//-------------------------------------------------------------------------
// accrual schedule
private static PeriodicSchedule parseAccrualSchedule(CsvRow row, string leg)
{
PeriodicSchedule.Builder builder = PeriodicSchedule.builder();
// basics
builder.startDate(LoaderUtils.parseDate(getValueWithFallback(row, leg, START_DATE_FIELD)));
builder.endDate(LoaderUtils.parseDate(getValueWithFallback(row, leg, END_DATE_FIELD)));
builder.frequency(Frequency.parse(getValue(row, leg, FREQUENCY_FIELD)));
// adjustments
BusinessDayAdjustment dateAdj = parseBusinessDayAdjustment(row, leg, DATE_ADJ_CNV_FIELD, DATE_ADJ_CAL_FIELD).orElse(BusinessDayAdjustment.NONE);
Optional <BusinessDayAdjustment> startDateAdj = parseBusinessDayAdjustment(row, leg, START_DATE_CNV_FIELD, START_DATE_CAL_FIELD);
Optional <BusinessDayAdjustment> endDateAdj = parseBusinessDayAdjustment(row, leg, END_DATE_CNV_FIELD, END_DATE_CAL_FIELD);
builder.businessDayAdjustment(dateAdj);
if (startDateAdj.Present && !startDateAdj.get().Equals(dateAdj))
{
builder.startDateBusinessDayAdjustment(startDateAdj.get());
}
if (endDateAdj.Present && !endDateAdj.get().Equals(dateAdj))
{
builder.endDateBusinessDayAdjustment(endDateAdj.get());
}
// optionals
builder.stubConvention(findValueWithFallback(row, leg, STUB_CONVENTION_FIELD).map(s => StubConvention.of(s)).orElse(StubConvention.SMART_INITIAL));
findValue(row, leg, ROLL_CONVENTION_FIELD).map(s => LoaderUtils.parseRollConvention(s)).ifPresent(v => builder.rollConvention(v));
findValue(row, leg, FIRST_REGULAR_START_DATE_FIELD).map(s => LoaderUtils.parseDate(s)).ifPresent(v => builder.firstRegularStartDate(v));
findValue(row, leg, LAST_REGULAR_END_DATE_FIELD).map(s => LoaderUtils.parseDate(s)).ifPresent(v => builder.lastRegularEndDate(v));
parseAdjustableDate(row, leg, OVERRIDE_START_DATE_FIELD, OVERRIDE_START_DATE_CNV_FIELD, OVERRIDE_START_DATE_CAL_FIELD).ifPresent(d => builder.overrideStartDate(d));
return(builder.build());
}
// parse a trade based on a convention
internal static SwapTrade parseWithConvention(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver, string conventionStr)
{
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fixedRate = LoaderUtils.parseDoublePercent(row.getValue(FIXED_RATE_FIELD));
Optional <Period> periodToStartOpt = row.findValue(PERIOD_TO_START_FIELD).map(s => LoaderUtils.parsePeriod(s));
Optional <Tenor> tenorOpt = row.findValue(TENOR_FIELD).map(s => LoaderUtils.parseTenor(s));
Optional <LocalDate> startDateOpt = row.findValue(START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> endDateOpt = row.findValue(END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <RollConvention> rollCnvOpt = row.findValue(ROLL_CONVENTION_FIELD).map(s => LoaderUtils.parseRollConvention(s));
Optional <StubConvention> stubCnvOpt = row.findValue(STUB_CONVENTION_FIELD).map(s => StubConvention.of(s));
Optional <LocalDate> firstRegStartDateOpt = row.findValue(FIRST_REGULAR_START_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
Optional <LocalDate> lastRegEndDateOpt = row.findValue(LAST_REGULAR_END_DATE_FIELD).map(s => LoaderUtils.parseDate(s));
BusinessDayConvention dateCnv = row.findValue(DATE_ADJ_CNV_FIELD).map(s => LoaderUtils.parseBusinessDayConvention(s)).orElse(BusinessDayConventions.MODIFIED_FOLLOWING);
Optional <HolidayCalendarId> dateCalOpt = row.findValue(DATE_ADJ_CAL_FIELD).map(s => HolidayCalendarId.of(s));
double? fxRateOpt = row.findValue(FX_RATE_FIELD).map(str => LoaderUtils.parseDouble(str));
// explicit dates take precedence over relative ones
if (startDateOpt.Present && endDateOpt.Present)
{
if (periodToStartOpt.Present || tenorOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(PERIOD_TO_START_FIELD, TENOR_FIELD));
}
LocalDate startDate = startDateOpt.get();
LocalDate endDate = endDateOpt.get();
SwapTrade trade = createSwap(info, conventionStr, startDate, endDate, buySell, notional, fixedRate, fxRateOpt);
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
// start date + tenor
if (startDateOpt.Present && tenorOpt.Present)
{
if (periodToStartOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, TENOR_FIELD) + " then these fields must not be present " + ImmutableList.of(PERIOD_TO_START_FIELD, END_DATE_FIELD));
}
LocalDate startDate = startDateOpt.get();
Tenor tenor = tenorOpt.get();
LocalDate endDate = startDate.plus(tenor);
SwapTrade trade = createSwap(info, conventionStr, startDate, endDate, buySell, notional, fixedRate, fxRateOpt);
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
// relative dates
if (periodToStartOpt.Present && tenorOpt.Present && info.TradeDate.Present)
{
if (startDateOpt.Present || endDateOpt.Present)
{
throw new System.ArgumentException("Swap trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, PERIOD_TO_START_FIELD, TENOR_FIELD, TRADE_DATE_FIELD) + " then these fields must not be present " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD));
}
LocalDate tradeDate = info.TradeDate.get();
Period periodToStart = periodToStartOpt.get();
Tenor tenor = tenorOpt.get();
if (fxRateOpt.HasValue)
{
XCcyIborIborSwapConvention convention = XCcyIborIborSwapConvention.of(conventionStr);
double notionalFlat = notional * fxRateOpt.Value;
SwapTrade trade = convention.createTrade(tradeDate, periodToStart, tenor, buySell, notional, notionalFlat, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
else
{
SingleCurrencySwapConvention convention = SingleCurrencySwapConvention.of(conventionStr);
SwapTrade trade = convention.createTrade(tradeDate, periodToStart, tenor, buySell, notional, fixedRate, resolver.ReferenceData);
trade = trade.toBuilder().info(info).build();
return(adjustTrade(trade, rollCnvOpt, stubCnvOpt, firstRegStartDateOpt, lastRegEndDateOpt, dateCnv, dateCalOpt));
}
}
// no match
throw new System.ArgumentException("Swap trade had invalid combination of fields. These fields are mandatory:" + ImmutableList.of(BUY_SELL_FIELD, NOTIONAL_FIELD, FIXED_RATE_FIELD) + " and one of these combinations is mandatory: " + ImmutableList.of(CONVENTION_FIELD, TRADE_DATE_FIELD, PERIOD_TO_START_FIELD, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, TENOR_FIELD) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD));
}