private Trade parseNdf(FpmlDocument document, XmlElement fxEl, XmlElement ndfEl, CurrencyAmount curr1Amount, CurrencyAmount curr2Amount, LocalDate valueDate, TradeInfoBuilder tradeInfoBuilder)
{
// rate
XmlElement rateEl = fxEl.getChild("exchangeRate");
double rate = document.parseDecimal(rateEl.getChild("rate"));
XmlElement pairEl = rateEl.getChild("quotedCurrencyPair");
Currency curr1 = document.parseCurrency(pairEl.getChild("currency1"));
Currency curr2 = document.parseCurrency(pairEl.getChild("currency2"));
string basis = pairEl.getChild("quoteBasis").Content;
FxRate fxRate;
if ("Currency2PerCurrency1".Equals(basis))
{
fxRate = FxRate.of(curr1, curr2, rate);
}
else if ("Currency1PerCurrency2".Equals(basis))
{
fxRate = FxRate.of(curr2, curr1, rate);
}
else
{
throw new FpmlParseException("Unknown quote basis: " + basis);
}
// settlement currency
Currency settleCurr = document.parseCurrency(ndfEl.getChild("settlementCurrency"));
CurrencyAmount settleCurrAmount = curr1Amount.Currency.Equals(settleCurr) ? curr1Amount : curr2Amount;
// index
XmlElement fixingEl = ndfEl.getChild("fixing"); // only support one of these in pricing model
LocalDate fixingDate = document.parseDate(fixingEl.getChild("fixingDate"));
DaysAdjustment offset = DaysAdjustment.ofCalendarDays(Math.toIntExact(valueDate.until(fixingDate, DAYS)));
XmlElement sourceEl = fixingEl.getChild("fxSpotRateSource"); // required for our model
XmlElement primarySourceEl = sourceEl.getChild("primaryRateSource");
string primarySource = primarySourceEl.getChild("rateSource").Content;
string primaryPage = primarySourceEl.findChild("rateSourcePage").map(e => e.Content).orElse("");
LocalTime time = document.parseTime(sourceEl.getChild("fixingTime").getChild("hourMinuteTime")); // required for our model
HolidayCalendarId calendar = document.parseBusinessCenter(sourceEl.getChild("fixingTime").getChild("businessCenter"));
FxIndex index = ImmutableFxIndex.builder().name(primarySource + "/" + primaryPage + "/" + time).currencyPair(CurrencyPair.of(curr1, curr2)).fixingCalendar(calendar).maturityDateOffset(offset).build();
return(FxNdfTrade.builder().info(tradeInfoBuilder.build()).product(FxNdf.builder().settlementCurrencyNotional(settleCurrAmount).agreedFxRate(fxRate).index(index).paymentDate(valueDate).build()).build());
}
/// <summary>
/// Create a yield curve bundle with three curves.
/// One called "Discounting EUR" with a constant rate of 2.50%, one called "Discounting USD"
/// with a constant rate of 1.00% and one called "Discounting GBP" with a constant rate of 2.00%;
/// "Discounting KRW" with a constant rate of 3.21%;
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="fxIndex"> the FX index </param>
/// <param name="spotRate"> the spot rate for the index </param>
/// <returns> the provider </returns>
public static RatesProvider createProvider(LocalDate valuationDate, FxIndex fxIndex, double spotRate)
{
return(ImmutableRatesProvider.builder(valuationDate).discountCurve(EUR, EUR_DSC).discountCurve(USD, USD_DSC).discountCurve(GBP, GBP_DSC).discountCurve(KRW, KRW_DSC).fxRateProvider(FX_MATRIX).timeSeries(fxIndex, LocalDateDoubleTimeSeries.of(fxIndex.calculateFixingFromMaturity(valuationDate, REF_DATA), spotRate)).build());
}
//-------------------------------------------------------------------------
public virtual FxIndexRates fxIndexRates(FxIndex index)
{
throw new System.NotSupportedException();
}