private LongShort parseLongShort(XmlElement swaptionEl, FpmlDocument document, TradeInfoBuilder tradeInfoBuilder) { BuySell buySell = document.parseBuyerSeller(swaptionEl, tradeInfoBuilder); return(buySell.Buy ? LongShort.LONG : LongShort.SHORT); }
// 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"); }