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