MarkitYieldCurveDataParser.java

/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.examples.marketdata.credit.markit;

import java.time.LocalDate;
import java.time.Period;
import java.time.format.DateTimeFormatter;
import java.util.List;
import java.util.Map;

import com.google.common.collect.Lists;
import com.google.common.collect.Maps;
import com.google.common.io.CharSource;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.collect.io.CsvFile;
import com.opengamma.strata.collect.io.CsvRow;
import com.opengamma.strata.market.curve.CurveName;
import com.opengamma.strata.pricer.credit.IsdaYieldCurveInputs;
import com.opengamma.strata.pricer.credit.IsdaYieldCurveInputsId;
import com.opengamma.strata.pricer.credit.IsdaYieldCurveUnderlyingType;
import com.opengamma.strata.product.credit.type.IsdaYieldCurveConvention;

/**
 * Parser to load daily yield curve information provided by Markit.
 * <p>
 * The columns are defined as
 * {@code Valuation Date,Tenor,Instrument Type,Rate,Curve Convention}.
 */
public class MarkitYieldCurveDataParser {

  private static final String DATE = "Valuation Date";
  private static final String TENOR = "Tenor";
  private static final String INSTRUMENT = "Instrument Type";
  private static final String RATE = "Rate";
  private static final String CONVENTION = "Curve Convention";

  /**
   * Parses the specified source.
   * 
   * @param source the source to parse
   * @return the map of parsed yield curve par rates
   */
  public static Map<IsdaYieldCurveInputsId, IsdaYieldCurveInputs> parse(CharSource source) {
    // parse the curve data
    Map<IsdaYieldCurveConvention, List<Point>> curveData = Maps.newHashMap();
    CsvFile csv = CsvFile.of(source, true);
    for (CsvRow row : csv.rows()) {
      String dateText = row.getField(DATE);
      String tenorText = row.getField(TENOR);
      String instrumentText = row.getField(INSTRUMENT);
      String rateText = row.getField(RATE);
      String conventionText = row.getField(CONVENTION);

      Point point = new Point(
          Tenor.parse(tenorText),
          LocalDate.parse(dateText, DateTimeFormatter.ISO_LOCAL_DATE),
          mapUnderlyingType(instrumentText),
          Double.parseDouble(rateText));
      IsdaYieldCurveConvention convention = IsdaYieldCurveConvention.of(conventionText);

      List<Point> points = curveData.get(convention);
      if (points == null) {
        points = Lists.newArrayList();
        curveData.put(convention, points);
      }
      points.add(point);
    }

    // convert the curve data into the result map
    Map<IsdaYieldCurveInputsId, IsdaYieldCurveInputs> result = Maps.newHashMap();
    for (IsdaYieldCurveConvention convention : curveData.keySet()) {
      List<Point> points = curveData.get(convention);
      result.put(IsdaYieldCurveInputsId.of(convention.getCurrency()),
          IsdaYieldCurveInputs.of(
              CurveName.of(convention.getName()),
              points.stream().map(s -> s.getTenor().getPeriod()).toArray(Period[]::new),
              points.stream().map(s -> s.getDate()).toArray(LocalDate[]::new),
              points.stream().map(s -> s.getInstrumentType()).toArray(IsdaYieldCurveUnderlyingType[]::new),
              points.stream().mapToDouble(s -> s.getRate()).toArray(),
              convention));
    }
    return result;
  }

  // parse the M/S instrument type flag
  private static IsdaYieldCurveUnderlyingType mapUnderlyingType(String type) {
    switch (type) {
      case "M":
        return IsdaYieldCurveUnderlyingType.ISDA_MONEY_MARKET;
      case "S":
        return IsdaYieldCurveUnderlyingType.ISDA_SWAP;
      default:
        throw new IllegalStateException("Unknown underlying type, only M or S allowed: " + type);
    }
  }

  //-------------------------------------------------------------------------
  /**
   * Stores the parsed data points.
   */
  private static final class Point {
    private final Tenor tenor;
    private final LocalDate date;
    private final IsdaYieldCurveUnderlyingType instrumentType;
    private final double rate;

    private Point(Tenor tenor, LocalDate baseDate, IsdaYieldCurveUnderlyingType instrumentType, double rate) {
      this.tenor = tenor;
      this.date = baseDate.plus(tenor.getPeriod());
      this.instrumentType = instrumentType;
      this.rate = rate;
    }

    public Tenor getTenor() {
      return tenor;
    }

    public LocalDate getDate() {
      return date;
    }

    public IsdaYieldCurveUnderlyingType getInstrumentType() {
      return instrumentType;
    }

    public double getRate() {
      return rate;
    }
  }

}