//------------------------------------------------------------------------- public Trade parseTrade(FpmlDocument document, XmlElement tradeEl) { // supported elements: // 'exchangedCurrency1/paymentAmount' // 'exchangedCurrency2/paymentAmount' // 'valueDate' // 'currency1ValueDate' // 'currency2ValueDate' // 'nonDeliverableSettlement?' // ignored elements: // 'dealtCurrency?' // 'exchangeRate' XmlElement fxEl = tradeEl.getChild("fxSingleLeg"); // amounts TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl); XmlElement curr1El = fxEl.getChild("exchangedCurrency1"); XmlElement curr2El = fxEl.getChild("exchangedCurrency2"); // pay/receive and counterparty PayReceive curr1PayReceive = document.parsePayerReceiver(curr1El, tradeInfoBuilder); PayReceive curr2PayReceive = document.parsePayerReceiver(curr2El, tradeInfoBuilder); if (curr1PayReceive == curr2PayReceive) { throw new FpmlParseException("FX single leg currencies must not have same Pay/Receive direction"); } // amount CurrencyAmount curr1Amount = document.parseCurrencyAmount(curr1El.getChild("paymentAmount")); CurrencyAmount curr2Amount = document.parseCurrencyAmount(curr2El.getChild("paymentAmount")); if (curr1PayReceive == PayReceive.PAY) { curr1Amount = curr1Amount.negative(); curr2Amount = curr2Amount.positive(); } else { curr1Amount = curr1Amount.positive(); curr2Amount = curr2Amount.negative(); } // payment date LocalDate currency1Date = document.parseDate(fxEl.findChild("currency1ValueDate").orElseGet(() => fxEl.getChild("valueDate"))); LocalDate currency2Date = document.parseDate(fxEl.findChild("currency2ValueDate").orElseGet(() => fxEl.getChild("valueDate"))); // FxSingle or NDF Optional <XmlElement> ndfEl = fxEl.findChild("nonDeliverableSettlement"); if (!ndfEl.Present) { return(FxSingleTrade.builder().info(tradeInfoBuilder.build()).product(FxSingle.of(Payment.of(curr1Amount, currency1Date), Payment.of(curr2Amount, currency2Date))).build()); } if (!currency1Date.Equals(currency2Date)) { throw new FpmlParseException("FxNdf only supports a single payment date"); } return(parseNdf(document, fxEl, ndfEl.get(), curr1Amount, curr2Amount, currency1Date, tradeInfoBuilder)); }
// convention-based // ideally we'd use the trade date plus "period to start" to get the spot/payment date // but we don't have all the data and it gets complicated in places like TRY, RUB and AED private static FxSingleTrade parseConvention(CsvRow row, TradeInfo info) { CurrencyPair pair = CurrencyPair.parse(row.getValue(CONVENTION_FIELD)); BuySell buySell = LoaderUtils.parseBuySell(row.getValue(BUY_SELL_FIELD)); Currency currency = Currency.parse(row.getValue(CURRENCY_FIELD)); double notional = LoaderUtils.parseDouble(row.getValue(NOTIONAL_FIELD)); double fxRate = LoaderUtils.parseDouble(row.getValue(FX_RATE_FIELD)); LocalDate paymentDate = LoaderUtils.parseDate(row.getValue(PAYMENT_DATE_FIELD)); Optional <BusinessDayAdjustment> paymentAdj = parsePaymentDateAdjustment(row); CurrencyAmount amount = CurrencyAmount.of(currency, buySell.normalize(notional)); FxSingle fx = paymentAdj.map(adj => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate, adj)).orElseGet(() => FxSingle.of(amount, FxRate.of(pair, fxRate), paymentDate)); return(FxSingleTrade.of(info, fx)); }
/// <summary> /// Parses the data from a CSV row. /// </summary> /// <param name="row"> the CSV row object </param> /// <param name="info"> the trade info object </param> /// <param name="resolver"> the resolver used to parse additional information. This is not currently used in this method. </param> /// <returns> the parsed trade, as an instance of <seealso cref="FxSingleTrade"/> </returns> internal static FxSingleTrade parse(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) { FxSingleTrade trade = parseRow(row, info); return(resolver.completeTrade(row, trade)); }
// parse full definition private static FxSingleTrade parseFull(CsvRow row, TradeInfo info) { FxSingle fx = parseFxSingle(row, ""); return(FxSingleTrade.of(info, fx)); }