// Converts an FpML 'InflationRateCalculation' to a {@code RateCalculation}.
private RateCalculation parseInflation(XmlElement legEl, XmlElement calcEl, XmlElement inflationEl, PeriodicSchedule accrualSchedule, FpmlDocument document)
{
// supported elements:
// 'calculationPeriodAmount/calculation/inflationRateCalculation'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/floatingRateIndex'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/indexTenor?'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/floatingRateMultiplierSchedule?'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/inflationLag'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/interpolationMethod'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/initialIndexLevel?'
// 'calculationPeriodAmount/calculation/dayCountFraction'
// ignored elements:
// 'calculationPeriodAmount/calculation/inflationRateCalculation/indexSource'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/mainPublication'
// 'calculationPeriodAmount/calculation/inflationRateCalculation/fallbackBondApplicable'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/initialRate?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/finalRateRounding?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/averagingMethod?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/negativeInterestRateTreatment?'
// 'resetDates'
// rejected elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule*'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/rateTreatment?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/capRateSchedule?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floorRateSchedule?'
// 'stubCalculationPeriodAmount'
document.validateNotPresent(inflationEl, "spreadSchedule");
document.validateNotPresent(inflationEl, "rateTreatment");
document.validateNotPresent(inflationEl, "capRateSchedule");
document.validateNotPresent(inflationEl, "floorRateSchedule");
document.validateNotPresent(legEl, "stubCalculationPeriodAmount"); // TODO: parse fixed stub rate
InflationRateCalculation.Builder builder = InflationRateCalculation.builder();
// index
builder.index(document.parsePriceIndex(inflationEl));
// lag
builder.lag(document.parsePeriod(inflationEl.getChild("inflationLag")));
// interpolation
string interpStr = inflationEl.getChild("interpolationMethod").Content;
builder.indexCalculationMethod(interpStr.ToLower(Locale.ENGLISH).Contains("linear") ? PriceIndexCalculationMethod.INTERPOLATED : PriceIndexCalculationMethod.MONTHLY);
// initial index
inflationEl.findChild("initialIndexLevel").ifPresent(el =>
{
builder.firstIndexValue(document.parseDecimal(el));
});
// gearing
inflationEl.findChild("floatingRateMultiplierSchedule").ifPresent(el =>
{
builder.gearing(parseSchedule(el, document));
});
return(builder.build());
}
// Converts an FpML 'FloatingRateCalculation' to a {@code RateCalculation}.
private RateCalculation parseFloat(XmlElement legEl, XmlElement calcEl, XmlElement floatingEl, PeriodicSchedule accrualSchedule, FpmlDocument document)
{
// supported elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateIndex'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateMultiplierSchedule?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule*'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/initialRate?' (Ibor only)
// 'calculationPeriodAmount/calculation/floatingRateCalculation/averagingMethod?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/negativeInterestRateTreatment?'
// 'calculationPeriodAmount/calculation/dayCountFraction'
// 'resetDates/resetRelativeTo'
// 'resetDates/fixingDates'
// 'resetDates/rateCutOffDaysOffset' (OIS only)
// 'resetDates/resetFrequency'
// 'resetDates/resetDatesAdjustments'
// 'stubCalculationPeriodAmount/initalStub' (Ibor only, Overnight must match index)
// 'stubCalculationPeriodAmount/finalStub' (Ibor only, Overnight must match index)
// ignored elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation/finalRateRounding?'
// 'calculationPeriodAmount/calculation/discounting?'
// 'resetDates/calculationPeriodDatesReference'
// rejected elements:
// 'calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule/type?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/rateTreatment?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/capRateSchedule?'
// 'calculationPeriodAmount/calculation/floatingRateCalculation/floorRateSchedule?'
// 'resetDates/initialFixingDate'
document.validateNotPresent(floatingEl, "rateTreatment");
document.validateNotPresent(floatingEl, "capRateSchedule");
document.validateNotPresent(floatingEl, "floorRateSchedule");
Index index = document.parseIndex(floatingEl);
if (index is IborIndex)
{
IborRateCalculation.Builder iborRateBuilder = IborRateCalculation.builder();
// day count
iborRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction")));
// index
iborRateBuilder.index((IborIndex)document.parseIndex(floatingEl));
// gearing
floatingEl.findChild("floatingRateMultiplierSchedule").ifPresent(el =>
{
iborRateBuilder.gearing(parseSchedule(el, document));
});
// spread
if (floatingEl.getChildren("spreadSchedule").size() > 1)
{
throw new FpmlParseException("Only one 'spreadSchedule' is supported");
}
floatingEl.findChild("spreadSchedule").ifPresent(el =>
{
document.validateNotPresent(el, "type");
iborRateBuilder.spread(parseSchedule(el, document));
});
// initial fixed rate
floatingEl.findChild("initialRate").ifPresent(el =>
{
iborRateBuilder.firstRegularRate(document.parseDecimal(el));
});
// negative rates
floatingEl.findChild("negativeInterestRateTreatment").ifPresent(el =>
{
iborRateBuilder.negativeRateMethod(parseNegativeInterestRateTreatment(el));
});
// resets
legEl.findChild("resetDates").ifPresent(resetDatesEl =>
{
document.validateNotPresent(resetDatesEl, "initialFixingDate");
document.validateNotPresent(resetDatesEl, "rateCutOffDaysOffset");
resetDatesEl.findChild("resetRelativeTo").ifPresent(el =>
{
iborRateBuilder.fixingRelativeTo(parseResetRelativeTo(el));
});
iborRateBuilder.fixingDateOffset(document.parseRelativeDateOffsetDays(resetDatesEl.getChild("fixingDates")));
Frequency resetFreq = document.parseFrequency(resetDatesEl.getChild("resetFrequency"));
if (!accrualSchedule.Frequency.Equals(resetFreq))
{
ResetSchedule.Builder resetScheduleBuilder = ResetSchedule.builder();
resetScheduleBuilder.resetFrequency(resetFreq);
floatingEl.findChild("averagingMethod").ifPresent(el =>
{
resetScheduleBuilder.resetMethod(parseAveragingMethod(el));
});
resetScheduleBuilder.businessDayAdjustment(document.parseBusinessDayAdjustments(resetDatesEl.getChild("resetDatesAdjustments")));
iborRateBuilder.resetPeriods(resetScheduleBuilder.build());
}
});
// stubs
legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl =>
{
stubsEl.findChild("initialStub").ifPresent(el =>
{
iborRateBuilder.initialStub(parseStubCalculation(el, document));
});
stubsEl.findChild("finalStub").ifPresent(el =>
{
iborRateBuilder.finalStub(parseStubCalculation(el, document));
});
});
return(iborRateBuilder.build());
}
else if (index is OvernightIndex)
{
OvernightRateCalculation.Builder overnightRateBuilder = OvernightRateCalculation.builder();
document.validateNotPresent(floatingEl, "initialRate"); // TODO: should support this in the model
// stubs
legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl =>
{
stubsEl.findChild("initialStub").ifPresent(el =>
{
checkStubForOvernightIndex(el, document, (OvernightIndex)index);
});
stubsEl.findChild("finalStub").ifPresent(el =>
{
checkStubForOvernightIndex(el, document, (OvernightIndex)index);
});
});
// day count
overnightRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction")));
// index
overnightRateBuilder.index((OvernightIndex)document.parseIndex(floatingEl));
// accrual method
FloatingRateName idx = FloatingRateName.of(floatingEl.getChild("floatingRateIndex").Content);
if (idx.Type == FloatingRateType.OVERNIGHT_COMPOUNDED)
{
overnightRateBuilder.accrualMethod(OvernightAccrualMethod.COMPOUNDED);
}
// gearing
floatingEl.findChild("floatingRateMultiplierSchedule").ifPresent(el =>
{
overnightRateBuilder.gearing(parseSchedule(el, document));
});
// spread
if (floatingEl.getChildren("spreadSchedule").size() > 1)
{
throw new FpmlParseException("Only one 'spreadSchedule' is supported");
}
floatingEl.findChild("spreadSchedule").ifPresent(el =>
{
document.validateNotPresent(el, "type");
overnightRateBuilder.spread(parseSchedule(el, document));
});
// negative rates
floatingEl.findChild("negativeInterestRateTreatment").ifPresent(el =>
{
overnightRateBuilder.negativeRateMethod(parseNegativeInterestRateTreatment(el));
});
// rate cut off
legEl.findChild("resetDates").ifPresent(resetDatesEl =>
{
document.validateNotPresent(resetDatesEl, "initialFixingDate");
resetDatesEl.findChild("rateCutOffDaysOffset").ifPresent(el =>
{
Period cutOff = document.parsePeriod(el);
if (cutOff.toTotalMonths() != 0)
{
throw new FpmlParseException("Invalid 'rateCutOffDaysOffset' value, expected days-based period: " + cutOff);
}
overnightRateBuilder.rateCutOffDays(-cutOff.Days);
});
});
return(overnightRateBuilder.build());
}
else
{
throw new FpmlParseException("Invalid 'floatingRateIndex' type, not Ibor or Overnight");
}
}
// parses the payment schedule
private PaymentSchedule parseSwapPaymentSchedule(XmlElement legEl, XmlElement calcEl, FpmlDocument document)
{
// supported elements:
// 'paymentDates/paymentFrequency'
// 'paymentDates/payRelativeTo'
// 'paymentDates/paymentDaysOffset?'
// 'paymentDates/paymentDatesAdjustments'
// 'calculationPeriodAmount/calculation/compoundingMethod'
// 'paymentDates/firstPaymentDate?'
// 'paymentDates/lastRegularPaymentDate?'
// ignored elements:
// 'paymentDates/calculationPeriodDatesReference'
// 'paymentDates/resetDatesReference'
// 'paymentDates/valuationDatesReference'
PaymentSchedule.Builder paymentScheduleBuilder = PaymentSchedule.builder();
// payment dates
XmlElement paymentDatesEl = legEl.getChild("paymentDates");
// frequency
paymentScheduleBuilder.paymentFrequency(document.parseFrequency(paymentDatesEl.getChild("paymentFrequency")));
//default for IRS is pay relative to period end; Strata model will apply the defaulting but the values is needed
//here for first and last payment date checks
PaymentRelativeTo payRelativeTo = paymentDatesEl.findChild("payRelativeTo").map(el => parsePayRelativeTo(el)).orElse(PaymentRelativeTo.PERIOD_END);
paymentScheduleBuilder.paymentRelativeTo(payRelativeTo);
// dates
if (payRelativeTo == PaymentRelativeTo.PERIOD_END)
{
// ignore data if not PeriodEnd and hope schedule is worked out correctly by other means
// this provides compatibility for old code that ignored these FpML fields
paymentDatesEl.findChild("firstPaymentDate").map(el => document.parseDate(el)).ifPresent(date => paymentScheduleBuilder.firstRegularStartDate(date));
paymentDatesEl.findChild("lastRegularPaymentDate").map(el => document.parseDate(el)).ifPresent(date => paymentScheduleBuilder.lastRegularEndDate(date));
}
// offset
Optional <XmlElement> paymentOffsetEl = paymentDatesEl.findChild("paymentDaysOffset");
BusinessDayAdjustment payAdjustment = document.parseBusinessDayAdjustments(paymentDatesEl.getChild("paymentDatesAdjustments"));
if (paymentOffsetEl.Present)
{
Period period = document.parsePeriod(paymentOffsetEl.get());
if (period.toTotalMonths() != 0)
{
throw new FpmlParseException("Invalid 'paymentDatesAdjustments' value, expected days-based period: " + period);
}
Optional <XmlElement> dayTypeEl = paymentOffsetEl.get().findChild("dayType");
bool fixingCalendarDays = period.Zero || (dayTypeEl.Present && dayTypeEl.get().Content.Equals("Calendar"));
if (fixingCalendarDays)
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofCalendarDays(period.Days, payAdjustment));
}
else
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofBusinessDays(period.Days, payAdjustment.Calendar));
}
}
else
{
paymentScheduleBuilder.paymentDateOffset(DaysAdjustment.ofCalendarDays(0, payAdjustment));
}
// compounding
calcEl.findChild("compoundingMethod").ifPresent(compoundingEl =>
{
paymentScheduleBuilder.compoundingMethod(CompoundingMethod.of(compoundingEl.Content));
});
return(paymentScheduleBuilder.build());
}