// 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());
}
//-------------------------------------------------------------------------
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());
}