// Converts an FpML 'NonNegativeAmountSchedule' to a {@code ValueStepSequence}.
private ValueStepSequence parseAmountSchedule(XmlElement scheduleEl, double initialValue, FpmlDocument document)
{
Frequency freq = document.parseFrequency(scheduleEl.getChild("stepFrequency"));
LocalDate start = document.parseDate(scheduleEl.getChild("firstNotionalStepDate"));
LocalDate end = document.parseDate(scheduleEl.getChild("lastNotionalStepDate"));
Optional <XmlElement> amountElOpt = scheduleEl.findChild("notionalStepAmount");
if (amountElOpt.Present)
{
double amount = document.parseDecimal(amountElOpt.get());
return(ValueStepSequence.of(start, end, freq, ValueAdjustment.ofDeltaAmount(amount)));
}
double rate = document.parseDecimal(scheduleEl.getChild("notionalStepRate"));
string relativeTo = scheduleEl.findChild("stepRelativeTo").map(el => el.Content).orElse("Previous");
if (relativeTo.Equals("Previous"))
{
return(ValueStepSequence.of(start, end, freq, ValueAdjustment.ofDeltaMultiplier(rate)));
}
else if (relativeTo.Equals("Initial"))
{
// data model does not support 'relative to initial' but can calculate amount here
double amount = initialValue * rate;
return(ValueStepSequence.of(start, end, freq, ValueAdjustment.ofDeltaAmount(amount)));
}
else
{
throw new FpmlParseException(Messages.format("Unknown 'stepRelativeTo' value '{}', expected 'Initial' or 'Previous'", relativeTo));
}
}
// Converts an FpML 'Schedule' to a {@code ValueSchedule}.
private ValueSchedule parseSchedule(XmlElement scheduleEl, double initialValue, ValueStepSequence seq, FpmlDocument document)
{
IList <XmlElement> stepEls = scheduleEl.getChildren("step");
ImmutableList.Builder <ValueStep> stepBuilder = ImmutableList.builder();
foreach (XmlElement stepEl in stepEls)
{
LocalDate stepDate = document.parseDate(stepEl.getChild("stepDate"));
double stepValue = document.parseDecimal(stepEl.getChild("stepValue"));
stepBuilder.add(ValueStep.of(stepDate, ValueAdjustment.ofReplace(stepValue)));
}
return(ValueSchedule.builder().initialValue(initialValue).steps(stepBuilder.build()).stepSequence(seq).build());
}
// parses the accrual schedule
private PeriodicSchedule parseSwapAccrualSchedule(XmlElement legEl, FpmlDocument document)
{
// supported elements:
// 'calculationPeriodDates/effectiveDate'
// 'calculationPeriodDates/relativeEffectiveDate'
// 'calculationPeriodDates/terminationDate'
// 'calculationPeriodDates/relativeTerminationDate'
// 'calculationPeriodDates/calculationPeriodDates'
// 'calculationPeriodDates/calculationPeriodDatesAdjustments'
// 'calculationPeriodDates/firstPeriodStartDate?'
// 'calculationPeriodDates/firstRegularPeriodStartDate?'
// 'calculationPeriodDates/lastRegularPeriodEndDate?'
// 'calculationPeriodDates/stubPeriodType?'
// 'calculationPeriodDates/calculationPeriodFrequency'
// ignored elements:
// 'calculationPeriodDates/firstCompoundingPeriodEndDate?'
PeriodicSchedule.Builder accrualScheduleBuilder = PeriodicSchedule.builder();
// calculation dates
XmlElement calcPeriodDatesEl = legEl.getChild("calculationPeriodDates");
// business day adjustments
BusinessDayAdjustment bda = document.parseBusinessDayAdjustments(calcPeriodDatesEl.getChild("calculationPeriodDatesAdjustments"));
accrualScheduleBuilder.businessDayAdjustment(bda);
// start date
AdjustableDate startDate = calcPeriodDatesEl.findChild("effectiveDate").map(el => document.parseAdjustableDate(el)).orElseGet(() => document.parseAdjustedRelativeDateOffset(calcPeriodDatesEl.getChild("relativeEffectiveDate")));
accrualScheduleBuilder.startDate(startDate.Unadjusted);
if (!bda.Equals(startDate.Adjustment))
{
accrualScheduleBuilder.startDateBusinessDayAdjustment(startDate.Adjustment);
}
// end date
AdjustableDate endDate = calcPeriodDatesEl.findChild("terminationDate").map(el => document.parseAdjustableDate(el)).orElseGet(() => document.parseAdjustedRelativeDateOffset(calcPeriodDatesEl.getChild("relativeTerminationDate")));
accrualScheduleBuilder.endDate(endDate.Unadjusted);
if (!bda.Equals(endDate.Adjustment))
{
accrualScheduleBuilder.endDateBusinessDayAdjustment(endDate.Adjustment);
}
// first period start date
calcPeriodDatesEl.findChild("firstPeriodStartDate").ifPresent(el =>
{
accrualScheduleBuilder.overrideStartDate(document.parseAdjustableDate(el));
});
// first regular date
calcPeriodDatesEl.findChild("firstRegularPeriodStartDate").ifPresent(el =>
{
accrualScheduleBuilder.firstRegularStartDate(document.parseDate(el));
});
// last regular date
calcPeriodDatesEl.findChild("lastRegularPeriodEndDate").ifPresent(el =>
{
accrualScheduleBuilder.lastRegularEndDate(document.parseDate(el));
});
// stub type
calcPeriodDatesEl.findChild("stubPeriodType").ifPresent(el =>
{
accrualScheduleBuilder.stubConvention(parseStubConvention(el, document));
});
// frequency
XmlElement freqEl = calcPeriodDatesEl.getChild("calculationPeriodFrequency");
Frequency accrualFreq = document.parseFrequency(freqEl);
accrualScheduleBuilder.frequency(accrualFreq);
// roll convention
accrualScheduleBuilder.rollConvention(document.convertRollConvention(freqEl.getChild("rollConvention").Content));
return(accrualScheduleBuilder.build());
}
// parses the payment schedule
private PaymentSchedule parseSwapPaymentSchedule(XmlElement legEl, XmlElement calcEl, FpmlDocument document)
{
// supported elements:
// 'paymentDates/paymentFrequency'
// 'paymentDates/payRelativeTo'
// 'paymentDates/paymentDaysOffset?'
// 'paymentDates/paymentDatesAdjustments'
// 'calculationPeriodAmount/calculation/compoundingMethod'
// 'paymentDates/firstPaymentDate?'
// 'paymentDates/lastRegularPaymentDate?'
// ignored elements:
// 'paymentDates/calculationPeriodDatesReference'
// 'paymentDates/resetDatesReference'
// 'paymentDates/valuationDatesReference'
PaymentSchedule.Builder paymentScheduleBuilder = PaymentSchedule.builder();
// payment dates
XmlElement paymentDatesEl = legEl.getChild("paymentDates");
// frequency
paymentScheduleBuilder.paymentFrequency(document.parseFrequency(paymentDatesEl.getChild("paymentFrequency")));
//default for IRS is pay relative to period end; Strata model will apply the defaulting but the values is needed
//here for first and last payment date checks
PaymentRelativeTo payRelativeTo = paymentDatesEl.findChild("payRelativeTo").map(el => parsePayRelativeTo(el)).orElse(PaymentRelativeTo.PERIOD_END);
paymentScheduleBuilder.paymentRelativeTo(payRelativeTo);
// dates
if (payRelativeTo == PaymentRelativeTo.PERIOD_END)
{
// ignore data if not PeriodEnd and hope schedule is worked out correctly by other means
// this provides compatibility for old code that ignored these FpML fields
paymentDatesEl.findChild("firstPaymentDate").map(el => document.parseDate(el)).ifPresent(date => paymentScheduleBuilder.firstRegularStartDate(date));
paymentDatesEl.findChild("lastRegularPaymentDate").map(el => document.parseDate(el)).ifPresent(date => paymentScheduleBuilder.lastRegularEndDate(date));
}
// offset
Optional <XmlElement> paymentOffsetEl = paymentDatesEl.findChild("paymentDaysOffset");
BusinessDayAdjustment payAdjustment = document.parseBusinessDayAdjustments(paymentDatesEl.getChild("paymentDatesAdjustments"));
if (paymentOffsetEl.Present)
{
Period period = document.parsePeriod(paymentOffsetEl.get());
if (period.toTotalMonths() != 0)
{
throw new FpmlParseException("Invalid 'paymentDatesAdjustments' value, expected days-based period: " + period);
}
Optional <XmlElement> dayTypeEl = paymentOffsetEl.get().findChild("dayType");
bool fixingCalendarDays = period.Zero || (dayTypeEl.Present && dayTypeEl.get().Content.Equals("Calendar"));
if (fixingCalendarDays)
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofCalendarDays(period.Days, payAdjustment));
}
else
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofBusinessDays(period.Days, payAdjustment.Calendar));
}
}
else
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofCalendarDays(0, payAdjustment));
}
// compounding
calcEl.findChild("compoundingMethod").ifPresent(compoundingEl =>
{
paymentScheduleBuilder.compoundingMethod(CompoundingMethod.of(compoundingEl.Content));
});
return(paymentScheduleBuilder.build());
}
//-------------------------------------------------------------------------
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());
}