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Improvements to FX Option Template #2758

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59 changes: 51 additions & 8 deletions ...s/loader/src/main/java/com/opengamma/strata/loader/csv/FxVanillaOptionTradeCsvPlugin.java
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Original file line number Diff line number Diff line change
Expand Up @@ -9,6 +9,7 @@
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.EXPIRY_TIME_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.EXPIRY_ZONE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_1_CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_1_DIRECTION_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_1_NOTIONAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_2_CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.LEG_2_NOTIONAL_FIELD;
Expand Down Expand Up @@ -42,10 +43,12 @@
import com.opengamma.strata.collect.io.CsvOutput;
import com.opengamma.strata.collect.io.CsvOutput.CsvRowOutputWithHeaders;
import com.opengamma.strata.collect.io.CsvRow;
import com.opengamma.strata.collect.tuple.Triple;
import com.opengamma.strata.loader.LoaderUtils;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.LongShort;
import com.opengamma.strata.product.common.PayReceive;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.fx.FxSingle;
import com.opengamma.strata.product.fx.FxSingleTrade;
Expand Down Expand Up @@ -166,17 +169,31 @@ private static FxVanillaOptionTrade parseRow(CsvRow row, TradeInfo info) {
LocalDate paymentDate = row.getValue(PAYMENT_DATE_FIELD, LoaderUtils::parseDate);
double notional1 = row.getValue(LEG_1_NOTIONAL_FIELD, LoaderUtils::parseDouble);

double strike = parseStrike(row, notional1);

Triple<Double, Double, CurrencyPair> notionalStrike = parseNotionalAndStrike(row, putCall, notional1, ccy1, ccy2);
Optional<BusinessDayAdjustment> paymentAdj = CsvLoaderUtils
.parseBusinessDayAdjustment(row, PAYMENT_DATE_CNV_FIELD, PAYMENT_DATE_CAL_FIELD)
.filter(adj -> !adj.equals(BusinessDayAdjustment.NONE));

ZonedDateTime expiry = expiryDate.atTime(expiryTime).atZone(expiryZone);
CurrencyPair ccyPair = CurrencyPair.of(ccy1, ccy2);
FxVanillaOption option = paymentAdj
.map(adj -> FxVanillaOption.of(longShort, expiry, ccyPair, putCall, strike, notional1, paymentDate, adj))
.orElseGet(() -> FxVanillaOption.of(longShort, expiry, ccyPair, putCall, strike, notional1, paymentDate));
.map(adj -> FxVanillaOption.of(
longShort,
expiry,
notionalStrike.getThird(),
putCall,
notionalStrike.getSecond(),
notionalStrike.getFirst(),
paymentDate,
adj))
.orElseGet(() -> FxVanillaOption.of(
longShort,
expiry,
notionalStrike.getThird(),
putCall,
notionalStrike.getSecond(),
notionalStrike.getFirst(),
paymentDate));

return FxVanillaOptionTrade.builder()
.info(info)
.product(option)
Expand All @@ -185,13 +202,39 @@ private static FxVanillaOptionTrade parseRow(CsvRow row, TradeInfo info) {
.build();
}

private static double parseStrike(CsvRow row, double notional1) {
private static Triple<Double, Double, CurrencyPair> parseNotionalAndStrike(
CsvRow row,
PutCall putCall,
double notional1,
Currency ccy1,
Currency ccy2) {

Optional<Double> strikeOpt = row.findValue(STRIKE_FIELD, LoaderUtils::parseDouble);
if (strikeOpt.isPresent()) {
return strikeOpt.get();
return Triple.of(Math.abs(notional1), strikeOpt.get(), CurrencyPair.of(ccy1, ccy2));
} else {
double notional2 = row.getValue(LEG_2_NOTIONAL_FIELD, LoaderUtils::parseDouble);
return Math.abs(notional2 / notional1);
PayReceive direction1 = row.getValue(LEG_1_DIRECTION_FIELD, LoaderUtils::parsePayReceive);
double payNotional = notional1;
double receiveNotional = notional2;
Currency payCcy = ccy1;
Currency receiveCcy = ccy2;
if (direction1.isReceive()) {
payNotional = notional2;
receiveNotional = notional1;
payCcy = ccy2;
receiveCcy = ccy1;
}
if (putCall.isCall()) {
return Triple.of(
Math.abs(receiveNotional),
Math.abs(payNotional / receiveNotional),
CurrencyPair.of(receiveCcy, payCcy));
}
return Triple.of(
Math.abs(payNotional),
Math.abs(receiveNotional / payNotional),
CurrencyPair.of(payCcy, receiveCcy));
}
}

Expand Down
7 changes: 4 additions & 3 deletions modules/loader/src/test/java/com/opengamma/strata/loader/csv/TradeCsvLoaderTest.java
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Original file line number Diff line number Diff line change
Expand Up @@ -450,7 +450,7 @@ public void test_load_fx_vanilla_option_equivalent() {
assertThat(loadedData.getFailures().size()).as(loadedData.getFailures().toString()).isEqualTo(0);

List<FxVanillaOptionTrade> loadedTrades = loadedData.getValue();
assertThat(loadedTrades).hasSize(1);
assertThat(loadedTrades).hasSize(2);

FxVanillaOptionTrade expectedTrade0 = FxVanillaOptionTrade.builder()
.info(TradeInfo.builder()
Expand All @@ -464,15 +464,16 @@ public void test_load_fx_vanilla_option_equivalent() {
.expiryTime(LocalTime.of(11, 0))
.expiryZone(ZoneId.of("Europe/London"))
.underlying(FxSingle.of(
CurrencyAmount.of(USD, 30000),
FxRate.of(USD, GBP, 1.31),
CurrencyAmount.of(USD, -30000),
FxRate.of(USD, GBP, 0.8),
LocalDate.of(2017, 1, 10)))
.build())
.premium(AdjustablePayment.of(
CurrencyAmount.of(GBP, -2000),
AdjustableDate.of(LocalDate.of(2016, 12, 8))))
.build();
assertBeanEquals(loadedTrades.get(0), expectedTrade0);
assertBeanEquals(loadedTrades.get(1), expectedTrade0);
}

//-------------------------------------------------------------------------
Expand Down
11 changes: 6 additions & 5 deletions modules/loader/src/test/resources/com/opengamma/strata/loader/csv/fx-option-alt.csv
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@@ -1,5 +1,6 @@
Strata Trade Type,CCP,Id Scheme,Id,Trade Date,Trade Time,Trade Zone,Convention,Buy Sell,Direction,Currency,Notional,Strike,Payment Date,Payment Date Convention,Payment Date Calendar,Far FX Rate,Far Payment Date,Long Short,Expiry Date,Expiry Time,Expiry Zone,Premium Direction,Premium Currency,Premium Amount,Premium Date,Premium Date Convention,Premium Date Calendar,Leg 1 Currency,Leg 1 Notional,Leg 2 Currency,Put Call,Barrier Type,Knock Type,Barrier Level,Rebate Amount,Rebate Currency,Rebate Direction,Leg 2 Notional
FxVanillaOption,CME,OG,tradeId32,06/12/2016,,,,,,,,1.31,10/01/2017,,,,,Long,08/01/2017,11:00,Europe/London,Pay,GBP,2000,08/12/2016,,,USD,30000,GBP,Call,,,,,,
FxSingleBarrierOption,,,,,,,,,,,,1.1,2014-05-13,,,,,Short,2014-05-09,13:10,Z,Receive,USD,230.3,2014-01-12,,,EUR,1000000,USD,Call,Up,KnockIn,17.2,17.666,USD,Receive,
FxSingleBarrierOption,,,,,,,,,,,,1.1,2014-05-13,,,,,Short,2014-05-09,13:10,Z,Receive,USD,230.3,2014-01-12,,,EUR,1000000,USD,Call,Down,KnockOut,17.2,,,
FxSingleBarrierOption,,,,,,,,,,,,,2014-05-13,,,,,Short,2014-05-09,13:10,Z,Receive,USD,230.3,2014-01-12,,,EUR,1000000,USD,Call,Down,KnockOut,17.2,,,,1100000
Strata Trade Type,CCP,Id Scheme,Id,Trade Date,Trade Time,Trade Zone,Convention,Buy Sell,Direction,Currency,Notional,Strike,Payment Date,Payment Date Convention,Payment Date Calendar,Far FX Rate,Far Payment Date,Long Short,Expiry Date,Expiry Time,Expiry Zone,Premium Direction,Premium Currency,Premium Amount,Premium Date,Premium Date Convention,Premium Date Calendar,Leg 1 Currency,Leg 1 Notional,Leg 2 Currency,Put Call,Barrier Type,Knock Type,Barrier Level,Rebate Amount,Rebate Currency,Rebate Direction,Leg 2 Notional,Leg 1 Direction,Leg 2 Direction
FxVanillaOption,CME,OG,tradeId32,06/12/2016,,,,,,,,0.8,10/01/2017,,,,,Long,08/01/2017,11:00,Europe/London,Pay,GBP,2000,08/12/2016,,,USD,30000,GBP,Put,,,,,,,,
FxSingleBarrierOption,,,,,,,,,,,,1.1,2014-05-13,,,,,Short,2014-05-09,13:10,Z,Receive,USD,230.3,2014-01-12,,,EUR,1000000,USD,Call,Up,KnockIn,17.2,17.666,USD,Receive,,,
FxSingleBarrierOption,,,,,,,,,,,,1.1,2014-05-13,,,,,Short,2014-05-09,13:10,Z,Receive,USD,230.3,2014-01-12,,,EUR,1000000,USD,Call,Down,KnockOut,17.2,,,,,
FxSingleBarrierOption,,,,,,,,,,,,,2014-05-13,,,,,Short,2014-05-09,13:10,Z,Receive,USD,230.3,2014-01-12,,,EUR,1000000,USD,Call,Down,KnockOut,17.2,,,,1100000,Receive,Pay
FxVanillaOption,CME,OG,tradeId32,06/12/2016,,,,,,,,,10/01/2017,,,,,Long,08/01/2017,11:00,Europe/London,Pay,GBP,2000,08/12/2016,,,GBP,24000,USD,Put,,,,,,,30000,Receive,Pay