//-------------------------------------------------------------------------
// inflation rate calculation
private static RateCalculation parseInflationRateCalculation(CsvRow row, string leg, PriceIndex priceIndex, Currency currency)
{
InflationRateCalculation.Builder builder = InflationRateCalculation.builder();
// basics
builder.index(priceIndex);
builder.lag(parseInflationLag(findValue(row, leg, INFLATION_LAG_FIELD), currency));
builder.indexCalculationMethod(parseInflationMethod(findValue(row, leg, INFLATION_METHOD_FIELD), currency));
// optionals
findValue(row, leg, INFLATION_FIRST_INDEX_VALUE_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.firstIndexValue(v));
findValue(row, leg, GEARING_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.gearing(ValueSchedule.of(v)));
return(builder.build());
}
// Converts an FpML 'InflationRateCalculation' to a {@code RateCalculation}.
private RateCalculation parseInflation(XmlElement legEl, XmlElement calcEl, XmlElement inflationEl, PeriodicSchedule accrualSchedule, FpmlDocument document)
{
// supported elements:
// 'calculationPeriodAmount/calculation/inflationRateCalculation'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/floatingRateIndex'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/indexTenor?'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/floatingRateMultiplierSchedule?'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/inflationLag'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/interpolationMethod'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/initialIndexLevel?'
// 'calculationPeriodAmount/calculation/dayCountFraction'
// ignored elements:
// 'calculationPeriodAmount/calculation/inflationRateCalculation/indexSource'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/mainPublication'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/fallbackBondApplicable'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/initialRate?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/finalRateRounding?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/averagingMethod?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/negativeInterestRateTreatment?'
// 'resetDates'
// rejected elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule*'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/rateTreatment?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/capRateSchedule?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floorRateSchedule?'
// 'stubCalculationPeriodAmount'
document.validateNotPresent(inflationEl, "spreadSchedule");
document.validateNotPresent(inflationEl, "rateTreatment");
document.validateNotPresent(inflationEl, "capRateSchedule");
document.validateNotPresent(inflationEl, "floorRateSchedule");
document.validateNotPresent(legEl, "stubCalculationPeriodAmount"); // TODO: parse fixed stub rate
InflationRateCalculation.Builder builder = InflationRateCalculation.builder();
// index
builder.index(document.parsePriceIndex(inflationEl));
// lag
builder.lag(document.parsePeriod(inflationEl.getChild("inflationLag")));
// interpolation
string interpStr = inflationEl.getChild("interpolationMethod").Content;
builder.indexCalculationMethod(interpStr.ToLower(Locale.ENGLISH).Contains("linear") ? PriceIndexCalculationMethod.INTERPOLATED : PriceIndexCalculationMethod.MONTHLY);
// initial index
inflationEl.findChild("initialIndexLevel").ifPresent(el =>
{
builder.firstIndexValue(document.parseDecimal(el));
});
// gearing
inflationEl.findChild("floatingRateMultiplierSchedule").ifPresent(el =>
{
builder.gearing(parseSchedule(el, document));
});
return(builder.build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates a leg based on this convention.
/// <para>
/// This returns a leg based on the specified date.
/// The notional is unsigned, with pay/receive determining the direction of the leg.
/// If the leg is 'Pay', the fixed rate is paid to the counterparty.
/// If the leg is 'Receive', the fixed rate is received from the counterparty.
///
/// </para>
/// </summary>
/// <param name="startDate"> the start date </param>
/// <param name="endDate"> the end date </param>
/// <param name="payReceive"> determines if the leg is to be paid or received </param>
/// <param name="notional"> the business day adjustment to apply to accrual schedule dates </param>
/// <returns> the leg </returns>
public RateCalculationSwapLeg toLeg(LocalDate startDate, LocalDate endDate, PayReceive payReceive, double notional)
{
return(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(PeriodicSchedule.builder().startDate(startDate).endDate(endDate).frequency(Frequency.TERM).businessDayAdjustment(accrualBusinessDayAdjustment).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(paymentDateOffset).build()).calculation(InflationRateCalculation.builder().index(index).indexCalculationMethod(indexCalculationMethod).lag(lag).build()).notionalSchedule(NotionalSchedule.of(Currency, notional)).build());
}
internal static CapitalIndexedBond sut2()
{
return(CapitalIndexedBond.builder().securityId(SECURITY_ID2).notional(5.0e7).currency(GBP).dayCount(NL_365).rateCalculation(InflationRateCalculation.builder().index(GB_RPI).lag(Period.ofMonths(2)).indexCalculationMethod(INTERPOLATED).firstIndexValue(124.556).build()).exCouponPeriod(EX_COUPON).legalEntityId(LegalEntityId.of("OG-Ticker", "US-Govt-1")).yieldConvention(GB_IL_FLOAT).settlementDateOffset(DaysAdjustment.ofBusinessDays(2, GBLO)).accrualSchedule(PeriodicSchedule.of(START, END, FREQUENCY, BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, GBLO), StubConvention.NONE, RollConventions.NONE)).build());
}
