//-------------------------------------------------------------------------
// payment schedule
private static PaymentSchedule parsePaymentSchedule(CsvRow row, string leg, Frequency accrualFrequency)
{
PaymentSchedule.Builder builder = PaymentSchedule.builder();
// basics
builder.paymentFrequency(findValue(row, leg, PAYMENT_FREQUENCY_FIELD).map(s => Frequency.parse(s)).orElse(accrualFrequency));
Optional <DaysAdjustment> offsetOpt = parseDaysAdjustment(row, leg, PAYMENT_OFFSET_DAYS_FIELD, PAYMENT_OFFSET_CAL_FIELD, PAYMENT_OFFSET_ADJ_CNV_FIELD, PAYMENT_OFFSET_ADJ_CAL_FIELD);
builder.paymentDateOffset(offsetOpt.orElse(DaysAdjustment.NONE));
// optionals
findValue(row, leg, PAYMENT_RELATIVE_TO_FIELD).map(s => PaymentRelativeTo.of(s)).ifPresent(v => builder.paymentRelativeTo(v));
findValue(row, leg, COMPOUNDING_METHOD_FIELD).map(s => CompoundingMethod.of(s)).ifPresent(v => builder.compoundingMethod(v));
findValue(row, leg, PAYMENT_FIRST_REGULAR_START_DATE_FIELD).map(s => LoaderUtils.parseDate(s)).ifPresent(v => builder.firstRegularStartDate(v));
findValue(row, leg, PAYMENT_LAST_REGULAR_END_DATE_FIELD).map(s => LoaderUtils.parseDate(s)).ifPresent(v => builder.lastRegularEndDate(v));
return(builder.build());
}
// parses the payment schedule
private PaymentSchedule parseSwapPaymentSchedule(XmlElement legEl, XmlElement calcEl, FpmlDocument document)
{
// supported elements:
// 'paymentDates/paymentFrequency'
// 'paymentDates/payRelativeTo'
// 'paymentDates/paymentDaysOffset?'
// 'paymentDates/paymentDatesAdjustments'
// 'calculationPeriodAmount/calculation/compoundingMethod'
// 'paymentDates/firstPaymentDate?'
// 'paymentDates/lastRegularPaymentDate?'
// ignored elements:
// 'paymentDates/calculationPeriodDatesReference'
// 'paymentDates/resetDatesReference'
// 'paymentDates/valuationDatesReference'
PaymentSchedule.Builder paymentScheduleBuilder = PaymentSchedule.builder();
// payment dates
XmlElement paymentDatesEl = legEl.getChild("paymentDates");
// frequency
paymentScheduleBuilder.paymentFrequency(document.parseFrequency(paymentDatesEl.getChild("paymentFrequency")));
//default for IRS is pay relative to period end; Strata model will apply the defaulting but the values is needed
//here for first and last payment date checks
PaymentRelativeTo payRelativeTo = paymentDatesEl.findChild("payRelativeTo").map(el => parsePayRelativeTo(el)).orElse(PaymentRelativeTo.PERIOD_END);
paymentScheduleBuilder.paymentRelativeTo(payRelativeTo);
// dates
if (payRelativeTo == PaymentRelativeTo.PERIOD_END)
{
// ignore data if not PeriodEnd and hope schedule is worked out correctly by other means
// this provides compatibility for old code that ignored these FpML fields
paymentDatesEl.findChild("firstPaymentDate").map(el => document.parseDate(el)).ifPresent(date => paymentScheduleBuilder.firstRegularStartDate(date));
paymentDatesEl.findChild("lastRegularPaymentDate").map(el => document.parseDate(el)).ifPresent(date => paymentScheduleBuilder.lastRegularEndDate(date));
}
// offset
Optional <XmlElement> paymentOffsetEl = paymentDatesEl.findChild("paymentDaysOffset");
BusinessDayAdjustment payAdjustment = document.parseBusinessDayAdjustments(paymentDatesEl.getChild("paymentDatesAdjustments"));
if (paymentOffsetEl.Present)
{
Period period = document.parsePeriod(paymentOffsetEl.get());
if (period.toTotalMonths() != 0)
{
throw new FpmlParseException("Invalid 'paymentDatesAdjustments' value, expected days-based period: " + period);
}
Optional <XmlElement> dayTypeEl = paymentOffsetEl.get().findChild("dayType");
bool fixingCalendarDays = period.Zero || (dayTypeEl.Present && dayTypeEl.get().Content.Equals("Calendar"));
if (fixingCalendarDays)
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofCalendarDays(period.Days, payAdjustment));
}
else
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofBusinessDays(period.Days, payAdjustment.Calendar));
}
}
else
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofCalendarDays(0, payAdjustment));
}
// compounding
calcEl.findChild("compoundingMethod").ifPresent(compoundingEl =>
{
paymentScheduleBuilder.compoundingMethod(CompoundingMethod.of(compoundingEl.Content));
});
return(paymentScheduleBuilder.build());
}
