FX rates loader
The FX rates loader is used to load FX rates into the system. It is one of a number of loaders included in Strata.
Loader
FX rates can be loaded using the FxRatesCsvLoader
ResourceLocator locator = ResourceLocator.ofFile(filename);
Map<FxRateId, FxRate> fxRates = FxRatesCsvLoader.load(valuationDate, locator);
Format
The FX rates file is a simple CSV-formatted file with the following header row:
Valuation Date,Currency Pair,Value
The columns may be specified in any order, however this is the recommended order. The meaning of each column is as follows:
| Column name | Description |
|---|---|
| Valuation Date | The valuation date to which the rate corresponds, such as “2017-06-01”, see accepted formats |
| Currency Pair | The currency pair, in the format “EUR/USD” |
| Value | The numeric FX rate |
Example
This example file specifies two FX rates on two different dates.
Valuation Date, Currency Pair, Value
2016-01-22, EUR/USD, 1.11
2016-01-22, GBP/USD, 1.31
2016-01-23, EUR/USD, 1.12
2016-01-23, GBP/USD, 1.32
Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.