private Trade parseNdf(FpmlDocument document, XmlElement fxEl, XmlElement ndfEl, CurrencyAmount curr1Amount, CurrencyAmount curr2Amount, LocalDate valueDate, TradeInfoBuilder tradeInfoBuilder) { // rate XmlElement rateEl = fxEl.getChild("exchangeRate"); double rate = document.parseDecimal(rateEl.getChild("rate")); XmlElement pairEl = rateEl.getChild("quotedCurrencyPair"); Currency curr1 = document.parseCurrency(pairEl.getChild("currency1")); Currency curr2 = document.parseCurrency(pairEl.getChild("currency2")); string basis = pairEl.getChild("quoteBasis").Content; FxRate fxRate; if ("Currency2PerCurrency1".Equals(basis)) { fxRate = FxRate.of(curr1, curr2, rate); } else if ("Currency1PerCurrency2".Equals(basis)) { fxRate = FxRate.of(curr2, curr1, rate); } else { throw new FpmlParseException("Unknown quote basis: " + basis); } // settlement currency Currency settleCurr = document.parseCurrency(ndfEl.getChild("settlementCurrency")); CurrencyAmount settleCurrAmount = curr1Amount.Currency.Equals(settleCurr) ? curr1Amount : curr2Amount; // index XmlElement fixingEl = ndfEl.getChild("fixing"); // only support one of these in pricing model LocalDate fixingDate = document.parseDate(fixingEl.getChild("fixingDate")); DaysAdjustment offset = DaysAdjustment.ofCalendarDays(Math.toIntExact(valueDate.until(fixingDate, DAYS))); XmlElement sourceEl = fixingEl.getChild("fxSpotRateSource"); // required for our model XmlElement primarySourceEl = sourceEl.getChild("primaryRateSource"); string primarySource = primarySourceEl.getChild("rateSource").Content; string primaryPage = primarySourceEl.findChild("rateSourcePage").map(e => e.Content).orElse(""); LocalTime time = document.parseTime(sourceEl.getChild("fixingTime").getChild("hourMinuteTime")); // required for our model HolidayCalendarId calendar = document.parseBusinessCenter(sourceEl.getChild("fixingTime").getChild("businessCenter")); FxIndex index = ImmutableFxIndex.builder().name(primarySource + "/" + primaryPage + "/" + time).currencyPair(CurrencyPair.of(curr1, curr2)).fixingCalendar(calendar).maturityDateOffset(offset).build(); return(FxNdfTrade.builder().info(tradeInfoBuilder.build()).product(FxNdf.builder().settlementCurrencyNotional(settleCurrAmount).agreedFxRate(fxRate).index(index).paymentDate(valueDate).build()).build()); }
private LocalTime parseExpiryTime(XmlElement expirationTimeEl, FpmlDocument document) { return(document.parseTime(expirationTimeEl.getChild("hourMinuteTime"))); }