Fixings loader

The fixings loader is used to load historic fixings into the system. It is one of a number of loaders included in Strata.

Loader

Fixings can be loaded using the FixingSeriesCsvLoader

ResourceLocator locator = ResourceLocator.ofFile(filename);
Map<ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(locator);

Format

The fixings file is a simple CSV-formatted file with the following header row:

Reference,Date,Value

The columns may be specified in any order, however this is the recommended order. The meaning of each column is as follows:

Field Description
Reference The name of the index that the data is for, such as “USD-LIBOR-3M”.
Date The date of the fixing, in the format yyyy-MM-dd.
Value The numeric value of the fixing.

To load a full time-series will require many rows in the file, one for each historic fixing date. Each fixing series must be contained within a single CSV file, but a single file may contain multiple series.

See the standard reference data page for Strata’s default index names.

Example

This example file specifies fixings for a single index on five dates.

Reference,    Date,       Value
USD-LIBOR-3M, 2015-07-20, 0.00503
USD-LIBOR-3M, 2015-07-21, 0.00504
USD-LIBOR-3M, 2015-07-22, 0.00502
USD-LIBOR-3M, 2015-07-23, 0.00503
USD-LIBOR-3M, 2015-07-24, 0.00506

Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.