//-------------------------------------------------------------------------
// Converts an FpML 'StubValue' to a {@code FixedRateStubCalculation}.
private FixedRateStubCalculation parseStubCalculationForFixed(XmlElement baseEl, FpmlDocument document)
{
Optional <XmlElement> rateOptEl = baseEl.findChild("stubRate");
if (rateOptEl.Present)
{
return(FixedRateStubCalculation.ofFixedRate(document.parseDecimal(rateOptEl.get())));
}
Optional <XmlElement> amountOptEl = baseEl.findChild("stubAmount");
if (amountOptEl.Present)
{
return(FixedRateStubCalculation.ofKnownAmount(document.parseCurrencyAmount(amountOptEl.get())));
}
throw new FpmlParseException("Invalid stub, fixed rate leg cannot have a floating rate stub");
}
// Converts an FpML 'StubValue' to a {@code IborRateStubCalculation}.
private IborRateStubCalculation parseStubCalculation(XmlElement baseEl, FpmlDocument document)
{
Optional <XmlElement> rateOptEl = baseEl.findChild("stubRate");
if (rateOptEl.Present)
{
return(IborRateStubCalculation.ofFixedRate(document.parseDecimal(rateOptEl.get())));
}
Optional <XmlElement> amountOptEl = baseEl.findChild("stubAmount");
if (amountOptEl.Present)
{
return(IborRateStubCalculation.ofKnownAmount(document.parseCurrencyAmount(amountOptEl.get())));
}
IList <XmlElement> indicesEls = baseEl.getChildren("floatingRate");
if (indicesEls.Count == 1)
{
XmlElement indexEl = indicesEls[0];
document.validateNotPresent(indexEl, "floatingRateMultiplierSchedule");
document.validateNotPresent(indexEl, "spreadSchedule");
document.validateNotPresent(indexEl, "rateTreatment");
document.validateNotPresent(indexEl, "capRateSchedule");
document.validateNotPresent(indexEl, "floorRateSchedule");
return(IborRateStubCalculation.ofIborRate((IborIndex)document.parseIndex(indexEl)));
}
else if (indicesEls.Count == 2)
{
XmlElement index1El = indicesEls[0];
document.validateNotPresent(index1El, "floatingRateMultiplierSchedule");
document.validateNotPresent(index1El, "spreadSchedule");
document.validateNotPresent(index1El, "rateTreatment");
document.validateNotPresent(index1El, "capRateSchedule");
document.validateNotPresent(index1El, "floorRateSchedule");
XmlElement index2El = indicesEls[1];
document.validateNotPresent(index2El, "floatingRateMultiplierSchedule");
document.validateNotPresent(index2El, "spreadSchedule");
document.validateNotPresent(index2El, "rateTreatment");
document.validateNotPresent(index2El, "capRateSchedule");
document.validateNotPresent(index2El, "floorRateSchedule");
return(IborRateStubCalculation.ofIborInterpolatedRate((IborIndex)document.parseIndex(index1El), (IborIndex)document.parseIndex(index2El)));
}
throw new FpmlParseException("Unknown stub structure: " + baseEl);
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'buyerPartyReference'
// 'sellerPartyReference'
// 'adjustedTerminationDate'
// 'paymentDate'
// 'fixingDateOffset'
// 'dayCountFraction'
// 'notional'
// 'fixedRate'
// 'floatingRateIndex'
// 'indexTenor+'
// 'fraDiscounting'
// ignored elements:
// 'Product.model?'
// 'buyerAccountReference?'
// 'sellerAccountReference?'
// 'calculationPeriodNumberOfDays'
// 'additionalPayment*'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement fraEl = tradeEl.getChild("fra");
Fra.Builder fraBuilder = Fra.builder();
// buy/sell and counterparty
fraBuilder.buySell(document.parseBuyerSeller(fraEl, tradeInfoBuilder));
// start date
fraBuilder.startDate(document.parseDate(fraEl.getChild("adjustedEffectiveDate")));
// end date
fraBuilder.endDate(document.parseDate(fraEl.getChild("adjustedTerminationDate")));
// payment date
fraBuilder.paymentDate(document.parseAdjustableDate(fraEl.getChild("paymentDate")));
// fixing offset
fraBuilder.fixingDateOffset(document.parseRelativeDateOffsetDays(fraEl.getChild("fixingDateOffset")));
// dateRelativeTo required to refer to adjustedEffectiveDate, so ignored here
// day count
fraBuilder.dayCount(document.parseDayCountFraction(fraEl.getChild("dayCountFraction")));
// notional
CurrencyAmount notional = document.parseCurrencyAmount(fraEl.getChild("notional"));
fraBuilder.currency(notional.Currency);
fraBuilder.notional(notional.Amount);
// fixed rate
fraBuilder.fixedRate(document.parseDecimal(fraEl.getChild("fixedRate")));
// index
IList <Index> indexes = document.parseIndexes(fraEl);
switch (indexes.Count)
{
case 1:
fraBuilder.index((IborIndex)indexes[0]);
break;
case 2:
fraBuilder.index((IborIndex)indexes[0]);
fraBuilder.indexInterpolated((IborIndex)indexes[1]);
break;
default:
throw new FpmlParseException("Expected one or two indexes, but found " + indexes.Count);
}
// discounting
fraBuilder.discounting(FraDiscountingMethod.of(fraEl.getChild("fraDiscounting").Content));
return(FraTrade.builder().info(tradeInfoBuilder.build()).product(fraBuilder.build()).build());
}