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tonyrobertstonyroberts
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Update to Strata 2.0.0
1 parent 1e22a32 commit 67da2a6

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13 files changed

+151
-54
lines changed

13 files changed

+151
-54
lines changed

‎examples/swap-pricer.xlsx‎

334 Bytes
Binary file not shown.

‎pom.xml‎

Lines changed: 4 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -6,7 +6,7 @@
66

77
<groupId>com.exceljava</groupId>
88
<artifactId>strata-excel</artifactId>
9-
<version>1.0-SNAPSHOT</version>
9+
<version>1.1-SNAPSHOT</version>
1010
<packaging>jar</packaging>
1111
<name>Strata-Excel</name>
1212
<description>Excel bindings for Strata</description>
@@ -57,17 +57,17 @@
5757
<dependency>
5858
<groupId>com.opengamma.strata</groupId>
5959
<artifactId>strata-measure</artifactId>
60-
<version>1.5.2</version>
60+
<version>2.0.0</version>
6161
</dependency>
6262
<dependency>
6363
<groupId>com.opengamma.strata</groupId>
6464
<artifactId>strata-report</artifactId>
65-
<version>1.5.2</version>
65+
<version>2.0.0</version>
6666
</dependency>
6767
<dependency>
6868
<groupId>com.opengamma.strata</groupId>
6969
<artifactId>strata-loader</artifactId>
70-
<version>1.5.2</version>
70+
<version>2.0.0</version>
7171
</dependency>
7272
</dependencies>
7373
</project>

‎src/main/java/com/exceljava/strataexcel/generated/basics/date/TenorXL.java‎

Lines changed: 63 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -52,6 +52,15 @@ public Tenor TENOR_11M() {
5252
return Tenor.TENOR_11M;
5353
}
5454

55+
@ExcelFunction(
56+
value = "og.Tenor.TENOR_11Y",
57+
category = "Strata",
58+
isThreadSafe = true
59+
)
60+
public Tenor TENOR_11Y() {
61+
return Tenor.TENOR_11Y;
62+
}
63+
5564
@ExcelFunction(
5665
value = "og.Tenor.TENOR_12M",
5766
category = "Strata",
@@ -79,6 +88,33 @@ public Tenor TENOR_13W() {
7988
return Tenor.TENOR_13W;
8089
}
8190

91+
@ExcelFunction(
92+
value = "og.Tenor.TENOR_13Y",
93+
category = "Strata",
94+
isThreadSafe = true
95+
)
96+
public Tenor TENOR_13Y() {
97+
return Tenor.TENOR_13Y;
98+
}
99+
100+
@ExcelFunction(
101+
value = "og.Tenor.TENOR_14Y",
102+
category = "Strata",
103+
isThreadSafe = true
104+
)
105+
public Tenor TENOR_14Y() {
106+
return Tenor.TENOR_14Y;
107+
}
108+
109+
@ExcelFunction(
110+
value = "og.Tenor.TENOR_15M",
111+
category = "Strata",
112+
isThreadSafe = true
113+
)
114+
public Tenor TENOR_15M() {
115+
return Tenor.TENOR_15M;
116+
}
117+
82118
@ExcelFunction(
83119
value = "og.Tenor.TENOR_15Y",
84120
category = "Strata",
@@ -142,6 +178,15 @@ public Tenor TENOR_20Y() {
142178
return Tenor.TENOR_20Y;
143179
}
144180

181+
@ExcelFunction(
182+
value = "og.Tenor.TENOR_21M",
183+
category = "Strata",
184+
isThreadSafe = true
185+
)
186+
public Tenor TENOR_21M() {
187+
return Tenor.TENOR_21M;
188+
}
189+
145190
@ExcelFunction(
146191
value = "og.Tenor.TENOR_25Y",
147192
category = "Strata",
@@ -205,6 +250,15 @@ public Tenor TENOR_30Y() {
205250
return Tenor.TENOR_30Y;
206251
}
207252

253+
@ExcelFunction(
254+
value = "og.Tenor.TENOR_35Y",
255+
category = "Strata",
256+
isThreadSafe = true
257+
)
258+
public Tenor TENOR_35Y() {
259+
return Tenor.TENOR_35Y;
260+
}
261+
208262
@ExcelFunction(
209263
value = "og.Tenor.TENOR_3D",
210264
category = "Strata",
@@ -250,6 +304,15 @@ public Tenor TENOR_40Y() {
250304
return Tenor.TENOR_40Y;
251305
}
252306

307+
@ExcelFunction(
308+
value = "og.Tenor.TENOR_45Y",
309+
category = "Strata",
310+
isThreadSafe = true
311+
)
312+
public Tenor TENOR_45Y() {
313+
return Tenor.TENOR_45Y;
314+
}
315+
253316
@ExcelFunction(
254317
value = "og.Tenor.TENOR_4M",
255318
category = "Strata",

‎src/main/java/com/exceljava/strataexcel/generated/market/ValueTypeXL.java‎

Lines changed: 24 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -113,6 +113,15 @@ public ValueType RECOVERY_RATE() {
113113
return ValueType.RECOVERY_RATE;
114114
}
115115

116+
@ExcelFunction(
117+
value = "og.ValueType.RISK_REVERSAL",
118+
category = "Strata",
119+
isThreadSafe = true
120+
)
121+
public ValueType RISK_REVERSAL() {
122+
return ValueType.RISK_REVERSAL;
123+
}
124+
116125
@ExcelFunction(
117126
value = "og.ValueType.SABR_ALPHA",
118127
category = "Strata",
@@ -158,6 +167,15 @@ public ValueType SIMPLE_MONEYNESS() {
158167
return ValueType.SIMPLE_MONEYNESS;
159168
}
160169

170+
@ExcelFunction(
171+
value = "og.ValueType.STRANGLE",
172+
category = "Strata",
173+
isThreadSafe = true
174+
)
175+
public ValueType STRANGLE() {
176+
return ValueType.STRANGLE;
177+
}
178+
161179
@ExcelFunction(
162180
value = "og.ValueType.STRIKE",
163181
category = "Strata",
@@ -264,6 +282,12 @@ public ValueType getStaticField(String fieldName) {
264282
if (fieldName.equals("SABR_NU")) {
265283
return ValueType.SABR_NU;
266284
}
285+
if (fieldName.equals("RISK_REVERSAL")) {
286+
return ValueType.RISK_REVERSAL;
287+
}
288+
if (fieldName.equals("STRANGLE")) {
289+
return ValueType.STRANGLE;
290+
}
267291
throw new IllegalArgumentException(String.format("%s is invalid", fieldName));
268292
}
269293
}

src/main/java/com/exceljava/strataexcel/generated/market/curve/CurveGroupDefinitionBuilderXL.java renamed to src/main/java/com/exceljava/strataexcel/generated/market/curve/RatesCurveGroupDefinitionBuilderXL.java

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -11,10 +11,10 @@
1111
import com.exceljava.jinx.ExcelAddIn;
1212

1313

14-
public class CurveGroupDefinitionBuilderXL {
14+
public class RatesCurveGroupDefinitionBuilderXL {
1515
private final ExcelAddIn xl;
1616

17-
public CurveGroupDefinitionBuilderXL(ExcelAddIn xl) {
17+
public RatesCurveGroupDefinitionBuilderXL(ExcelAddIn xl) {
1818
this.xl = xl;
1919
}
2020
}

src/main/java/com/exceljava/strataexcel/generated/market/curve/CurveGroupDefinitionXL.java renamed to src/main/java/com/exceljava/strataexcel/generated/market/curve/RatesCurveGroupDefinitionXL.java

Lines changed: 12 additions & 12 deletions
Original file line numberDiff line numberDiff line change
@@ -13,10 +13,10 @@
1313
import com.exceljava.jinx.ExcelArguments;
1414
import com.exceljava.jinx.ExcelFunction;
1515
import com.opengamma.strata.market.curve.CurveDefinition;
16-
import com.opengamma.strata.market.curve.CurveGroupDefinition;
17-
import com.opengamma.strata.market.curve.CurveGroupDefinitionBuilder;
18-
import com.opengamma.strata.market.curve.CurveGroupEntry;
1916
import com.opengamma.strata.market.curve.CurveGroupName;
17+
import com.opengamma.strata.market.curve.RatesCurveGroupDefinition;
18+
import com.opengamma.strata.market.curve.RatesCurveGroupDefinitionBuilder;
19+
import com.opengamma.strata.market.curve.RatesCurveGroupEntry;
2020
import java.util.Arrays;
2121
import java.util.Collection;
2222
import java.util.HashSet;
@@ -26,23 +26,23 @@
2626
import static java.util.stream.Collectors.toMap;
2727

2828

29-
public class CurveGroupDefinitionXL {
29+
public class RatesCurveGroupDefinitionXL {
3030
private final ExcelAddIn xl;
3131

32-
public CurveGroupDefinitionXL(ExcelAddIn xl) {
32+
public RatesCurveGroupDefinitionXL(ExcelAddIn xl) {
3333
this.xl = xl;
3434
}
3535

3636
@ExcelFunction(
37-
value = "og.CurveGroupDefinition.build",
37+
value = "og.RatesCurveGroupDefinition.build",
3838
category = "Strata",
3939
isThreadSafe = true
4040
)
4141
@ExcelArguments({
4242
@ExcelArgument("keys"),
4343
@ExcelArgument("values")
4444
})
45-
public CurveGroupDefinition builder(String[] keys, Object[] values) {
45+
public RatesCurveGroupDefinition builder(String[] keys, Object[] values) {
4646
if (keys.length != values.length) {
4747
throw new IllegalArgumentException("Keys and values must be the same length");
4848
}
@@ -54,7 +54,7 @@ public CurveGroupDefinition builder(String[] keys, Object[] values) {
5454
.collect(toMap(i -> keys[i].toLowerCase(), i -> values[i]));
5555

5656
Set<String> usedArgs = new HashSet<String>();
57-
CurveGroupDefinitionBuilder builder = CurveGroupDefinition.builder();
57+
RatesCurveGroupDefinitionBuilder builder = RatesCurveGroupDefinition.builder();
5858

5959
Object name = args.get("name");
6060
if (null != name) {
@@ -96,7 +96,7 @@ public CurveGroupDefinition builder(String[] keys, Object[] values) {
9696
}
9797

9898
@ExcelFunction(
99-
value = "og.CurveGroupDefinition.of",
99+
value = "og.RatesCurveGroupDefinition.of",
100100
category = "Strata",
101101
isThreadSafe = true
102102
)
@@ -105,9 +105,9 @@ public CurveGroupDefinition builder(String[] keys, Object[] values) {
105105
@ExcelArgument("entries"),
106106
@ExcelArgument("curveDefinitions")
107107
})
108-
public CurveGroupDefinition of(CurveGroupName name, CurveGroupEntry[] entries, CurveDefinition[] curveDefinitions) {
109-
Collection<CurveGroupEntry> entries_Collection = Arrays.asList(entries);
108+
public RatesCurveGroupDefinition of(CurveGroupName name, RatesCurveGroupEntry[] entries, CurveDefinition[] curveDefinitions) {
109+
Collection<RatesCurveGroupEntry> entries_Collection = Arrays.asList(entries);
110110
Collection<CurveDefinition> curveDefinitions_Collection = Arrays.asList(curveDefinitions);
111-
return CurveGroupDefinition.of(name, entries_Collection, curveDefinitions_Collection);
111+
return RatesCurveGroupDefinition.of(name, entries_Collection, curveDefinitions_Collection);
112112
}
113113
}

src/main/java/com/exceljava/strataexcel/generated/market/curve/CurveGroupEntryXL.java renamed to src/main/java/com/exceljava/strataexcel/generated/market/curve/RatesCurveGroupEntryXL.java

Lines changed: 6 additions & 6 deletions
Original file line numberDiff line numberDiff line change
@@ -14,22 +14,22 @@
1414
import com.exceljava.jinx.ExcelFunction;
1515
import com.opengamma.strata.basics.currency.Currency;
1616
import com.opengamma.strata.basics.index.Index;
17-
import com.opengamma.strata.market.curve.CurveGroupEntry;
1817
import com.opengamma.strata.market.curve.CurveName;
18+
import com.opengamma.strata.market.curve.RatesCurveGroupEntry;
1919
import java.util.Arrays;
2020
import java.util.HashSet;
2121
import java.util.Set;
2222

2323

24-
public class CurveGroupEntryXL {
24+
public class RatesCurveGroupEntryXL {
2525
private final ExcelAddIn xl;
2626

27-
public CurveGroupEntryXL(ExcelAddIn xl) {
27+
public RatesCurveGroupEntryXL(ExcelAddIn xl) {
2828
this.xl = xl;
2929
}
3030

3131
@ExcelFunction(
32-
value = "og.CurveGroupEntry.of",
32+
value = "og.RatesCurveGroupEntry.of",
3333
category = "Strata",
3434
isThreadSafe = true
3535
)
@@ -38,8 +38,8 @@ public CurveGroupEntryXL(ExcelAddIn xl) {
3838
@ExcelArgument("discountCurrencies"),
3939
@ExcelArgument("indices")
4040
})
41-
public CurveGroupEntry of(CurveName curveName, Currency[] discountCurrencies, Index[] indices) {
42-
CurveGroupEntry.Builder builder = CurveGroupEntry.builder();
41+
public RatesCurveGroupEntry of(CurveName curveName, Currency[] discountCurrencies, Index[] indices) {
42+
RatesCurveGroupEntry.Builder builder = RatesCurveGroupEntry.builder();
4343
builder.curveName(curveName);
4444
if (null != discountCurrencies) {
4545
Set<Currency> ccys = new HashSet<Currency>(Arrays.asList(discountCurrencies));

src/main/java/com/exceljava/strataexcel/generated/pricer/curve/CurveCalibratorXL.java renamed to src/main/java/com/exceljava/strataexcel/generated/pricer/curve/RatesCurveCalibratorXL.java

Lines changed: 14 additions & 14 deletions
Original file line numberDiff line numberDiff line change
@@ -14,35 +14,35 @@
1414
import com.exceljava.jinx.ExcelFunction;
1515
import com.opengamma.strata.basics.ReferenceData;
1616
import com.opengamma.strata.data.MarketData;
17-
import com.opengamma.strata.market.curve.CurveGroupDefinition;
18-
import com.opengamma.strata.pricer.curve.CurveCalibrator;
17+
import com.opengamma.strata.market.curve.RatesCurveGroupDefinition;
18+
import com.opengamma.strata.pricer.curve.RatesCurveCalibrator;
1919
import com.opengamma.strata.pricer.rate.ImmutableRatesProvider;
2020

2121

22-
public class CurveCalibratorXL {
22+
public class RatesCurveCalibratorXL {
2323
private final ExcelAddIn xl;
2424

25-
public CurveCalibratorXL(ExcelAddIn xl) {
25+
public RatesCurveCalibratorXL(ExcelAddIn xl) {
2626
this.xl = xl;
2727
}
2828

2929
@ExcelFunction(
30-
value = "og.CurveCalibrator.calibrate",
30+
value = "og.RatesCurveCalibrator.calibrate",
3131
category = "Strata",
3232
isThreadSafe = true
3333
)
3434
@ExcelArguments({
35-
@ExcelArgument("curveCalibrator"),
35+
@ExcelArgument("ratesCurveCalibrator"),
3636
@ExcelArgument("curveGroupDefn"),
3737
@ExcelArgument("marketData"),
3838
@ExcelArgument("refData")
3939
})
40-
public ImmutableRatesProvider calibrate(CurveCalibrator curveCalibrator, CurveGroupDefinition curveGroupDefn, MarketData marketData, ReferenceData refData) {
41-
return curveCalibrator.calibrate(curveGroupDefn, marketData, refData);
40+
public ImmutableRatesProvider calibrate(RatesCurveCalibrator ratesCurveCalibrator, RatesCurveGroupDefinition curveGroupDefn, MarketData marketData, ReferenceData refData) {
41+
return ratesCurveCalibrator.calibrate(curveGroupDefn, marketData, refData);
4242
}
4343

4444
@ExcelFunction(
45-
value = "og.CurveCalibrator.of",
45+
value = "og.RatesCurveCalibrator.of",
4646
category = "Strata",
4747
isThreadSafe = true
4848
)
@@ -51,16 +51,16 @@ public ImmutableRatesProvider calibrate(CurveCalibrator curveCalibrator, CurveGr
5151
@ExcelArgument("toleranceRel"),
5252
@ExcelArgument("stepMaximum")
5353
})
54-
public CurveCalibrator of(double toleranceAbs, double toleranceRel, int stepMaximum) {
55-
return CurveCalibrator.of(toleranceAbs, toleranceRel, stepMaximum);
54+
public RatesCurveCalibrator of(double toleranceAbs, double toleranceRel, int stepMaximum) {
55+
return RatesCurveCalibrator.of(toleranceAbs, toleranceRel, stepMaximum);
5656
}
5757

5858
@ExcelFunction(
59-
value = "og.CurveCalibrator.standard",
59+
value = "og.RatesCurveCalibrator.standard",
6060
category = "Strata",
6161
isThreadSafe = true
6262
)
63-
public CurveCalibrator standard() {
64-
return CurveCalibrator.standard();
63+
public RatesCurveCalibrator standard() {
64+
return RatesCurveCalibrator.standard();
6565
}
6666
}

‎src/main/java/com/exceljava/strataexcel/generated/product/fx/FxSingleXL.java‎

Lines changed: 10 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -17,6 +17,7 @@
1717
import com.opengamma.strata.product.fx.FxSingle;
1818
import com.opengamma.strata.product.fx.ResolvedFxSingle;
1919
import java.time.LocalDate;
20+
import org.joda.beans.ser.SerDeserializer;
2021

2122

2223
public class FxSingleXL {
@@ -26,6 +27,15 @@ public FxSingleXL(ExcelAddIn xl) {
2627
this.xl = xl;
2728
}
2829

30+
@ExcelFunction(
31+
value = "og.FxSingle.DESERIALIZER",
32+
category = "Strata",
33+
isThreadSafe = true
34+
)
35+
public SerDeserializer DESERIALIZER() {
36+
return FxSingle.DESERIALIZER;
37+
}
38+
2939
@ExcelFunction(
3040
value = "og.FxSingle.of",
3141
category = "Strata",

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