//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'generalTerms/effectiveDate'
// 'generalTerms/scheduledTerminationDate'
// 'generalTerms/buyerSellerModel'
// 'generalTerms/dateAdjustments'
// 'generalTerms/referenceInformation'
// 'generalTerms/indexReferenceInformation'
// 'feeLeg/initialPayment'
// 'feeLeg/periodicPayment'
// 'protectionTerms/calculationAmount'
// ignored elements:
// 'generalTerms/additionalTerm'
// 'generalTerms/substitution'
// 'generalTerms/modifiedEquityDelivery'
// 'feeLeg/periodicPayment/adjustedPaymentDates'
// 'feeLeg/marketFixedRate'
// 'feeLeg/paymentDelay'
// 'feeLeg/initialPoints'
// 'feeLeg/marketPrice'
// 'feeLeg/quotationStyle'
// 'protectionTerms/*'
// 'cashSettlementTerms'
// 'physicalSettlementTerms'
// rejected elements:
// 'generalTerms/basketReferenceInformation'
// 'feeLeg/singlePayment'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
return(parseCds(document, tradeEl, tradeInfoBuilder));
}
//-------------------------------------------------------------------------
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());
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'exchangedCurrency1/paymentAmount'
// 'exchangedCurrency2/paymentAmount'
// 'valueDate'
// 'currency1ValueDate'
// 'currency2ValueDate'
// 'nonDeliverableSettlement?'
// ignored elements:
// 'dealtCurrency?'
// 'exchangeRate'
XmlElement fxEl = tradeEl.getChild("fxSingleLeg");
// amounts
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement curr1El = fxEl.getChild("exchangedCurrency1");
XmlElement curr2El = fxEl.getChild("exchangedCurrency2");
// pay/receive and counterparty
PayReceive curr1PayReceive = document.parsePayerReceiver(curr1El, tradeInfoBuilder);
PayReceive curr2PayReceive = document.parsePayerReceiver(curr2El, tradeInfoBuilder);
if (curr1PayReceive == curr2PayReceive)
{
throw new FpmlParseException("FX single leg currencies must not have same Pay/Receive direction");
}
// amount
CurrencyAmount curr1Amount = document.parseCurrencyAmount(curr1El.getChild("paymentAmount"));
CurrencyAmount curr2Amount = document.parseCurrencyAmount(curr2El.getChild("paymentAmount"));
if (curr1PayReceive == PayReceive.PAY)
{
curr1Amount = curr1Amount.negative();
curr2Amount = curr2Amount.positive();
}
else
{
curr1Amount = curr1Amount.positive();
curr2Amount = curr2Amount.negative();
}
// payment date
LocalDate currency1Date = document.parseDate(fxEl.findChild("currency1ValueDate").orElseGet(() => fxEl.getChild("valueDate")));
LocalDate currency2Date = document.parseDate(fxEl.findChild("currency2ValueDate").orElseGet(() => fxEl.getChild("valueDate")));
// FxSingle or NDF
Optional <XmlElement> ndfEl = fxEl.findChild("nonDeliverableSettlement");
if (!ndfEl.Present)
{
return(FxSingleTrade.builder().info(tradeInfoBuilder.build()).product(FxSingle.of(Payment.of(curr1Amount, currency1Date), Payment.of(curr2Amount, currency2Date))).build());
}
if (!currency1Date.Equals(currency2Date))
{
throw new FpmlParseException("FxNdf only supports a single payment date");
}
return(parseNdf(document, fxEl, ndfEl.get(), curr1Amount, curr2Amount, currency1Date, tradeInfoBuilder));
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'nearLeg'
// 'farLeg'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement fxEl = tradeEl.getChild("fxSwap");
FxSingle nearLeg = parseLeg(fxEl.getChild("nearLeg"), document, tradeInfoBuilder);
FxSingle farLeg = parseLeg(fxEl.getChild("farLeg"), document, tradeInfoBuilder);
return(FxSwapTrade.builder().info(tradeInfoBuilder.build()).product(FxSwap.of(nearLeg, farLeg)).build());
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'swaption'
// 'swaption/buyerPartyReference'
// 'swaption/sellerPartyReference'
// 'swaption/premium/payerPartyReference'
// 'swaption/premium/receiverPartyReference'
// 'swaption/premium/paymentAmount'
// 'swaption/premium/paymentDate'
// 'swaption/europeanExercise'
// 'swaption/europeanExercise/expirationDate'
// 'swaption/europeanExercise/expirationDate/adjustableDate'
// 'swaption/europeanExercise/expirationDate/adjustableDate/unadjustedDate'
// 'swaption/europeanExercise/expirationDate/adjustableDate/dateAdjustments'
// 'swaption/europeanExercise/expirationTime
// 'swaption/swap'
// ignored elements:
// 'Product.model?'
// 'swaption/calculationAgent'
// 'swaption/assetClass'
// 'swaption/primaryAssestClass'
// 'swaption/productId'
// 'swaption/productType'
// 'swaption/secondaryAssetClass'
// 'swaption/sellerAccountReference'
// 'swaption/sellerPartyReference'
// 'swaption/swaptionAdjustedDates'
// 'swaption/swaptionStraddle'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement swaptionEl = tradeEl.getChild("swaption");
XmlElement europeanExerciseEl = swaptionEl.getChild("europeanExercise");
XmlElement expirationTimeEl = europeanExerciseEl.getChild("expirationTime");
// Parse the premium, expiry date, expiry time and expiry zone, longShort and swaption settlement.
AdjustablePayment premium = parsePremium(swaptionEl, document, tradeInfoBuilder);
AdjustableDate expiryDate = parseExpiryDate(europeanExerciseEl, document);
LocalTime expiryTime = parseExpiryTime(expirationTimeEl, document);
ZoneId expiryZone = parseExpiryZone(expirationTimeEl, document);
LongShort longShort = parseLongShort(swaptionEl, document, tradeInfoBuilder);
SwaptionSettlement swaptionSettlement = parseSettlement(swaptionEl, document);
//Re use the Swap FpML parser to parse the underlying swap on this swaption.
SwapFpmlParserPlugin swapParser = SwapFpmlParserPlugin.INSTANCE;
Swap swap = swapParser.parseSwap(document, swaptionEl, tradeInfoBuilder);
Swaption swaption = Swaption.builder().expiryDate(expiryDate).expiryZone(expiryZone).expiryTime(expiryTime).longShort(longShort).swaptionSettlement(swaptionSettlement).underlying(swap).build();
return(SwaptionTrade.builder().info(tradeInfoBuilder.build()).product(swaption).premium(premium).build());
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'payerPartyReference'
// 'receiverPartyReference'
// 'startDate'
// 'maturityDate'
// 'principal'
// 'fixedRate'
// 'dayCountFraction'
// ignored elements:
// 'payerAccountReference?'
// 'receiverAccountReference?'
// 'interest?'
// rejected elements:
// 'features?'
// 'payment*'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement termEl = tradeEl.getChild("termDeposit");
document.validateNotPresent(termEl, "features");
document.validateNotPresent(termEl, "payment");
TermDeposit.Builder termBuilder = TermDeposit.builder();
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(termEl, tradeInfoBuilder);
termBuilder.buySell(BuySell.ofBuy(payReceive.Pay));
// start date
termBuilder.startDate(document.parseDate(termEl.getChild("startDate")));
// maturity date
termBuilder.endDate(document.parseDate(termEl.getChild("maturityDate")));
// principal
CurrencyAmount principal = document.parseCurrencyAmount(termEl.getChild("principal"));
termBuilder.currency(principal.Currency);
termBuilder.notional(principal.Amount);
// fixed rate
termBuilder.rate(document.parseDecimal(termEl.getChild("fixedRate")));
// day count
termBuilder.dayCount(document.parseDayCountFraction(termEl.getChild("dayCountFraction")));
return(TermDepositTrade.builder().info(tradeInfoBuilder.build()).product(termBuilder.build()).build());
}
