//-------------------------------------------------------------------------
// 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());
}
// adjust trade based on additional fields specified
private static SwapTrade adjustTrade(SwapTrade trade, Optional <RollConvention> rollConventionOpt, Optional <StubConvention> stubConventionOpt, Optional <LocalDate> firstRegularStartDateOpt, Optional <LocalDate> lastRegEndDateOpt, BusinessDayConvention dateCnv, Optional <HolidayCalendarId> dateCalOpt)
{
if (!rollConventionOpt.Present && !stubConventionOpt.Present && !firstRegularStartDateOpt.Present && !lastRegEndDateOpt.Present && !dateCalOpt.Present)
{
return(trade);
}
ImmutableList.Builder <SwapLeg> legBuilder = ImmutableList.builder();
foreach (SwapLeg leg in trade.Product.Legs)
{
RateCalculationSwapLeg swapLeg = (RateCalculationSwapLeg)leg;
PeriodicSchedule.Builder scheduleBuilder = swapLeg.AccrualSchedule.toBuilder();
rollConventionOpt.ifPresent(rc => scheduleBuilder.rollConvention(rc));
stubConventionOpt.ifPresent(sc => scheduleBuilder.stubConvention(sc));
firstRegularStartDateOpt.ifPresent(date => scheduleBuilder.firstRegularStartDate(date));
lastRegEndDateOpt.ifPresent(date => scheduleBuilder.lastRegularEndDate(date));
dateCalOpt.ifPresent(cal => scheduleBuilder.businessDayAdjustment(BusinessDayAdjustment.of(dateCnv, cal)));
legBuilder.add(swapLeg.toBuilder().accrualSchedule(scheduleBuilder.build()).build());
}
return(replaceLegs(trade, legBuilder.build()));
}
// 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());
}