//-------------------------------------------------------------------------
        // fixed rate calculation
        private static RateCalculation parseFixedRateCalculation(CsvRow row, string leg, Currency currency, DayCount defaultFixedLegDayCount)
        {
            FixedRateCalculation.Builder builder = FixedRateCalculation.builder();
            // basics
            double   fixedRate = LoaderUtils.parseDoublePercent(getValue(row, leg, FIXED_RATE_FIELD));
            DayCount dayCount  = findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).orElse(defaultFixedLegDayCount);

            if (dayCount == null)
            {
                throw new System.ArgumentException("Swap leg must define day count using '" + leg + DAY_COUNT_FIELD + "'");
            }
            builder.dayCount(dayCount);
            builder.rate(ValueSchedule.of(fixedRate));
            // initial stub
            double?initialStubRateOpt   = findValue(row, leg, INITIAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
            double?initialStubAmountOpt = findValue(row, leg, INITIAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));

            if (initialStubRateOpt.HasValue && initialStubAmountOpt.HasValue)
            {
                throw new System.ArgumentException("Swap leg must not define both '" + leg + INITIAL_STUB_RATE_FIELD + "' and  '" + leg + INITIAL_STUB_AMOUNT_FIELD + "'");
            }
            initialStubRateOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofFixedRate(v)));
            initialStubAmountOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
            // final stub
            double?finalStubRateOpt   = findValue(row, leg, FINAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
            double?finalStubAmountOpt = findValue(row, leg, FINAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));

            if (finalStubRateOpt.HasValue && finalStubAmountOpt.HasValue)
            {
                throw new System.ArgumentException("Swap leg must not define both '" + leg + FINAL_STUB_RATE_FIELD + "' and  '" + leg + FINAL_STUB_AMOUNT_FIELD + "'");
            }
            finalStubRateOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofFixedRate(v)));
            finalStubAmountOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
            return(builder.build());
        }
예제 #2
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        //-------------------------------------------------------------------------
        // Converts an FpML 'StubValue' to a {@code FixedRateStubCalculation}.
        private FixedRateStubCalculation parseStubCalculationForFixed(XmlElement baseEl, FpmlDocument document)
        {
            Optional <XmlElement> rateOptEl = baseEl.findChild("stubRate");

            if (rateOptEl.Present)
            {
                return(FixedRateStubCalculation.ofFixedRate(document.parseDecimal(rateOptEl.get())));
            }
            Optional <XmlElement> amountOptEl = baseEl.findChild("stubAmount");

            if (amountOptEl.Present)
            {
                return(FixedRateStubCalculation.ofKnownAmount(document.parseCurrencyAmount(amountOptEl.get())));
            }
            throw new FpmlParseException("Invalid stub, fixed rate leg cannot have a floating rate stub");
        }