//-------------------------------------------------------------------------
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());
}
// parse the trade info
private TradeInfo parseTradeInfo(CsvRow row)
{
TradeInfoBuilder infoBuilder = TradeInfo.builder();
string scheme = row.findField(ID_SCHEME_FIELD).orElse(DEFAULT_TRADE_SCHEME);
row.findValue(ID_FIELD).ifPresent(id => infoBuilder.id(StandardId.of(scheme, id)));
string schemeCpty = row.findValue(CPTY_SCHEME_FIELD).orElse(DEFAULT_CPTY_SCHEME);
row.findValue(CPTY_FIELD).ifPresent(cpty => infoBuilder.counterparty(StandardId.of(schemeCpty, cpty)));
row.findValue(TRADE_DATE_FIELD).ifPresent(dateStr => infoBuilder.tradeDate(LoaderUtils.parseDate(dateStr)));
row.findValue(TRADE_TIME_FIELD).ifPresent(timeStr => infoBuilder.tradeTime(LoaderUtils.parseTime(timeStr)));
row.findValue(TRADE_ZONE_FIELD).ifPresent(zoneStr => infoBuilder.zone(ZoneId.of(zoneStr)));
row.findValue(SETTLEMENT_DATE_FIELD).ifPresent(dateStr => infoBuilder.settlementDate(LoaderUtils.parseDate(dateStr)));
resolver.parseTradeInfo(row, infoBuilder);
return(infoBuilder.build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Converts an FpML 'BuyerSeller.model' to a {@code BuySell}.
/// <para>
/// The <seealso cref="TradeInfo"/> builder is updated with the counterparty.
///
/// </para>
/// </summary>
/// <param name="baseEl"> the FpML payer receiver model element </param>
/// <param name="tradeInfoBuilder"> the builder of the trade info </param>
/// <returns> the pay/receive flag </returns>
/// <exception cref="RuntimeException"> if unable to parse </exception>
public BuySell parseBuyerSeller(XmlElement baseEl, TradeInfoBuilder tradeInfoBuilder)
{
string buyerPartyReference = baseEl.getChild("buyerPartyReference").getAttribute(FpmlDocument.HREF);
string sellerPartyReference = baseEl.getChild("sellerPartyReference").getAttribute(FpmlDocument.HREF);
if (ourPartyHrefIds.Empty || ourPartyHrefIds.contains(buyerPartyReference))
{
tradeInfoBuilder.counterparty(StandardId.of(FPML_PARTY_SCHEME, parties.get(sellerPartyReference).get(0)));
return(BuySell.BUY);
}
else if (ourPartyHrefIds.contains(sellerPartyReference))
{
tradeInfoBuilder.counterparty(StandardId.of(FPML_PARTY_SCHEME, parties.get(buyerPartyReference).get(0)));
return(BuySell.SELL);
}
else
{
throw new FpmlParseException(Messages.format("Neither buyerPartyReference nor sellerPartyReference contain our party ID: {}", ourPartyHrefIds));
}
}
// parses the swap
internal Swap parseSwap(FpmlDocument document, XmlElement tradeEl, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement swapEl = tradeEl.getChild("swap");
ImmutableList <XmlElement> legEls = swapEl.getChildren("swapStream");
ImmutableList.Builder <SwapLeg> legsBuilder = ImmutableList.builder();
foreach (XmlElement legEl in legEls)
{
// calculation
XmlElement calcPeriodAmountEl = legEl.getChild("calculationPeriodAmount");
XmlElement calcEl = calcPeriodAmountEl.findChild("calculation").orElse(XmlElement.ofChildren("calculation", ImmutableList.of()));
PeriodicSchedule accrualSchedule = parseSwapAccrualSchedule(legEl, document);
PaymentSchedule paymentSchedule = parseSwapPaymentSchedule(legEl, calcEl, document);
// known amount or rate calculation
Optional <XmlElement> knownAmountOptEl = calcPeriodAmountEl.findChild("knownAmountSchedule");
if (knownAmountOptEl.Present)
{
XmlElement knownAmountEl = knownAmountOptEl.get();
document.validateNotPresent(legEl, "stubCalculationPeriodAmount");
document.validateNotPresent(legEl, "resetDates");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
ValueSchedule amountSchedule = parseSchedule(knownAmountEl, document);
// build
legsBuilder.add(KnownAmountSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).amount(amountSchedule).currency(document.parseCurrency(knownAmountEl.getChild("currency"))).build());
}
else
{
document.validateNotPresent(calcEl, "fxLinkedNotionalSchedule");
document.validateNotPresent(calcEl, "futureValueNotional");
// pay/receive and counterparty
PayReceive payReceive = document.parsePayerReceiver(legEl, tradeInfoBuilder);
NotionalSchedule notionalSchedule = parseSwapNotionalSchedule(legEl, calcEl, document);
RateCalculation calculation = parseSwapCalculation(legEl, calcEl, accrualSchedule, document);
// build
legsBuilder.add(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(accrualSchedule).paymentSchedule(paymentSchedule).notionalSchedule(notionalSchedule).calculation(calculation).build());
}
}
return(Swap.of(legsBuilder.build()));
}
/// <summary>
/// Converts an FpML 'PayerReceiver.model' to a {@code PayReceive}.
/// <para>
/// The <seealso cref="TradeInfo"/> builder is updated with the counterparty.
///
/// </para>
/// </summary>
/// <param name="baseEl"> the FpML payer receiver model element </param>
/// <param name="tradeInfoBuilder"> the builder of the trade info </param>
/// <returns> the pay/receive flag </returns>
/// <exception cref="RuntimeException"> if unable to parse </exception>
public PayReceive parsePayerReceiver(XmlElement baseEl, TradeInfoBuilder tradeInfoBuilder)
{
string payerPartyReference = baseEl.getChild("payerPartyReference").getAttribute(HREF);
string receiverPartyReference = baseEl.getChild("receiverPartyReference").getAttribute(HREF);
object currentCounterparty = tradeInfoBuilder.build().Counterparty.orElse(null);
// determine direction and setup counterparty
if ((ourPartyHrefIds.Empty && currentCounterparty == null) || ourPartyHrefIds.contains(payerPartyReference))
{
StandardId proposedCounterparty = StandardId.of(FPML_PARTY_SCHEME, parties.get(receiverPartyReference).get(0));
if (currentCounterparty == null)
{
tradeInfoBuilder.counterparty(proposedCounterparty);
}
else if (!currentCounterparty.Equals(proposedCounterparty))
{
throw new FpmlParseException(Messages.format("Two different counterparties found: {} and {}", currentCounterparty, proposedCounterparty));
}
return(PayReceive.PAY);
}
else if (ourPartyHrefIds.Empty || ourPartyHrefIds.contains(receiverPartyReference))
{
StandardId proposedCounterparty = StandardId.of(FPML_PARTY_SCHEME, parties.get(payerPartyReference).get(0));
if (currentCounterparty == null)
{
tradeInfoBuilder.counterparty(proposedCounterparty);
}
else if (!currentCounterparty.Equals(proposedCounterparty))
{
throw new FpmlParseException(Messages.format("Two different counterparties found: {} and {}", currentCounterparty, proposedCounterparty));
}
return(PayReceive.RECEIVE);
}
else
{
throw new FpmlParseException(Messages.format("Neither payerPartyReference nor receiverPartyReference contain our party ID: {}", ourPartyHrefIds));
}
}
//-------------------------------------------------------------------------
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());
}