | ||
| */ | ||
| public static final Set<String> HEADERS = ImmutableSet.<String>builder() | ||
| .addAll(FxVanillaOptionTradeCsvPlugin.INSTANCE.headers(ImmutableList.of())) | ||
| .add(BARRIER_TYPE_FIELD) | ||
| .add(KNOCK_TYPE_FIELD) | ||
| .add(BARRIER_LEVEL_FIELD) | ||
| .add(REBATE_AMOUNT_FIELD) | ||
| .add(REBATE_CURRENCY_FIELD) | ||
| .add(REBATE_DIRECTION_FIELD) | ||
| .build(); | ||
|
|
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| /** | ||
| * Restricted constructor | ||
| */ | ||
| private FxSingleBarrierOptionTradeCsvPlugin() { | ||
| } | ||
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| @Override | ||
| public Set<String> tradeTypeNames() { | ||
| return ImmutableSet.of("FXSINGLEBARRIEROPTION", "FX SINGLE BARRIER OPTION"); | ||
| } | ||
|
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| @Override | ||
| public Optional<Trade> parseTrade( | ||
| Class<?> requiredJavaType, | ||
| CsvRow baseRow, | ||
| List<CsvRow> additionalRows, | ||
| TradeInfo info, | ||
| TradeCsvInfoResolver resolver) { | ||
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| if (requiredJavaType.isAssignableFrom(FxSingleBarrierOptionTrade.class)) { | ||
| return Optional.of(parse(baseRow, info, resolver)); | ||
| } | ||
| return Optional.empty(); | ||
| } | ||
|
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| private FxSingleBarrierOptionTrade parse(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) { | ||
| FxVanillaOptionTrade vanillaOptionTrade = resolver.parseFxVanillaOptionTrade(row, info); | ||
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| BarrierType barrierType = row.getValue(BARRIER_TYPE_FIELD, LoaderUtils::parseBarrierType); | ||
| KnockType knockType = row.getValue(KNOCK_TYPE_FIELD, LoaderUtils::parseKnockType); | ||
| double barrierLevel = row.getValue(BARRIER_LEVEL_FIELD, LoaderUtils::parseDouble); | ||
| AdjustablePayment premium = CsvLoaderUtils.parsePremiumFromDefaultFields(row); | ||
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| FxSingleBarrierOption.Builder productBuilder = FxSingleBarrierOption.builder() | ||
| .underlyingOption(vanillaOptionTrade.getProduct()) | ||
| .barrier(SimpleConstantContinuousBarrier.of(barrierType, knockType, barrierLevel)); | ||
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| CsvLoaderUtils.tryParseCurrencyAmountWithDirection( | ||
| row, | ||
| REBATE_CURRENCY_FIELD, | ||
| REBATE_AMOUNT_FIELD, | ||
| REBATE_DIRECTION_FIELD | ||
| ).ifPresent(productBuilder::rebate); | ||
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| return FxSingleBarrierOptionTrade.builder() | ||
| .product(productBuilder.build()) | ||
| .premium(premium) | ||
| .info(info) | ||
| .build(); | ||
| } | ||
|
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| @Override | ||
| public String getName() { | ||
| return FxSingleBarrierOptionTrade.class.getSimpleName(); | ||
| } | ||
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| @Override | ||
| public Set<Class<?>> supportedTradeTypes() { | ||
| return ImmutableSet.of(FxSingleBarrierOptionTrade.class); | ||
| } | ||
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| @Override | ||
| public Set<String> headers(List<FxSingleBarrierOptionTrade> trades) { | ||
| return HEADERS; | ||
| } | ||
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| @Override | ||
| public void writeCsv(CsvOutput.CsvRowOutputWithHeaders csv, FxSingleBarrierOptionTrade trade) { | ||
| csv.writeCell(TRADE_TYPE_FIELD, "FxSingleBarrierOption"); | ||
| writeSingleBarrierOption(csv, trade.getProduct()); | ||
| CsvWriterUtils.writePremiumFields(csv, trade.getPremium()); | ||
| csv.writeNewLine(); | ||
| } | ||
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| void writeSingleBarrierOption(CsvOutput.CsvRowOutputWithHeaders csv, FxSingleBarrierOption product) { | ||
| CsvWriterUtils.writeFxVanillaOption(csv, product.getUnderlyingOption()); | ||
| CsvWriterUtils.writeBarrierFields(csv, product.getBarrier(), LocalDate.now(ZoneId.systemDefault())); | ||
| product.getRebate().ifPresent(ccyAmount -> CsvWriterUtils.writeCurrencyAmount( | ||
| csv, | ||
| ccyAmount, | ||
| REBATE_AMOUNT_FIELD, | ||
| REBATE_CURRENCY_FIELD, | ||
| REBATE_DIRECTION_FIELD)); | ||
| } | ||
| } |
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3 changes: 3 additions & 0 deletions
3
...der/src/test/resources/com/opengamma/strata/loader/csv/fx_single_barrier_option_trade.csv
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,3 @@ | ||
| Strata Trade Type,Payment Date Convention,Payment Date Calendar,Long Short,Expiry Date,Expiry Time,Expiry Zone,Premium Date,Premium Date Convention,Premium Date Calendar,Premium Direction,Premium Currency,Premium Amount,Leg 1 Direction,Leg 1 Payment Date,Leg 1 Currency,Leg 1 Notional,Leg 2 Direction,Leg 2 Payment Date,Leg 2 Currency,Leg 2 Notional,Barrier Type,Knock Type,Barrier Level,Rebate Amount,Rebate Currency,Rebate Direction | ||
| FxSingleBarrierOption,,,Short,2014-05-09,13:10,Z,2014-01-12,NoAdjust,NoHolidays,Receive,USD,230.3,Receive,2014-05-13,EUR,1000000,Pay,2014-05-13,USD,-1100000,Up,KnockIn,17.2,17.666,USD,Receive | ||
| FxSingleBarrierOption,,,Short,2014-05-09,13:10,Z,2014-01-12,NoAdjust,NoHolidays,Receive,USD,230.3,Receive,2014-05-13,EUR,1000000,Pay,2014-05-13,USD,-1100000,Down,KnockOut,17.2,,, |