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.
FX rates can be loaded using the
ResourceLocator locator = ResourceLocator.ofFile(filename); Map<FxRateId, FxRate> fxRates = FxRatesCsvLoader.load(valuationDate, locator);
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:
|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|
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.