//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'payment/payerPartyReference'
// 'payment/receiverPartyReference'
// 'payment/paymentAmount'
// 'payment/paymentDate?'
// ignored elements:
// 'payment/payerAccountReference?'
// 'payment/receiverAccountReference?'
// 'payment/paymentType?'
// 'payment/settlementInformation?'
// 'payment/discountFactor?'
// 'payment/presentValueAmount?'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement bulletEl = tradeEl.getChild("bulletPayment");
XmlElement paymentEl = bulletEl.getChild("payment");
BulletPayment.Builder bulletBuilder = BulletPayment.builder();
// pay/receive and counterparty
bulletBuilder.payReceive(document.parsePayerReceiver(paymentEl, tradeInfoBuilder));
// payment date
bulletBuilder.date(document.parseAdjustableDate(paymentEl.getChild("paymentDate")));
// amount
bulletBuilder.value(document.parseCurrencyAmount(paymentEl.getChild("paymentAmount")));
return(BulletPaymentTrade.builder().info(tradeInfoBuilder.build()).product(bulletBuilder.build()).build());
}
private AdjustablePayment parsePremium(XmlElement swaptionEl, FpmlDocument document, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement premiumEl = swaptionEl.getChild("premium");
PayReceive payReceive = document.parsePayerReceiver(premiumEl, tradeInfoBuilder);
XmlElement paymentAmountEl = premiumEl.getChild("paymentAmount");
CurrencyAmount ccyAmount = document.parseCurrencyAmount(paymentAmountEl);
ccyAmount = payReceive.Pay ? ccyAmount.negated() : ccyAmount;
AdjustableDate paymentDate = premiumEl.findChild("paymentDate").map(el => document.parseAdjustableDate(el)).get();
return(AdjustablePayment.of(ccyAmount, paymentDate));
}
private AdjustableDate parseExpiryDate(XmlElement europeanExerciseEl, FpmlDocument document)
{
XmlElement expirationDate = europeanExerciseEl.getChild("expirationDate");
return(expirationDate.findChild("adjustableDate").map(el => document.parseAdjustableDate(el)).get());
}
// parses the CDS
internal Trade parseCds(FpmlDocument document, XmlElement tradeEl, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement cdsEl = tradeEl.getChild("creditDefaultSwap");
XmlElement generalTermsEl = cdsEl.getChild("generalTerms");
XmlElement feeLegEl = cdsEl.getChild("feeLeg");
document.validateNotPresent(generalTermsEl, "basketReferenceInformation");
document.validateNotPresent(feeLegEl, "singlePayment");
BuySell buySell = document.parseBuyerSeller(generalTermsEl, tradeInfoBuilder);
// effective and termination date are optional in FpML but mandatory for Strata
AdjustableDate effectiveDate = document.parseAdjustableDate(generalTermsEl.getChild("effectiveDate"));
AdjustableDate terminationDate = document.parseAdjustableDate(generalTermsEl.getChild("scheduledTerminationDate"));
BusinessDayAdjustment bda = generalTermsEl.findChild("dateAdjustments").map(el => document.parseBusinessDayAdjustments(el)).orElse(BusinessDayAdjustment.NONE);
PeriodicSchedule.Builder scheduleBuilder = PeriodicSchedule.builder().startDate(effectiveDate.Unadjusted).startDateBusinessDayAdjustment(effectiveDate.Adjustment).endDate(terminationDate.Unadjusted).endDateBusinessDayAdjustment(terminationDate.Adjustment).businessDayAdjustment(bda);
// an upfront fee
Optional <XmlElement> initialPaymentOptEl = feeLegEl.findChild("initialPayment");
AdjustablePayment upfrontFee = null;
if (initialPaymentOptEl.Present)
{
XmlElement initialPaymentEl = initialPaymentOptEl.get();
PayReceive payRec = document.parsePayerReceiver(initialPaymentEl, tradeInfoBuilder);
CurrencyAmount amount = document.parseCurrencyAmount(initialPaymentEl.getChild("paymentAmount"));
LocalDate date = initialPaymentEl.findChild("adjustablePaymentDate").map(el => document.parseDate(el)).orElse(effectiveDate.Unadjusted);
AdjustableDate adjDate = AdjustableDate.of(date, bda);
upfrontFee = payRec.Pay ? AdjustablePayment.ofPay(amount, adjDate) : AdjustablePayment.ofReceive(amount, adjDate);
}
// we require a periodicPayment and fixedAmountCalculation
XmlElement periodicPaymentEl = feeLegEl.getChild("periodicPayment");
scheduleBuilder.frequency(periodicPaymentEl.findChild("paymentFrequency").map(el => document.parseFrequency(el)).orElse(Frequency.P3M));
periodicPaymentEl.findChild("firstPaymentDate").ifPresent(el => scheduleBuilder.firstRegularStartDate(document.parseDate(el)));
periodicPaymentEl.findChild("firstPeriodStartDate").ifPresent(el => scheduleBuilder.overrideStartDate(AdjustableDate.of(document.parseDate(el))));
periodicPaymentEl.findChild("lastRegularPaymentDate").ifPresent(el => scheduleBuilder.lastRegularEndDate(document.parseDate(el)));
scheduleBuilder.rollConvention(periodicPaymentEl.findChild("rollConvention").map(el => document.convertRollConvention(el.Content)).orElse(null));
XmlElement fixedAmountCalcEl = periodicPaymentEl.getChild("fixedAmountCalculation");
double fixedRate = document.parseDecimal(fixedAmountCalcEl.getChild("fixedRate"));
DayCount dayCount = fixedAmountCalcEl.findChild("dayCountFraction").map(el => document.parseDayCountFraction(el)).orElse(DayCounts.ACT_360);
// handle a single protectionTerms element
XmlElement protectionTermEl = cdsEl.getChild("protectionTerms");
CurrencyAmount notional = document.parseCurrencyAmount(protectionTermEl.getChild("calculationAmount"));
// single name CDS
Optional <XmlElement> singleOptEl = generalTermsEl.findChild("referenceInformation");
if (singleOptEl.Present)
{
// we require a single entityId
XmlElement referenceEntityEl = singleOptEl.get().getChild("referenceEntity");
XmlElement entityIdEl = referenceEntityEl.getChild("entityId");
string scheme = entityIdEl.findAttribute("entityIdScheme").orElse("http://www.fpml.org/coding-scheme/external/entity-id-RED-1-0");
string value = entityIdEl.Content;
StandardId entityId = StandardId.of(scheme, value);
Cds cds = Cds.builder().buySell(buySell).legalEntityId(entityId).currency(notional.Currency).notional(notional.Amount).paymentSchedule(scheduleBuilder.build()).fixedRate(fixedRate).dayCount(dayCount).build();
return(CdsTrade.builder().info(tradeInfoBuilder.build()).product(cds).upfrontFee(upfrontFee).build());
}
// CDS index
Optional <XmlElement> indexOptEl = generalTermsEl.findChild("indexReferenceInformation");
if (indexOptEl.Present)
{
string indexName = indexOptEl.get().getChild("indexName").Content;
CdsIndex cdsIndex = CdsIndex.builder().buySell(buySell).cdsIndexId(StandardId.of("CDX-Name", indexName)).currency(notional.Currency).notional(notional.Amount).paymentSchedule(scheduleBuilder.build()).fixedRate(fixedRate).dayCount(dayCount).build();
return(CdsIndexTrade.builder().info(tradeInfoBuilder.build()).product(cdsIndex).upfrontFee(upfrontFee).build());
}
// unknown type
throw new FpmlParseException("FpML CDS must be single name or index");
}
