// 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());
}
// Converts an FpML 'fixedRateSchedule' to a {@code RateCalculation}.
private RateCalculation parseFixed(XmlElement legEl, XmlElement calcEl, XmlElement fixedEl, FpmlDocument document)
{
// supported elements:
// 'calculationPeriodAmount/calculation/fixedRateSchedule'
// 'calculationPeriodAmount/calculation/dayCountFraction'
// 'stubCalculationPeriodAmount'
// rejected elements:
// 'resetDates'
// 'stubCalculationPeriodAmount/initialStub/floatingRate'
// 'stubCalculationPeriodAmount/finalStub/floatingRate'
document.validateNotPresent(legEl, "resetDates");
FixedRateCalculation.Builder fixedRateBuilder = FixedRateCalculation.builder();
fixedRateBuilder.rate(parseSchedule(fixedEl, document));
fixedRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction")));
// stub
legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl =>
{
stubsEl.findChild("initialStub").ifPresent(el =>
{
fixedRateBuilder.initialStub(parseStubCalculationForFixed(el, document));
});
stubsEl.findChild("finalStub").ifPresent(el =>
{
fixedRateBuilder.finalStub(parseStubCalculationForFixed(el, document));
});
});
return(fixedRateBuilder.build());
}
// parses the swap
internal Swap parseSwap(FpmlDocument document, XmlElement tradeEl, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement swapEl = tradeEl.getChild("swap");
ImmutableList <XmlElement> legEls = swapEl.getChildren("swapStream");
ImmutableList.Builder <SwapLeg> legsBuilder = ImmutableList.builder();
foreach (XmlElement legEl in legEls)
{
// calculation
XmlElement calcPeriodAmountEl = legEl.getChild("calculationPeriodAmount");
XmlElement calcEl = calcPeriodAmountEl.findChild("calculation").orElse(XmlElement.ofChildren("calculation", ImmutableList.of()));
PeriodicSchedule accrualSchedule = parseSwapAccrualSchedule(legEl, document);
PaymentSchedule paymentSchedule = parseSwapPaymentSchedule(legEl, calcEl, document);
// known amount or rate calculation
Optional <XmlElement> knownAmountOptEl = calcPeriodAmountEl.findChild("knownAmountSchedule");
if (knownAmountOptEl.Present)
{
XmlElement knownAmountEl = knownAmountOptEl.get();
document.validateNotPresent(legEl, "stubCalculationPeriodAmount");
document.validateNotPresent(legEl, "resetDates");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
ValueSchedule amountSchedule = parseSchedule(knownAmountEl, document);
// build
legsBuilder.add(KnownAmountSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).amount(amountSchedule).currency(document.parseCurrency(knownAmountEl.getChild("currency"))).build());
}
else
{
document.validateNotPresent(calcEl, "fxLinkedNotionalSchedule");
document.validateNotPresent(calcEl, "futureValueNotional");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
NotionalSchedule notionalSchedule = parseSwapNotionalSchedule(legEl, calcEl, document);
RateCalculation calculation = parseSwapCalculation(legEl, calcEl, accrualSchedule, document);
// build
legsBuilder.add(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(calculation).build());
}
}
return(Swap.of(legsBuilder.build()));
}
// checks that the index on a stub matches the main index (this is handling bad FpML)
private void checkStubForOvernightIndex(XmlElement baseEl, FpmlDocument document, OvernightIndex index)
{
document.validateNotPresent(baseEl, "stubAmount");
document.validateNotPresent(baseEl, "stubRate");
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");
Index parsed = document.parseIndex(indexEl);
if (parsed.Equals(index))
{
return;
}
throw new FpmlParseException("OvernightIndex swap cannot have a different index in the stub: " + baseEl);
}
throw new FpmlParseException("Unknown stub structure: " + baseEl);
}
// 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);
}
// Converts an FpML 'FloatingRateCalculation' to a {@code RateCalculation}.
private RateCalculation parseFloat(XmlElement legEl, XmlElement calcEl, XmlElement floatingEl, PeriodicSchedule accrualSchedule, FpmlDocument document)
{
// supported elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateIndex'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateMultiplierSchedule?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule*'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/initialRate?' (Ibor only)
// 'calculationPeriodAmount/calculation/floatingRateCalculation/averagingMethod?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/negativeInterestRateTreatment?'
// 'calculationPeriodAmount/calculation/dayCountFraction'
// 'resetDates/resetRelativeTo'
// 'resetDates/fixingDates'
// 'resetDates/rateCutOffDaysOffset' (OIS only)
// 'resetDates/resetFrequency'
// 'resetDates/resetDatesAdjustments'
// 'stubCalculationPeriodAmount/initalStub' (Ibor only, Overnight must match index)
// 'stubCalculationPeriodAmount/finalStub' (Ibor only, Overnight must match index)
// ignored elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation/finalRateRounding?'
// 'calculationPeriodAmount/calculation/discounting?'
// 'resetDates/calculationPeriodDatesReference'
// rejected elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule/type?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/rateTreatment?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/capRateSchedule?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floorRateSchedule?'
// 'resetDates/initialFixingDate'
document.validateNotPresent(floatingEl, "rateTreatment");
document.validateNotPresent(floatingEl, "capRateSchedule");
document.validateNotPresent(floatingEl, "floorRateSchedule");
Index index = document.parseIndex(floatingEl);
if (index is IborIndex)
{
IborRateCalculation.Builder iborRateBuilder = IborRateCalculation.builder();
// day count
iborRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction")));
// index
iborRateBuilder.index((IborIndex)document.parseIndex(floatingEl));
// gearing
floatingEl.findChild("floatingRateMultiplierSchedule").ifPresent(el =>
{
iborRateBuilder.gearing(parseSchedule(el, document));
});
// spread
if (floatingEl.getChildren("spreadSchedule").size() > 1)
{
throw new FpmlParseException("Only one 'spreadSchedule' is supported");
}
floatingEl.findChild("spreadSchedule").ifPresent(el =>
{
document.validateNotPresent(el, "type");
iborRateBuilder.spread(parseSchedule(el, document));
});
// initial fixed rate
floatingEl.findChild("initialRate").ifPresent(el =>
{
iborRateBuilder.firstRegularRate(document.parseDecimal(el));
});
// negative rates
floatingEl.findChild("negativeInterestRateTreatment").ifPresent(el =>
{
iborRateBuilder.negativeRateMethod(parseNegativeInterestRateTreatment(el));
});
// resets
legEl.findChild("resetDates").ifPresent(resetDatesEl =>
{
document.validateNotPresent(resetDatesEl, "initialFixingDate");
document.validateNotPresent(resetDatesEl, "rateCutOffDaysOffset");
resetDatesEl.findChild("resetRelativeTo").ifPresent(el =>
{
iborRateBuilder.fixingRelativeTo(parseResetRelativeTo(el));
});
iborRateBuilder.fixingDateOffset(document.parseRelativeDateOffsetDays(resetDatesEl.getChild("fixingDates")));
Frequency resetFreq = document.parseFrequency(resetDatesEl.getChild("resetFrequency"));
if (!accrualSchedule.Frequency.Equals(resetFreq))
{
ResetSchedule.Builder resetScheduleBuilder = ResetSchedule.builder();
resetScheduleBuilder.resetFrequency(resetFreq);
floatingEl.findChild("averagingMethod").ifPresent(el =>
{
resetScheduleBuilder.resetMethod(parseAveragingMethod(el));
});
resetScheduleBuilder.businessDayAdjustment(document.parseBusinessDayAdjustments(resetDatesEl.getChild("resetDatesAdjustments")));
iborRateBuilder.resetPeriods(resetScheduleBuilder.build());
}
});
// stubs
legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl =>
{
stubsEl.findChild("initialStub").ifPresent(el =>
{
iborRateBuilder.initialStub(parseStubCalculation(el, document));
});
stubsEl.findChild("finalStub").ifPresent(el =>
{
iborRateBuilder.finalStub(parseStubCalculation(el, document));
});
});
return(iborRateBuilder.build());
}
else if (index is OvernightIndex)
{
OvernightRateCalculation.Builder overnightRateBuilder = OvernightRateCalculation.builder();
document.validateNotPresent(floatingEl, "initialRate"); // TODO: should support this in the model
// stubs
legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl =>
{
stubsEl.findChild("initialStub").ifPresent(el =>
{
checkStubForOvernightIndex(el, document, (OvernightIndex)index);
});
stubsEl.findChild("finalStub").ifPresent(el =>
{
checkStubForOvernightIndex(el, document, (OvernightIndex)index);
});
});
// day count
overnightRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction")));
// index
overnightRateBuilder.index((OvernightIndex)document.parseIndex(floatingEl));
// accrual method
FloatingRateName idx = FloatingRateName.of(floatingEl.getChild("floatingRateIndex").Content);
if (idx.Type == FloatingRateType.OVERNIGHT_COMPOUNDED)
{
overnightRateBuilder.accrualMethod(OvernightAccrualMethod.COMPOUNDED);
}
// gearing
floatingEl.findChild("floatingRateMultiplierSchedule").ifPresent(el =>
{
overnightRateBuilder.gearing(parseSchedule(el, document));
});
// spread
if (floatingEl.getChildren("spreadSchedule").size() > 1)
{
throw new FpmlParseException("Only one 'spreadSchedule' is supported");
}
floatingEl.findChild("spreadSchedule").ifPresent(el =>
{
document.validateNotPresent(el, "type");
overnightRateBuilder.spread(parseSchedule(el, document));
});
// negative rates
floatingEl.findChild("negativeInterestRateTreatment").ifPresent(el =>
{
overnightRateBuilder.negativeRateMethod(parseNegativeInterestRateTreatment(el));
});
// rate cut off
legEl.findChild("resetDates").ifPresent(resetDatesEl =>
{
document.validateNotPresent(resetDatesEl, "initialFixingDate");
resetDatesEl.findChild("rateCutOffDaysOffset").ifPresent(el =>
{
Period cutOff = document.parsePeriod(el);
if (cutOff.toTotalMonths() != 0)
{
throw new FpmlParseException("Invalid 'rateCutOffDaysOffset' value, expected days-based period: " + cutOff);
}
overnightRateBuilder.rateCutOffDays(-cutOff.Days);
});
});
return(overnightRateBuilder.build());
}
else
{
throw new FpmlParseException("Invalid 'floatingRateIndex' type, not Ibor or Overnight");
}
}