//-------------------------------------------------------------------------
// fixed rate calculation
private static RateCalculation parseFixedRateCalculation(CsvRow row, string leg, Currency currency, DayCount defaultFixedLegDayCount)
{
FixedRateCalculation.Builder builder = FixedRateCalculation.builder();
// basics
double fixedRate = LoaderUtils.parseDoublePercent(getValue(row, leg, FIXED_RATE_FIELD));
DayCount dayCount = findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).orElse(defaultFixedLegDayCount);
if (dayCount == null)
{
throw new System.ArgumentException("Swap leg must define day count using '" + leg + DAY_COUNT_FIELD + "'");
}
builder.dayCount(dayCount);
builder.rate(ValueSchedule.of(fixedRate));
// initial stub
double?initialStubRateOpt = findValue(row, leg, INITIAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
double?initialStubAmountOpt = findValue(row, leg, INITIAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));
if (initialStubRateOpt.HasValue && initialStubAmountOpt.HasValue)
{
throw new System.ArgumentException("Swap leg must not define both '" + leg + INITIAL_STUB_RATE_FIELD + "' and '" + leg + INITIAL_STUB_AMOUNT_FIELD + "'");
}
initialStubRateOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofFixedRate(v)));
initialStubAmountOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
// final stub
double?finalStubRateOpt = findValue(row, leg, FINAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
double?finalStubAmountOpt = findValue(row, leg, FINAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));
if (finalStubRateOpt.HasValue && finalStubAmountOpt.HasValue)
{
throw new System.ArgumentException("Swap leg must not define both '" + leg + FINAL_STUB_RATE_FIELD + "' and '" + leg + FINAL_STUB_AMOUNT_FIELD + "'");
}
finalStubRateOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofFixedRate(v)));
finalStubAmountOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
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());
}