// adjust trade based on additional fields specified private static FraTrade adjustTrade(FraTrade trade, BusinessDayConvention dateCnv, Optional <HolidayCalendarId> dateCalOpt) { if (!dateCalOpt.Present) { return(trade); } Fra.Builder builder = trade.Product.toBuilder(); dateCalOpt.ifPresent(cal => builder.businessDayAdjustment(BusinessDayAdjustment.of(dateCnv, cal))); return(trade.toBuilder().product(builder.build()).build()); }
// parse the row to a trade private static FraTrade parseRow(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) { 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 <FraConvention> conventionOpt = row.findValue(CONVENTION_FIELD).map(s => FraConvention.of(s)); Optional <Period> periodToStartOpt = row.findValue(PERIOD_TO_START_FIELD).map(s => LoaderUtils.parsePeriod(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 <IborIndex> indexOpt = row.findValue(INDEX_FIELD).map(s => IborIndex.of(s)); Optional <IborIndex> interpolatedOpt = row.findValue(INTERPOLATED_INDEX_FIELD).map(s => IborIndex.of(s)); Optional <DayCount> dayCountOpt = row.findValue(DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(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)); // not parsing paymentDate, fixingDateOffset, discounting // use convention if available if (conventionOpt.Present) { if (indexOpt.Present || interpolatedOpt.Present || dayCountOpt.Present) { throw new System.ArgumentException("Fra trade had invalid combination of fields. When '" + CONVENTION_FIELD + "' is present these fields must not be present: " + ImmutableList.of(INDEX_FIELD, INTERPOLATED_INDEX_FIELD, DAY_COUNT_FIELD)); } FraConvention convention = conventionOpt.get(); // explicit dates take precedence over relative ones if (startDateOpt.Present && endDateOpt.Present) { if (periodToStartOpt.Present) { throw new System.ArgumentException("Fra 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)); } LocalDate startDate = startDateOpt.get(); LocalDate endDate = endDateOpt.get(); // NOTE: payment date assumed to be the start date FraTrade trade = convention.toTrade(info, startDate, endDate, startDate, buySell, notional, fixedRate); return(adjustTrade(trade, dateCnv, dateCalOpt)); } // relative dates if (periodToStartOpt.Present && info.TradeDate.Present) { if (startDateOpt.Present || endDateOpt.Present) { throw new System.ArgumentException("Fra trade had invalid combination of fields. When these fields are found " + ImmutableList.of(CONVENTION_FIELD, PERIOD_TO_START_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(); FraTrade trade = convention.createTrade(tradeDate, periodToStart, buySell, notional, fixedRate, resolver.ReferenceData); trade = trade.toBuilder().info(info).build(); return(adjustTrade(trade, dateCnv, dateCalOpt)); } } else if (startDateOpt.Present && endDateOpt.Present && indexOpt.Present) { LocalDate startDate = startDateOpt.get(); LocalDate endDate = endDateOpt.get(); IborIndex index = indexOpt.get(); Fra.Builder builder = Fra.builder().buySell(buySell).notional(notional).startDate(startDate).endDate(endDate).fixedRate(fixedRate).index(index); interpolatedOpt.ifPresent(interpolated => builder.indexInterpolated(interpolated)); dayCountOpt.ifPresent(dayCount => builder.dayCount(dayCount)); return(adjustTrade(FraTrade.of(info, builder.build()), dateCnv, dateCalOpt)); } // no match throw new System.ArgumentException("Fra 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) + " or " + ImmutableList.of(CONVENTION_FIELD, START_DATE_FIELD, END_DATE_FIELD) + " or " + ImmutableList.of(START_DATE_FIELD, END_DATE_FIELD, INDEX_FIELD)); }