com.opengamma.strata.examples.marketdata.timeseries.FixingSeriesCsvLoader.java Source code

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Here is the source code for com.opengamma.strata.examples.marketdata.timeseries.FixingSeriesCsvLoader.java

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

import java.time.LocalDate;
import java.util.Collection;
import java.util.HashMap;
import java.util.Map;
import java.util.stream.Collectors;

import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.index.RateIndex;
import com.opengamma.strata.basics.market.ObservableId;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.io.CsvFile;
import com.opengamma.strata.collect.io.ResourceLocator;
import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries;
import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeriesBuilder;
import com.opengamma.strata.examples.marketdata.LoaderUtils;
import com.opengamma.strata.market.id.IndexRateId;

/**
 * Loads a set of historical fixing series into memory from CSV resources.
 * <p>
 * The resources are expected to be in a CSV format, with the following header row:
 * Type, Reference, Date, Value
 * <p>
 * Each fixing series must be contained entirely within a single resource, but each resource may
 * contain more than one series. The fixing series points do not need to be ordered.
 */
public class FixingSeriesCsvLoader {

    private static final String REFERENCE_FIELD = "Reference";
    private static final String DATE_FIELD = "Date";
    private static final String VALUE_FIELD = "Value";

    /**
     * Restricted constructor.
     */
    private FixingSeriesCsvLoader() {
    }

    //-------------------------------------------------------------------------
    /**
     * Loads a set of historical fixing series into memory from CSV resources.
     * 
     * @param fixingSeriesResources  the fixing series CSV resources
     * @return the loaded fixing series, mapped by {@linkplain ObservableId observable ID}
     */
    public static Map<ObservableId, LocalDateDoubleTimeSeries> loadFixingSeries(
            Collection<ResourceLocator> fixingSeriesResources) {
        ImmutableMap.Builder<ObservableId, LocalDateDoubleTimeSeries> builder = ImmutableMap.builder();
        for (ResourceLocator timeSeriesResource : fixingSeriesResources) {
            // builder ensures keys can only be seen once
            builder.putAll(loadFixingSeries(timeSeriesResource));
        }
        return builder.build();
    }

    //-------------------------------------------------------------------------
    // loads a single fixing series CSV file
    private static Map<ObservableId, LocalDateDoubleTimeSeries> loadFixingSeries(ResourceLocator resourceLocator) {
        Map<ObservableId, LocalDateDoubleTimeSeriesBuilder> builders = new HashMap<>();
        CsvFile csv;
        try {
            csv = CsvFile.of(resourceLocator.getCharSource(), true);
        } catch (IllegalArgumentException e) {
            throw new IllegalArgumentException(
                    Messages.format("Error processing resource as CSV file: {}", resourceLocator), e);
        }
        for (int i = 0; i < csv.rowCount(); i++) {
            String reference = csv.field(i, REFERENCE_FIELD);
            String dateText = csv.field(i, DATE_FIELD);
            String valueText = csv.field(i, VALUE_FIELD);

            RateIndex index = LoaderUtils.findIndex(reference);
            ObservableId id = IndexRateId.of(index);

            LocalDate date = LocalDate.parse(dateText);
            double value = Double.parseDouble(valueText);

            LocalDateDoubleTimeSeriesBuilder builder = builders.get(id);
            if (builder == null) {
                builder = LocalDateDoubleTimeSeries.builder();
                builders.put(id, builder);
            }
            builder.put(date, value);
        }

        return builders.entrySet().stream().collect(Collectors.toMap(Map.Entry::getKey, v -> v.getValue().build()));
    }

}