//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'swapStream+'
// 'swapStream/buyerPartyReference'
// 'swapStream/sellerPartyReference'
// 'swapStream/calculationPeriodDates'
// 'swapStream/paymentDates'
// 'swapStream/resetDates?'
// 'swapStream/calculationPeriodAmount'
// 'swapStream/stubCalculationPeriodAmount?'
// 'swapStream/principalExchanges?'
// 'swapStream/calculationPeriodAmount/knownAmountSchedule'
// ignored elements:
// 'Product.model?'
// 'swapStream/cashflows?'
// 'swapStream/settlementProvision?'
// 'swapStream/formula?'
// 'earlyTerminationProvision?'
// 'cancelableProvision?'
// 'extendibleProvision?'
// 'additionalPayment*'
// 'additionalTerms?'
// rejected elements:
// 'swapStream/calculationPeriodAmount/calculation/fxLinkedNotionalSchedule'
// 'swapStream/calculationPeriodAmount/calculation/futureValueNotional'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
Swap swap = parseSwap(document, tradeEl, tradeInfoBuilder);
return(SwapTrade.builder().info(tradeInfoBuilder.build()).product(swap).build());
}
//-------------------------------------------------------------------------
public Trade parseTrade(FpmlDocument document, XmlElement tradeEl)
{
// supported elements:
// 'buyerPartyReference'
// 'sellerPartyReference'
// 'adjustedTerminationDate'
// 'paymentDate'
// 'fixingDateOffset'
// 'dayCountFraction'
// 'notional'
// 'fixedRate'
// 'floatingRateIndex'
// 'indexTenor+'
// 'fraDiscounting'
// ignored elements:
// 'Product.model?'
// 'buyerAccountReference?'
// 'sellerAccountReference?'
// 'calculationPeriodNumberOfDays'
// 'additionalPayment*'
TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement fraEl = tradeEl.getChild("fra");
Fra.Builder fraBuilder = Fra.builder();
// buy/sell and counterparty
fraBuilder.buySell(document.parseBuyerSeller(fraEl, tradeInfoBuilder));
// start date
fraBuilder.startDate(document.parseDate(fraEl.getChild("adjustedEffectiveDate")));
// end date
fraBuilder.endDate(document.parseDate(fraEl.getChild("adjustedTerminationDate")));
// payment date
fraBuilder.paymentDate(document.parseAdjustableDate(fraEl.getChild("paymentDate")));
// fixing offset
fraBuilder.fixingDateOffset(document.parseRelativeDateOffsetDays(fraEl.getChild("fixingDateOffset")));
// dateRelativeTo required to refer to adjustedEffectiveDate, so ignored here
// day count
fraBuilder.dayCount(document.parseDayCountFraction(fraEl.getChild("dayCountFraction")));
// notional
CurrencyAmount notional = document.parseCurrencyAmount(fraEl.getChild("notional"));
fraBuilder.currency(notional.Currency);
fraBuilder.notional(notional.Amount);
// fixed rate
fraBuilder.fixedRate(document.parseDecimal(fraEl.getChild("fixedRate")));
// index
IList <Index> indexes = document.parseIndexes(fraEl);
switch (indexes.Count)
{
case 1:
fraBuilder.index((IborIndex)indexes[0]);
break;
case 2:
fraBuilder.index((IborIndex)indexes[0]);
fraBuilder.indexInterpolated((IborIndex)indexes[1]);
break;
default:
throw new FpmlParseException("Expected one or two indexes, but found " + indexes.Count);
}
// discounting
fraBuilder.discounting(FraDiscountingMethod.of(fraEl.getChild("fraDiscounting").Content));
return(FraTrade.builder().info(tradeInfoBuilder.build()).product(fraBuilder.build()).build());
}