Support cross-currency overnight swap CSV trades

examples/src/main/java/com/opengamma/strata/examples/SwapPricingExample.java

@@ -62,7 +62,12 @@
 /**
  * Example to illustrate using the calculation API to price a swap.
  * <p>
- * This makes use of the example market data environment.
+ * This makes use of the example market data environment. The example uses a
+ * multi-curve setup: the USD discount curve is used for discounting and the
+ * USD-LIBOR-3M curve is used for floating-rate projection. The resulting NPV
+ * is therefore not directly comparable with a single flat risk-free-rate curve
+ * used by another pricing library unless the market data and conventions are
+ * aligned first.
  */
 public class SwapPricingExample {
 
@@ -95,7 +100,9 @@ private static void calculate(CalculationRunner runner) {
         Column.of(Measures.PV01_CALIBRATED_BUCKETED),
         Column.of(AdvancedMeasures.PV01_SEMI_PARALLEL_GAMMA_BUCKETED));
 
-    // use the built-in example market data
+    // Use the built-in multi-curve example market data. USD-Disc is used for
+    // discounting and USD-3ML for USD-LIBOR-3M projection. This is not a flat
+    // 1% risk-free-rate setup.
     LocalDate valuationDate = LocalDate.of(2014, 1, 22);
     ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
     MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);

modules/loader/src/main/java/com/opengamma/strata/loader/csv/SwapTradeCsvPlugin.java

@@ -68,6 +68,7 @@
 import com.opengamma.strata.product.swap.SwapTrade;
 import com.opengamma.strata.product.swap.type.SingleCurrencySwapConvention;
 import com.opengamma.strata.product.swap.type.XCcyIborIborSwapConvention;
+import com.opengamma.strata.product.swap.type.XCcyOvernightOvernightSwapConvention;
 
 /**
  * Loads Swap trades from CSV files.
@@ -357,10 +358,9 @@ static SwapTrade parseWithConvention(CsvRow row, TradeInfo info, ReferenceData r
       Period periodToStart = periodToStartOpt.get();
       Tenor tenor = tenorOpt.get();
       if (fxRateOpt.isPresent()) {
-        XCcyIborIborSwapConvention convention = XCcyIborIborSwapConvention.of(conventionStr);
-        double notionalFlat = notional * fxRateOpt.get();
-        SwapTrade trade = convention.createTrade(
-            tradeDate, periodToStart, tenor, buySell, notional, notionalFlat, fixedRate, refData);
+        SwapTrade trade = createCrossCurrencySwap(
+            conventionStr, tradeDate, periodToStart, tenor, buySell, notional,
+            notional * fxRateOpt.get(), fixedRate, refData);
         trade = trade.toBuilder().info(info).build();
         return adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt);
       } else {
@@ -396,15 +396,52 @@ private static SwapTrade createSwap(
       Optional<Double> fxRateOpt) {
 
     if (fxRateOpt.isPresent()) {
-      XCcyIborIborSwapConvention convention = XCcyIborIborSwapConvention.of(conventionStr);
-      double notionalFlat = notional * fxRateOpt.get();
-      return convention.toTrade(info, startDate, endDate, buySell, notional, notionalFlat, fixedRate);
+      return createCrossCurrencySwap(
+          conventionStr, info, startDate, endDate, buySell, notional,
+          notional * fxRateOpt.get(), fixedRate);
     } else {
       SingleCurrencySwapConvention convention = SingleCurrencySwapConvention.of(conventionStr);
       return convention.toTrade(info, startDate, endDate, buySell, notional, fixedRate);
     }
   }
 
+  private static SwapTrade createCrossCurrencySwap(
+      String conventionStr,
+      LocalDate tradeDate,
+      Period periodToStart,
+      Tenor tenor,
+      BuySell buySell,
+      double notionalSpreadLeg,
+      double notionalFlatLeg,
+      double spread,
+      ReferenceData refData) {
+
+    if (XCcyIborIborSwapConvention.extendedEnum().lookupAll().containsKey(conventionStr)) {
+      return XCcyIborIborSwapConvention.of(conventionStr).createTrade(
+          tradeDate, periodToStart, tenor, buySell, notionalSpreadLeg, notionalFlatLeg, spread, refData);
+    }
+    return XCcyOvernightOvernightSwapConvention.of(conventionStr).createTrade(
+        tradeDate, periodToStart, tenor, buySell, notionalSpreadLeg, notionalFlatLeg, spread, refData);
+  }
+
+  private static SwapTrade createCrossCurrencySwap(
+      String conventionStr,
+      TradeInfo info,
+      LocalDate startDate,
+      LocalDate endDate,
+      BuySell buySell,
+      double notionalSpreadLeg,
+      double notionalFlatLeg,
+      double spread) {
+
+    if (XCcyIborIborSwapConvention.extendedEnum().lookupAll().containsKey(conventionStr)) {
+      return XCcyIborIborSwapConvention.of(conventionStr).toTrade(
+          info, startDate, endDate, buySell, notionalSpreadLeg, notionalFlatLeg, spread);
+    }
+    return XCcyOvernightOvernightSwapConvention.of(conventionStr).toTrade(
+        info, startDate, endDate, buySell, notionalSpreadLeg, notionalFlatLeg, spread);
+  }
+
   // adjust trade based on additional fields specified
   private static SwapTrade adjustTrade(
       SwapTrade trade,

modules/loader/src/test/java/com/opengamma/strata/loader/csv/TradeCsvLoaderTest.java

@@ -168,7 +168,7 @@
 public class TradeCsvLoaderTest {
 
   private static final ReferenceData REF_DATA = ReferenceData.standard();
-  private static final int NUMBER_SWAPS = 11;
+  private static final int NUMBER_SWAPS = 12;
 
   private static final ResourceLocator FILE =
       ResourceLocator.of("classpath:com/opengamma/strata/loader/csv/trades.csv");
@@ -745,6 +745,13 @@ public void test_load_swap() {
     assertBeanEquals(expected8, filtered.get(8));
     assertBeanEquals(expected9, filtered.get(9));
     assertBeanEquals(expected10, filtered.get(10));
+    SwapTrade overnightSwap = filtered.get(11);
+    assertThat(overnightSwap.getInfo().getId().get().getValue()).isEqualTo("123422");
+    assertThat(overnightSwap.getProduct().getLegs()).hasSize(2);
+    assertThat(overnightSwap.getProduct().getLegs().get(0).getCurrency()).isEqualTo(EUR);
+    assertThat(overnightSwap.getProduct().getLegs().get(1).getCurrency()).isEqualTo(USD);
+    assertThat(overnightSwap.getProduct().getLegs().get(0).getPayReceive()).isEqualTo(PAY);
+    assertThat(overnightSwap.getProduct().getLegs().get(1).getPayReceive()).isEqualTo(RECEIVE);
 
     checkRoundtrip(
         SwapTrade.class,
@@ -759,7 +766,8 @@ public void test_load_swap() {
         expected7,
         expected8,
         expected9,
-        expected10);
+        expected10,
+        overnightSwap);
   }
 
   private SwapTrade expectedSwap0() {
@@ -2315,7 +2323,7 @@ public void test_load_filtered() {
         ImmutableList.of(FILE.getCharSource()), ImmutableList.of(FraTrade.class, TermDepositTrade.class));
 
     assertThat(trades.getValue()).hasSize(6);
-    assertThat(trades.getFailures()).hasSize(29);
+    assertThat(trades.getFailures()).hasSize(30);
     assertThat(trades.getFailures().get(0).getMessage()).isEqualTo(
         "Trade type not allowed " + SwapTrade.class.getName() + ", only these types are supported: FraTrade, TermDepositTrade");
   }

modules/loader/src/test/resources/com/opengamma/strata/loader/csv/trades.csv

@@ -19,6 +19,7 @@ Variable,,,,,,,,,,,,,,,,,,01/06/2018,,,,,,,,,,,,,,2500000,,,,,,,,,,,,,,,,,,,,,,,
 Swap,OG,123419,01/06/2017,,,,,,,,,,,,,,,,,,,,Pay,01/07/2017,01/07/2018,,,1T,BRL,1000000,1.3,,BUS/252,,,Receive,01/07/2017,01/07/2018,1T,BRL,1000000,BRL-CDI,OvernightCompoundedAnnualRate,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
 Swap,OG,123420,01/06/2017,,,,,,,,,,,,,,,,,,,,Pay,01/07/2017,01/07/2018,,,1T,BRL,2000000,1.5,,BUS/252,,,Receive,01/07/2017,01/07/2018,1T,BRL,2000000,BRL-CDI,OvernightCompoundedAnnualRate,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
 Swap,OG,123421,01/06/2017,,,,,,,,,,,,,,,,,,,,Pay,01/07/2017,01/07/2018,,,1T,BRL,3000000,1.7,,BUS/252,,,Receive,01/07/2017,01/07/2018,1T,BRL,3000000,BRL-CDI,Compounded,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
+Swap,OG,123422,01/06/2017,,,,EUR-ESTR-3M-USD-SOFR-3M,Buy,,P3Y,,,0.6,1.25,,,2000000,05/07/2017,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
 ,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
 Swaption,OG,123411,01/06/2017,,,,GBP-FIXED-1Y-LIBOR-3M,Buy,P1M,P5Y,,,0.4,,,,2000000,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,Long,ParYield,03/07/2017,30/06/2017,11:00,Europe/London,Pay,GBP,1000,03/06/2017,,,,,,,,,,,,,,,,,,,,,
 Swaption,OG,123412,01/06/2017,,,,GBP-FIXED-6M-LIBOR-6M,BUY,,,,,-0.01,,,,3100000,01/08/2017,01/08/2022,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,Short,Physical,,30/06/2017,11:00,Europe/London,Receive,GBP,1000,03/06/2017,,,,,,,,,,,,,,,,,,,,,