// Converts an FpML 'NonNegativeAmountSchedule' to a {@code ValueStepSequence}.
private ValueStepSequence parseAmountSchedule(XmlElement scheduleEl, double initialValue, FpmlDocument document)
{
Frequency freq = document.parseFrequency(scheduleEl.getChild("stepFrequency"));
LocalDate start = document.parseDate(scheduleEl.getChild("firstNotionalStepDate"));
LocalDate end = document.parseDate(scheduleEl.getChild("lastNotionalStepDate"));
Optional <XmlElement> amountElOpt = scheduleEl.findChild("notionalStepAmount");
if (amountElOpt.Present)
{
double amount = document.parseDecimal(amountElOpt.get());
return(ValueStepSequence.of(start, end, freq, ValueAdjustment.ofDeltaAmount(amount)));
}
double rate = document.parseDecimal(scheduleEl.getChild("notionalStepRate"));
string relativeTo = scheduleEl.findChild("stepRelativeTo").map(el => el.Content).orElse("Previous");
if (relativeTo.Equals("Previous"))
{
return(ValueStepSequence.of(start, end, freq, ValueAdjustment.ofDeltaMultiplier(rate)));
}
else if (relativeTo.Equals("Initial"))
{
// data model does not support 'relative to initial' but can calculate amount here
double amount = initialValue * rate;
return(ValueStepSequence.of(start, end, freq, ValueAdjustment.ofDeltaAmount(amount)));
}
else
{
throw new FpmlParseException(Messages.format("Unknown 'stepRelativeTo' value '{}', expected 'Initial' or 'Previous'", relativeTo));
}
}
// parses the notional schedule
private NotionalSchedule parseSwapNotionalSchedule(XmlElement legEl, XmlElement calcEl, FpmlDocument document)
{
// supported elements:
// 'principalExchanges/initialExchange'
// 'principalExchanges/finalExchange'
// 'principalExchanges/intermediateExchange'
// 'calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule'
// 'calculationPeriodAmount/calculation/notionalSchedule/notionalStepParameters'
NotionalSchedule.Builder notionalScheduleBuilder = NotionalSchedule.builder();
// exchanges
legEl.findChild("principalExchanges").ifPresent(el =>
{
notionalScheduleBuilder.initialExchange(bool.Parse(el.getChild("initialExchange").Content));
notionalScheduleBuilder.intermediateExchange(bool.Parse(el.getChild("intermediateExchange").Content));
notionalScheduleBuilder.finalExchange(bool.Parse(el.getChild("finalExchange").Content));
});
// notional schedule
XmlElement notionalEl = calcEl.getChild("notionalSchedule");
XmlElement stepScheduleEl = notionalEl.getChild("notionalStepSchedule");
Optional <XmlElement> paramScheduleElOpt = notionalEl.findChild("notionalStepParameters");
double initialValue = document.parseDecimal(stepScheduleEl.getChild("initialValue"));
ValueStepSequence seq = paramScheduleElOpt.map(el => parseAmountSchedule(el, initialValue, document)).orElse(null);
notionalScheduleBuilder.amount(parseSchedule(stepScheduleEl, initialValue, seq, document));
notionalScheduleBuilder.currency(document.parseCurrency(stepScheduleEl.getChild("currency")));
return(notionalScheduleBuilder.build());
}
public virtual void test_summarize_knownAmountVarying()
{
Swap test = Swap.of(KnownAmountSwapLeg.builder().accrualSchedule(PeriodicSchedule.of(date(2018, 2, 12), date(2020, 2, 12), Frequency.P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, false)).amount(ValueSchedule.builder().initialValue(145_000).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(-20_000))).build()).currency(GBP).payReceive(PAY).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).build());
assertEquals(test.summaryDescription(), "2Y Pay GBP 145k variable : 12Feb18-12Feb20");
}
public virtual void test_summarize_irs_weird()
{
PeriodicSchedule accrual = PeriodicSchedule.of(date(2018, 2, 12), date(2020, 2, 12), Frequency.P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, false);
PaymentSchedule payment = PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build();
NotionalSchedule notional = NotionalSchedule.of(GBP, ValueSchedule.builder().initialValue(1_000_000).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(-50_000))).build());
RateCalculationSwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(FixedRateCalculation.builder().dayCount(ACT_360).rate(ValueSchedule.builder().initialValue(0.0012).stepSequence(ValueStepSequence.of(date(2018, 8, 12), date(2019, 8, 12), Frequency.P6M, ofDeltaAmount(0.0001))).build()).build()).build();
RateCalculationSwapLeg recLeg = RateCalculationSwapLeg.builder().payReceive(RECEIVE).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(IborRateCalculation.builder().index(IborIndices.GBP_LIBOR_3M).gearing(ValueSchedule.of(1.1)).spread(ValueSchedule.of(0.002)).build()).build();
Swap test = Swap.of(payLeg, recLeg);
assertEquals(test.summaryDescription(), "2Y GBP 1mm variable Rec GBP-LIBOR-3M * 1.1 + 0.2% / Pay 0.12% variable : 12Feb18-12Feb20");
}
// Converts an FpML 'Schedule' to a {@code ValueSchedule}.
private ValueSchedule parseSchedule(XmlElement scheduleEl, double initialValue, ValueStepSequence seq, FpmlDocument document)
{
IList <XmlElement> stepEls = scheduleEl.getChildren("step");
ImmutableList.Builder <ValueStep> stepBuilder = ImmutableList.builder();
foreach (XmlElement stepEl in stepEls)
{
LocalDate stepDate = document.parseDate(stepEl.getChild("stepDate"));
double stepValue = document.parseDecimal(stepEl.getChild("stepValue"));
stepBuilder.add(ValueStep.of(stepDate, ValueAdjustment.ofReplace(stepValue)));
}
return(ValueSchedule.builder().initialValue(initialValue).steps(stepBuilder.build()).stepSequence(seq).build());
}
