// convention-based
// ideally we'd use the trade date plus "period to start" to get the spot/payment date
// but we don't have all the data and it gets complicated in places like TRY, RUB and AED
private static FxSingleTrade parseConvention(CsvRow row, TradeInfo info)
{
CurrencyPair pair = CurrencyPair.parse(row.getValue(CONVENTION_FIELD));
BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD));
Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD));
double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD));
double fxRate = LoaderUtils.parseDouble(row.getValue(FX_RATE_FIELD));
LocalDate paymentDate = LoaderUtils.parseDate(row.getValue(PAYMENT_DATE_FIELD));
Optional <BusinessDayAdjustment> paymentAdj = parsePaymentDateAdjustment(row);
CurrencyAmount amount = CurrencyAmount.of(currency, buySell.normalize(notional));
FxSingle fx = paymentAdj.map(adj => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate, adj)).orElseGet(() => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate));
return(FxSingleTrade.of(info, fx));
}
private FxSingle parseLeg(XmlElement legEl, FpmlDocument document, TradeInfoBuilder tradeInfoBuilder)
{
// supported elements:
// 'exchangedCurrency1/paymentAmount'
// 'exchangedCurrency2/paymentAmount'
// 'valueDate'
// ignored elements:
// 'dealtCurrency?'
// 'exchangeRate'
// rejected elements:
// 'nonDeliverableSettlement?'
// 'currency1ValueDate'
// 'currency2ValueDate'
document.validateNotPresent(legEl, "currency1ValueDate");
document.validateNotPresent(legEl, "currency2ValueDate");
document.validateNotPresent(legEl, "nonDeliverableSettlement");
XmlElement curr1El = legEl.getChild("exchangedCurrency1");
XmlElement curr2El = legEl.getChild("exchangedCurrency2");
// pay/receive and counterparty
PayReceive curr1PayReceive = document.parsePayerReceiver(curr1El, tradeInfoBuilder);
PayReceive curr2PayReceive = document.parsePayerReceiver(curr2El, tradeInfoBuilder);
if (curr1PayReceive == curr2PayReceive)
{
throw new FpmlParseException("FX single leg currencies must not have same Pay/Receive direction");
}
// amount
CurrencyAmount curr1Amount = document.parseCurrencyAmount(curr1El.getChild("paymentAmount"));
CurrencyAmount curr2Amount = document.parseCurrencyAmount(curr2El.getChild("paymentAmount"));
if (curr1PayReceive == PayReceive.PAY)
{
curr1Amount = curr1Amount.negative();
curr2Amount = curr2Amount.positive();
}
else
{
curr1Amount = curr1Amount.positive();
curr2Amount = curr2Amount.negative();
}
// payment date
LocalDate valueDate = document.parseDate(legEl.getChild("valueDate"));
// result
return(FxSingle.of(curr1Amount, curr2Amount, valueDate));
}
// parse an FxSingle
internal static FxSingle parseFxSingle(CsvRow row, string prefix)
{
PayReceive direction1 = LoaderUtils.parsePayReceive(row.getValue(prefix + LEG_1_DIRECTION_FIELD));
Currency currency1 = Currency.of(row.getValue(prefix + LEG_1_CURRENCY_FIELD));
double notional1 = LoaderUtils.parseDouble(row.getValue(prefix + LEG_1_NOTIONAL_FIELD));
LocalDate paymentDate1 = row.findValue(prefix + LEG_1_PAYMENT_DATE_FIELD).map(str => LoaderUtils.parseDate(str)).orElseGet(() => LoaderUtils.parseDate(row.getValue(prefix + PAYMENT_DATE_FIELD)));
PayReceive direction2 = LoaderUtils.parsePayReceive(row.getValue(prefix + LEG_2_DIRECTION_FIELD));
Currency currency2 = Currency.of(row.getValue(prefix + LEG_2_CURRENCY_FIELD));
double notional2 = LoaderUtils.parseDouble(row.getValue(prefix + LEG_2_NOTIONAL_FIELD));
LocalDate paymentDate2 = row.findValue(prefix + LEG_2_PAYMENT_DATE_FIELD).map(str => LoaderUtils.parseDate(str)).orElseGet(() => LoaderUtils.parseDate(row.getValue(prefix + PAYMENT_DATE_FIELD)));
Optional <BusinessDayAdjustment> paymentAdj = parsePaymentDateAdjustment(row);
if (direction1.Equals(direction2))
{
throw new System.ArgumentException(Messages.format("FxSingle legs must not have the same direction: {}, {}", direction1.ToString(), direction2.ToString()));
}
Payment payment1 = Payment.of(currency1, direction1.normalize(notional1), paymentDate1);
Payment payment2 = Payment.of(currency2, direction2.normalize(notional2), paymentDate2);
return(paymentAdj.map(adj => FxSingle.of(payment1, payment2, adj)).orElseGet(() => FxSingle.of(payment1, payment2)));
}
internal static FxVanillaOption sut2()
{
FxSingle fxProduct = FxSingle.of(CurrencyAmount.of(EUR, -NOTIONAL), CurrencyAmount.of(GBP, NOTIONAL * 0.9), PAYMENT_DATE);
return(FxVanillaOption.builder().longShort(LongShort.SHORT).expiryDate(LocalDate.of(2015, 2, 15)).expiryTime(LocalTime.of(12, 45)).expiryZone(ZoneId.of("GMT")).underlying(fxProduct).build());
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'exchangedCurrency1/paymentAmount'
// 'exchangedCurrency2/paymentAmount'
// 'valueDate'
// 'currency1ValueDate'
// 'currency2ValueDate'
// 'nonDeliverableSettlement?'
// ignored elements:
// 'dealtCurrency?'
// 'exchangeRate'
XmlElement fxEl = tradeEl.getChild("fxSingleLeg");
// amounts
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement curr1El = fxEl.getChild("exchangedCurrency1");
XmlElement curr2El = fxEl.getChild("exchangedCurrency2");
// pay/receive and counterparty
PayReceive curr1PayReceive = document.parsePayerReceiver(curr1El, tradeInfoBuilder);
PayReceive curr2PayReceive = document.parsePayerReceiver(curr2El, tradeInfoBuilder);
if (curr1PayReceive == curr2PayReceive)
{
throw new FpmlParseException("FX single leg currencies must not have same Pay/Receive direction");
}
// amount
CurrencyAmount curr1Amount = document.parseCurrencyAmount(curr1El.getChild("paymentAmount"));
CurrencyAmount curr2Amount = document.parseCurrencyAmount(curr2El.getChild("paymentAmount"));
if (curr1PayReceive == PayReceive.PAY)
{
curr1Amount = curr1Amount.negative();
curr2Amount = curr2Amount.positive();
}
else
{
curr1Amount = curr1Amount.positive();
curr2Amount = curr2Amount.negative();
}
// payment date
LocalDate currency1Date = document.parseDate(fxEl.findChild("currency1ValueDate").orElseGet(() => fxEl.getChild("valueDate")));
LocalDate currency2Date = document.parseDate(fxEl.findChild("currency2ValueDate").orElseGet(() => fxEl.getChild("valueDate")));
// FxSingle or NDF
Optional <XmlElement> ndfEl = fxEl.findChild("nonDeliverableSettlement");
if (!ndfEl.Present)
{
return(FxSingleTrade.builder().info(tradeInfoBuilder.build()).product(FxSingle.of(Payment.of(curr1Amount, currency1Date), Payment.of(curr2Amount, currency2Date))).build());
}
if (!currency1Date.Equals(currency2Date))
{
throw new FpmlParseException("FxNdf only supports a single payment date");
}
return(parseNdf(document, fxEl, ndfEl.get(), curr1Amount, curr2Amount, currency1Date, tradeInfoBuilder));
}