// parse full definition
private static FxSwapTrade parseFull(CsvRow row, TradeInfo info)
{
FxSingle nearFx = FxSingleTradeCsvLoader.parseFxSingle(row, "");
FxSingle farFx = FxSingleTradeCsvLoader.parseFxSingle(row, "Far ");
return(FxSwapTrade.of(info, FxSwap.of(nearFx, farFx)));
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'nearLeg'
// 'farLeg'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement fxEl = tradeEl.getChild("fxSwap");
FxSingle nearLeg = parseLeg(fxEl.getChild("nearLeg"), document, tradeInfoBuilder);
FxSingle farLeg = parseLeg(fxEl.getChild("farLeg"), document, tradeInfoBuilder);
return(FxSwapTrade.builder().info(tradeInfoBuilder.build()).product(FxSwap.of(nearLeg, farLeg)).build());
}
// convention-based
// ideally we'd use the trade date plus "period to start" to get the spot/payment date
// but we don't have all the data and it gets complicated in places like TRY, RUB and AED
private static FxSwapTrade parseConvention(CsvRow row, TradeInfo info)
{
CurrencyPair pair = CurrencyPair.parse(row.getValue(CONVENTION_FIELD));
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double nearFxRate = LoaderUtils.parseDouble(row.getValue(FX_RATE_FIELD));
double farFxRate = LoaderUtils.parseDouble(row.getValue(FAR_FX_RATE_DATE_FIELD));
LocalDate nearPaymentDate = LoaderUtils.parseDate(row.getValue(PAYMENT_DATE_FIELD));
LocalDate farPaymentDate = LoaderUtils.parseDate(row.getValue(FAR_PAYMENT_DATE_FIELD));
Optional <BusinessDayAdjustment> paymentAdj = FxSingleTradeCsvLoader.parsePaymentDateAdjustment(row);
CurrencyAmount amount = CurrencyAmount.of(currency, buySell.normalize(notional));
FxRate nearRate = FxRate.of(pair, nearFxRate);
FxRate farRate = FxRate.of(pair, farFxRate);
FxSwap fx = paymentAdj.map(adj => FxSwap.of(amount, nearRate, nearPaymentDate, farRate, farPaymentDate, adj)).orElseGet(() => FxSwap.of(amount, nearRate, nearPaymentDate, farRate, farPaymentDate));
return(FxSwapTrade.of(info, fx));
}
