Trade loader
The trade loader is used to load different kinds of trade, such as FRAs, Swaps, Securities and Term Deposits. It is one of a number of loaders included in Strata.
Loader
Trades can be loaded using the TradeCsvLoader
ResourceLocator locator = ResourceLocator.ofFile(filename);
ValueWithFailures<List<Trades>> trades = TradeCsvLoader.load(locator);
Format
The trades file is a CSV-formatted file. The columns may be specified in any order. The CSV format is flexible, and the input can specify trades in various ways.
Each asset class has a different set of columns, see the links below. A single file can contain a mixture of asset classes, just add the union of the column headers and fill in the necessary data on a row by row basis.
The follow asset classes are supported:
- FRAs
- Swaps
- Swaptions
- Bullet Payments
- Term Deposits
- FX Singles
- FX Swaps
- FX Vanilla Options
- CDS
- CDS Index
- Securities
Columns common to all formats
These columns are common to all formats. They are documented here rather than being repeated on each page:
| Column name | Mandatory? | Description |
|---|---|---|
| Id Scheme | Optional | The scheme (symbology) within which the trade identifier is unique, default “OG-Trade” |
| Id | Optional | The trade identifier |
| Trade Date | Optional | The trade date, such as “2017-06-01”, see accepted formats |
| Trade Time | Optional | The trade time-of-day, such as “11:00”, see accepted formats |
| Trade Zone | Optional | The trade zone, such as “Europe/Paris” (IANA time zone names) or “+02:00” |
| Counterparty Scheme | Optional | The scheme (symbology) within which the counterparty is unique, default “OG-Counterparty” |
| Counterparty | Optional | The counterparty |
| Settlement Date | Optional | The date the trade settles, such as “2017-06-03”, see accepted formats |
Note that the columns above are supported by all asset classes.
Example
This example file specifies one FRA, one Swap and one Term Deposit.
Strata Trade Type, Id Scheme, Id, Trade Date, Convention, Buy Sell, Period To Start, Tenor, Notional, Fixed Rate
Fra, OG, 123401, 2017-06-01, GBP-LIBOR-3M, Buy, P2M, , 1000000, 0.5
Swap, OG, 123411, 2017-06-01, GBP-FIXED-1Y-LIBOR-3M, Buy, P1M, P5Y, 2000000, 0.4
TermDeposit, OG, 123401, 2017-06-01, GBP-Deposit-T0, Buy, P7D, , 1000000, 0.5
Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.
Writer
Trades can be written to CSV using TradeCsvWriter
StribfBuilder buf = new StringBuilder();
TradeCsvWriter.write(trades, buf);