//-------------------------------------------------------------------------
// fixed rate calculation
private static RateCalculation parseFixedRateCalculation(CsvRow row, string leg, Currency currency, DayCount defaultFixedLegDayCount)
{
FixedRateCalculation.Builder builder = FixedRateCalculation.builder();
// basics
double fixedRate = LoaderUtils.parseDoublePercent(getValue(row, leg, FIXED_RATE_FIELD));
DayCount dayCount = findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).orElse(defaultFixedLegDayCount);
if (dayCount == null)
{
throw new System.ArgumentException("Swap leg must define day count using '" + leg + DAY_COUNT_FIELD + "'");
}
builder.dayCount(dayCount);
builder.rate(ValueSchedule.of(fixedRate));
// initial stub
double?initialStubRateOpt = findValue(row, leg, INITIAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
double?initialStubAmountOpt = findValue(row, leg, INITIAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));
if (initialStubRateOpt.HasValue && initialStubAmountOpt.HasValue)
{
throw new System.ArgumentException("Swap leg must not define both '" + leg + INITIAL_STUB_RATE_FIELD + "' and '" + leg + INITIAL_STUB_AMOUNT_FIELD + "'");
}
initialStubRateOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofFixedRate(v)));
initialStubAmountOpt.ifPresent(v => builder.initialStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
// final stub
double?finalStubRateOpt = findValue(row, leg, FINAL_STUB_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s));
double?finalStubAmountOpt = findValue(row, leg, FINAL_STUB_AMOUNT_FIELD).map(s => LoaderUtils.parseDouble(s));
if (finalStubRateOpt.HasValue && finalStubAmountOpt.HasValue)
{
throw new System.ArgumentException("Swap leg must not define both '" + leg + FINAL_STUB_RATE_FIELD + "' and '" + leg + FINAL_STUB_AMOUNT_FIELD + "'");
}
finalStubRateOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofFixedRate(v)));
finalStubAmountOpt.ifPresent(v => builder.finalStub(FixedRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, v))));
return(builder.build());
}
//-------------------------------------------------------------------------
// Converts an FpML 'StubValue' to a {@code FixedRateStubCalculation}.
private FixedRateStubCalculation parseStubCalculationForFixed(XmlElement baseEl, FpmlDocument document)
{
Optional <XmlElement> rateOptEl = baseEl.findChild("stubRate");
if (rateOptEl.Present)
{
return(FixedRateStubCalculation.ofFixedRate(document.parseDecimal(rateOptEl.get())));
}
Optional <XmlElement> amountOptEl = baseEl.findChild("stubAmount");
if (amountOptEl.Present)
{
return(FixedRateStubCalculation.ofKnownAmount(document.parseCurrencyAmount(amountOptEl.get())));
}
throw new FpmlParseException("Invalid stub, fixed rate leg cannot have a floating rate stub");
}
