//-------------------------------------------------------------------------
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));
}
// convention-based
// ideally we'd use the trade date plus "period to start" to get the spot/payment date
// but we don't have all the data and it gets complicated in places like TRY, RUB and AED
private static FxSingleTrade parseConvention(CsvRow row, TradeInfo info)
{
CurrencyPair pair = CurrencyPair.parse(row.getValue(CONVENTION_FIELD));
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fxRate = LoaderUtils.parseDouble(row.getValue(FX_RATE_FIELD));
LocalDate paymentDate = LoaderUtils.parseDate(row.getValue(PAYMENT_DATE_FIELD));
Optional <BusinessDayAdjustment> paymentAdj = parsePaymentDateAdjustment(row);
CurrencyAmount amount = CurrencyAmount.of(currency, buySell.normalize(notional));
FxSingle fx = paymentAdj.map(adj => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate, adj)).orElseGet(() => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate));
return(FxSingleTrade.of(info, fx));
}
/// <summary>
/// Parses the data from a CSV row.
/// </summary>
/// <param name="row"> the CSV row object </param>
/// <param name="info"> the trade info object </param>
/// <param name="resolver"> the resolver used to parse additional information. This is not currently used in this method. </param>
/// <returns> the parsed trade, as an instance of <seealso cref="FxSingleTrade"/> </returns>
internal static FxSingleTrade parse(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver)
{
FxSingleTrade trade = parseRow(row, info);
return(resolver.completeTrade(row, trade));
}
// parse full definition
private static FxSingleTrade parseFull(CsvRow row, TradeInfo info)
{
FxSingle fx = parseFxSingle(row, "");
return(FxSingleTrade.of(info, fx));
}
