The fixings loader is used to load historic fixings into the system. It is one of a number of loaders included in Strata.
Fixings can be loaded using the
ResourceLocator locator = ResourceLocator.ofFile(filename); Map<ObservableId, LocalDateDoubleTimeSeries> fixings = FixingSeriesCsvLoader.load(locator);
The fixings file is a simple CSV-formatted file with the following header row:
The columns may be specified in any order, however this is the recommended order. The meaning of each column is as follows:
|Reference||The name of the index that the data is for, such as “USD-LIBOR-3M”, see floating indices|
|Date||The date of the fixing, such as “2017-06-01”, see accepted formats|
|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 indices page for Strata’s default index names.
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.