コード例 #1
0
        // parses the accrual schedule
        private PeriodicSchedule parseSwapAccrualSchedule(XmlElement legEl, FpmlDocument document)
        {
            // supported elements:
            //  'calculationPeriodDates/effectiveDate'
            //  'calculationPeriodDates/relativeEffectiveDate'
            //  'calculationPeriodDates/terminationDate'
            //  'calculationPeriodDates/relativeTerminationDate'
            //  'calculationPeriodDates/calculationPeriodDates'
            //  'calculationPeriodDates/calculationPeriodDatesAdjustments'
            //  'calculationPeriodDates/firstPeriodStartDate?'
            //  'calculationPeriodDates/firstRegularPeriodStartDate?'
            //  'calculationPeriodDates/lastRegularPeriodEndDate?'
            //  'calculationPeriodDates/stubPeriodType?'
            //  'calculationPeriodDates/calculationPeriodFrequency'
            // ignored elements:
            //  'calculationPeriodDates/firstCompoundingPeriodEndDate?'
            PeriodicSchedule.Builder accrualScheduleBuilder = PeriodicSchedule.builder();
            // calculation dates
            XmlElement calcPeriodDatesEl = legEl.getChild("calculationPeriodDates");
            // business day adjustments
            BusinessDayAdjustment bda = document.parseBusinessDayAdjustments(calcPeriodDatesEl.getChild("calculationPeriodDatesAdjustments"));

            accrualScheduleBuilder.businessDayAdjustment(bda);
            // start date
            AdjustableDate startDate = calcPeriodDatesEl.findChild("effectiveDate").map(el => document.parseAdjustableDate(el)).orElseGet(() => document.parseAdjustedRelativeDateOffset(calcPeriodDatesEl.getChild("relativeEffectiveDate")));

            accrualScheduleBuilder.startDate(startDate.Unadjusted);
            if (!bda.Equals(startDate.Adjustment))
            {
                accrualScheduleBuilder.startDateBusinessDayAdjustment(startDate.Adjustment);
            }
            // end date
            AdjustableDate endDate = calcPeriodDatesEl.findChild("terminationDate").map(el => document.parseAdjustableDate(el)).orElseGet(() => document.parseAdjustedRelativeDateOffset(calcPeriodDatesEl.getChild("relativeTerminationDate")));

            accrualScheduleBuilder.endDate(endDate.Unadjusted);
            if (!bda.Equals(endDate.Adjustment))
            {
                accrualScheduleBuilder.endDateBusinessDayAdjustment(endDate.Adjustment);
            }
            // first period start date
            calcPeriodDatesEl.findChild("firstPeriodStartDate").ifPresent(el =>
            {
                accrualScheduleBuilder.overrideStartDate(document.parseAdjustableDate(el));
            });
            // first regular date
            calcPeriodDatesEl.findChild("firstRegularPeriodStartDate").ifPresent(el =>
            {
                accrualScheduleBuilder.firstRegularStartDate(document.parseDate(el));
            });
            // last regular date
            calcPeriodDatesEl.findChild("lastRegularPeriodEndDate").ifPresent(el =>
            {
                accrualScheduleBuilder.lastRegularEndDate(document.parseDate(el));
            });
            // stub type
            calcPeriodDatesEl.findChild("stubPeriodType").ifPresent(el =>
            {
                accrualScheduleBuilder.stubConvention(parseStubConvention(el, document));
            });
            // frequency
            XmlElement freqEl      = calcPeriodDatesEl.getChild("calculationPeriodFrequency");
            Frequency  accrualFreq = document.parseFrequency(freqEl);

            accrualScheduleBuilder.frequency(accrualFreq);
            // roll convention
            accrualScheduleBuilder.rollConvention(document.convertRollConvention(freqEl.getChild("rollConvention").Content));
            return(accrualScheduleBuilder.build());
        }