//-------------------------------------------------------------------------
// notional schedule
private static NotionalSchedule parseNotionalSchedule(CsvRow row, string leg)
{
NotionalSchedule.Builder builder = NotionalSchedule.builder();
// basics
Currency currency = Currency.of(getValueWithFallback(row, leg, CURRENCY_FIELD));
builder.currency(currency);
builder.amount(ValueSchedule.of(LoaderUtils.parseDouble(getValueWithFallback(row, leg, NOTIONAL_FIELD))));
// fx reset
Optional <FxIndex> fxIndexOpt = findValue(row, leg, FX_RESET_INDEX_FIELD).map(s => FxIndex.of(s));
Optional <Currency> notionalCurrencyOpt = findValue(row, leg, NOTIONAL_CURRENCY_FIELD).map(s => Currency.of(s));
Optional <FxResetFixingRelativeTo> fxFixingRelativeToOpt = findValue(row, leg, FX_RESET_RELATIVE_TO_FIELD).map(s => FxResetFixingRelativeTo.of(s));
Optional <DaysAdjustment> fxResetAdjOpt = parseDaysAdjustment(row, leg, FX_RESET_OFFSET_DAYS_FIELD, FX_RESET_OFFSET_CAL_FIELD, FX_RESET_OFFSET_ADJ_CNV_FIELD, FX_RESET_OFFSET_ADJ_CAL_FIELD);
if (fxIndexOpt.Present)
{
FxIndex fxIndex = fxIndexOpt.get();
FxResetCalculation.Builder fxResetBuilder = FxResetCalculation.builder();
fxResetBuilder.index(fxIndex);
fxResetBuilder.referenceCurrency(notionalCurrencyOpt.orElse(fxIndex.CurrencyPair.other(currency)));
fxFixingRelativeToOpt.ifPresent(v => fxResetBuilder.fixingRelativeTo(v));
fxResetAdjOpt.ifPresent(v => fxResetBuilder.fixingDateOffset(v));
builder.fxReset(fxResetBuilder.build());
}
else if (notionalCurrencyOpt.Present || fxFixingRelativeToOpt.Present || fxResetAdjOpt.Present)
{
throw new System.ArgumentException("Swap trade FX Reset must define field '" + leg + FX_RESET_INDEX_FIELD + "'");
}
// optionals
findValue(row, leg, NOTIONAL_INITIAL_EXCHANGE_FIELD).map(s => LoaderUtils.parseBoolean(s)).ifPresent(v => builder.initialExchange(v));
findValue(row, leg, NOTIONAL_INTERMEDIATE_EXCHANGE_FIELD).map(s => LoaderUtils.parseBoolean(s)).ifPresent(v => builder.intermediateExchange(v));
findValue(row, leg, NOTIONAL_FINAL_EXCHANGE_FIELD).map(s => LoaderUtils.parseBoolean(s)).ifPresent(v => builder.finalExchange(v));
return(builder.build());
}
// 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());
}