//-------------------------------------------------------------------------
// ibor rate calculation
private static RateCalculation parseIborRateCalculation(CsvRow row, string leg, IborIndex iborIndex, BusinessDayAdjustment bda, Currency currency)
{
IborRateCalculation.Builder builder = IborRateCalculation.builder();
// basics
builder.index(iborIndex);
// reset
Optional <Frequency> resetFrequencyOpt = findValue(row, leg, RESET_FREQUENCY_FIELD).map(v => Frequency.parse(v));
IborRateResetMethod resetMethod = findValue(row, leg, RESET_METHOD_FIELD).map(v => IborRateResetMethod.of(v)).orElse(IborRateResetMethod.WEIGHTED);
BusinessDayAdjustment resetDateAdj = parseBusinessDayAdjustment(row, leg, RESET_DATE_CNV_FIELD, RESET_DATE_CAL_FIELD).orElse(bda);
resetFrequencyOpt.ifPresent(freq => builder.resetPeriods(ResetSchedule.builder().resetFrequency(freq).resetMethod(resetMethod).businessDayAdjustment(resetDateAdj).build()));
// optionals, no ability to set firstFixingDateOffset
findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).ifPresent(v => builder.dayCount(v));
findValue(row, leg, FIXING_RELATIVE_TO_FIELD).map(s => FixingRelativeTo.of(s)).ifPresent(v => builder.fixingRelativeTo(v));
Optional <DaysAdjustment> fixingAdjOpt = parseDaysAdjustment(row, leg, FIXING_OFFSET_DAYS_FIELD, FIXING_OFFSET_CAL_FIELD, FIXING_OFFSET_ADJ_CNV_FIELD, FIXING_OFFSET_ADJ_CAL_FIELD);
fixingAdjOpt.ifPresent(v => builder.fixingDateOffset(v));
findValue(row, leg, NEGATIVE_RATE_METHOD_FIELD).map(s => NegativeRateMethod.of(s)).ifPresent(v => builder.negativeRateMethod(v));
findValue(row, leg, FIRST_RATE_FIELD).map(s => LoaderUtils.parseDoublePercent(s)).ifPresent(v => builder.firstRate(v));
findValue(row, leg, GEARING_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.gearing(ValueSchedule.of(v)));
findValue(row, leg, SPREAD_FIELD).map(s => LoaderUtils.parseDoublePercent(s)).ifPresent(v => builder.spread(ValueSchedule.of(v)));
// initial stub
Optional <IborRateStubCalculation> initialStub = parseIborStub(row, leg, currency, builder, INITIAL_STUB_RATE_FIELD, INITIAL_STUB_AMOUNT_FIELD, INITIAL_STUB_INDEX_FIELD, INITIAL_STUB_INTERPOLATED_INDEX_FIELD);
initialStub.ifPresent(stub => builder.initialStub(stub));
// final stub
Optional <IborRateStubCalculation> finalStub = parseIborStub(row, leg, currency, builder, FINAL_STUB_RATE_FIELD, FINAL_STUB_AMOUNT_FIELD, FINAL_STUB_INDEX_FIELD, FINAL_STUB_INTERPOLATED_INDEX_FIELD);
finalStub.ifPresent(stub => builder.finalStub(stub));
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");
}
}
