// variable notional
private static SwapTrade parseVariableNotional(SwapTrade trade, IList <CsvRow> variableRows)
{
// parse notionals
ImmutableList.Builder <ValueStep> stepBuilder = ImmutableList.builder();
foreach (CsvRow row in variableRows)
{
LocalDate date = LoaderUtils.parseDate(row.getValue(START_DATE_FIELD));
row.findValue(NOTIONAL_FIELD).map(str => LoaderUtils.parseDouble(str)).ifPresent(notional => stepBuilder.add(ValueStep.of(date, ValueAdjustment.ofReplace(notional))));
}
ImmutableList <ValueStep> varNotionals = stepBuilder.build();
if (varNotionals.Empty)
{
return(trade);
}
// adjust the trade, inserting the variable notionals
ImmutableList.Builder <SwapLeg> legBuilder = ImmutableList.builder();
foreach (SwapLeg swapLeg in trade.Product.Legs)
{
RateCalculationSwapLeg leg = (RateCalculationSwapLeg)swapLeg;
NotionalSchedule notionalSchedule = leg.NotionalSchedule.toBuilder().amount(ValueSchedule.of(leg.NotionalSchedule.Amount.InitialValue, varNotionals)).build();
legBuilder.add(leg.toBuilder().notionalSchedule(notionalSchedule).build());
}
return(replaceLegs(trade, legBuilder.build()));
}
static DiscountingCmsLegPricerTest()
{
NOTIONAL_STEPS.Add(ValueStep.of(1, ValueAdjustment.ofReplace(NOTIONAL_VALUE_1)));
NOTIONAL_STEPS.Add(ValueStep.of(2, ValueAdjustment.ofReplace(NOTIONAL_VALUE_2)));
NOTIONAL_STEPS.Add(ValueStep.of(3, ValueAdjustment.ofReplace(NOTIONAL_VALUE_3)));
}
// variable fixed rate
private static SwapTrade parseVariableRates(SwapTrade trade, IList <CsvRow> variableRows)
{
ImmutableList.Builder <ValueStep> stepBuilder = ImmutableList.builder();
foreach (CsvRow row in variableRows)
{
LocalDate date = LoaderUtils.parseDate(row.getValue(START_DATE_FIELD));
row.findValue(FIXED_RATE_FIELD).map(str => LoaderUtils.parseDoublePercent(str)).ifPresent(fixedRate => stepBuilder.add(ValueStep.of(date, ValueAdjustment.ofReplace(fixedRate))));
}
ImmutableList <ValueStep> varRates = stepBuilder.build();
if (varRates.Empty)
{
return(trade);
}
// adjust the trade, inserting the variable rates
ImmutableList.Builder <SwapLeg> legBuilder = ImmutableList.builder();
foreach (SwapLeg swapLeg in trade.Product.Legs)
{
RateCalculationSwapLeg leg = (RateCalculationSwapLeg)swapLeg;
if (leg.Calculation is FixedRateCalculation)
{
FixedRateCalculation baseCalc = (FixedRateCalculation)leg.Calculation;
FixedRateCalculation calc = baseCalc.toBuilder().rate(ValueSchedule.of(baseCalc.Rate.InitialValue, varRates)).build();
legBuilder.add(leg.toBuilder().calculation(calc).build());
}
else
{
legBuilder.add(leg);
}
}
return(replaceLegs(trade, legBuilder.build()));
}
