/// <summary>
/// Recursively processes an FpML 5-x document to produce a new document
/// containin the stripped down product infosets.
/// </summary>
/// <param name="context">The <see cref="XmlNode"/> to be copied.</param>
/// <param name="document">The new <see cref="XmlDocument"/> instance.</param>
/// <param name="parent">The new parent <see cref="XmlNode"/>.</param>
private void Transcribe(XmlNode context, XmlDocument document, XmlElement parent)
{
if (context != null)
{
switch (context.NodeType)
{
case XmlNodeType.Attribute:
{
XmlAttribute attribute = (XmlAttribute)context;
// Remove unnecessary ID attributes
if (XPath.Match(attribute, "businessCenters", "id") ||
XPath.Match(attribute, "swapStream", "id") ||
XPath.Match(attribute, "swapStream", "resetDates", "id") ||
XPath.Match(attribute, "europeanExercise", "id") ||
XPath.Match(attribute, "americanExercise", "id") ||
XPath.Match(attribute, "bermudaExercise", "id"))
{
break;
}
if (XPath.Match(attribute, "currencyScheme") &&
attribute.Value.Equals("http://www.fpml.org/ext/iso4217"))
{
break;
}
parent.SetAttribute(attribute.Name, attribute.Value);
break;
}
case XmlNodeType.Element:
{
XmlElement element = context as XmlElement;
// Strip an existing taxonomy data and identification
if (XPath.Match(element, "productType") ||
XPath.Match(element, "assetClass") ||
XPath.Match(element, "productid"))
{
break;
}
// Remove party specific references
if (XPath.Match(element, "buyerPartyReference") ||
XPath.Match(element, "buyerAccountReference") ||
XPath.Match(element, "sellerPartyReference") ||
XPath.Match(element, "sellerAccountReference") ||
XPath.Match(element, "payerPartyReference") ||
XPath.Match(element, "payerAccountReference") ||
XPath.Match(element, "receiverPartyReference") ||
XPath.Match(element, "receiverAccountReference") ||
XPath.Match(element, "partyReference") ||
XPath.Match(element, "calculationAgentPartyReference"))
{
break;
}
// Remove monetary amounts
if (XPath.Match(element, "notional", "amount") ||
XPath.Match(element, "paymentAmount", "amount") ||
XPath.Match(element, "stubAmount", "amount"))
{
break;
}
// Remove calculation period references
if (XPath.Match(element, "paymentDates", "calculationPeriodDatesReference") ||
XPath.Match(element, "resetDates", "calculationPeriodDatesReference") ||
XPath.Match(element, "stubCalculationPeriodAmount", "calculationPeriodDatesReference"))
{
break;
}
// Remove reset dates references
if (XPath.Match(element, "fixingDates", "dateRelativeTo") ||
XPath.Match(element, "fixingDateOffset", "dateRelativeTo") ||
XPath.Match(element, "relativeDate", "dateRelativeTo"))
{
break;
}
// Remove dates
if (XPath.Match(element, "paymentDate", "unadjustedDate") ||
XPath.Match(element, "adjustableDate", "unadjustedDate") ||
XPath.Match(element, "paymentDates", "firstPaymentDate") ||
XPath.Match(element, "fra", "adjustedEffectiveDate") ||
XPath.Match(element, "fra", "adjustedTerminationDate"))
{
break;
}
// Replace businessCentersReference with a copy of the target
if (XPath.Match(element, "businessCentersReference"))
{
Transcribe(element.OwnerDocument.GetElementById(element.GetAttribute("href")), document, parent);
break;
}
// Strip schedules
if (XPath.Match(element, "notionalStepSchedule", "initialValue") ||
XPath.Match(element, "fixedRateSchedule", "initialValue") ||
XPath.Match(element, "spreadSchedule", "initialValue") ||
XPath.Match(element, "capRateSchedule", "initialValue") ||
XPath.Match(element, "floorRateSchedule", "initialValue"))
{
break;
}
// Keep an indication of step presence but remove values
if (XPath.Match(element, "step"))
{
XmlElement prevElement = DOM.GetPreviousSibling(element);
if ((prevElement != null) && XPath.Match(prevElement, "step"))
{
break;
}
}
if (XPath.Match(element, "step", "stepDate") ||
XPath.Match(element, "step", "stepValue"))
{
break;
}
// Remove rates
if (XPath.Match(element, "initialStub", "stubRate") ||
XPath.Match(element, "finalStub", "stubRate") ||
XPath.Match(element, "fra", "fixedRate"))
{
break;
}
// Remove other odd elements
if (XPath.Match(element, "fra", "calculationPeriodNumberOfDays"))
{
break;
}
// Clone the original element
XmlElement clone = document.CreateElement(element.LocalName, R1_0.NamespaceUri);
parent.AppendChild(clone);
// Keep an indication of cashflows but remove values
if (XPath.Match(element, "swapStream", "cashflows"))
{
break;
}
// Normalise swaps
if (XPath.Match(element, "swap"))
{
OrderSwapStreams(element, document, clone);
Transcribe(element ["earlyTerminationProvision"], document, clone);
Transcribe(element ["cancelableProvision"], document, clone);
Transcribe(element ["extendibleProvision"], document, clone);
break;
}
// Make swap streams relative
if (XPath.Match(element, "swapStream", "calculationPeriodDates"))
{
XmlElement effectiveDate;
XmlElement terminationDate;
if ((effectiveDate = XPath.Path(element, "firstRegularPeriodDate", "unadjustedDate")) == null)
{
effectiveDate = XPath.Path(element, "effectiveDate", "unadjustedDate");
}
if ((terminationDate = XPath.Path(element, "lastRegularPeriodDate", "unadjustedDate")) == null)
{
terminationDate = XPath.Path(element, "terminationDate", "unadjustedDate");
}
// Replace absolute dates with tenors
if ((effectiveDate != null) && (terminationDate != null))
{
XmlElement tenor = document.CreateElement("relativeTerminationDate", R1_0.NamespaceUri);
clone.AppendChild(tenor);
DeriveTenor(Types.ToDate(effectiveDate), Types.ToDate(terminationDate), document, tenor);
Transcribe(element ["dayType"], document, tenor);
Transcribe(element ["calculationPeriodDatesAdjustments"], document, clone);
Transcribe(element ["stubPeriodType"], document, clone);
Transcribe(element ["calculationPeriodFrequency"], document, clone);
break;
}
}
// Make FRAs relative
if (XPath.Match(element, "fra"))
{
XmlElement effectiveDate = XPath.Path(element, "adjustedEffectiveDate");
XmlElement terminationDate = XPath.Path(element, "adjustedTerminationDate");
if ((effectiveDate != null) && (terminationDate != null))
{
XmlElement tenor = document.CreateElement("relativeTerminationDate", R1_0.NamespaceUri);
clone.AppendChild(tenor);
DeriveTenor(Types.ToDate(effectiveDate), Types.ToDate(terminationDate), document, tenor);
}
}
// Derive Expiration date tenor
if (XPath.Match(element, "europeanExercise", "expirationDate"))
{
XmlElement tradeDate = XPath.Path(FindTrade(element), "tradeHeader", "tradeDate");
XmlElement expiryDate = XPath.Path(element, "adjustableDate", "unadjustedDate");
if ((tradeDate != null) && (expiryDate != null))
{
XmlElement tenor = document.CreateElement("relativeExpirationDate", R1_0.NamespaceUri);
clone.AppendChild(tenor);
DeriveTenor(Types.ToDate(tradeDate), Types.ToDate(expiryDate), document, tenor);
XmlElement adjustments = XPath.Path(element, "adjustableDate", "dateAdjustments");
if (adjustments != null)
{
Transcribe(adjustments, document, clone);
}
break;
}
}
// Transfer and update attributes
foreach (XmlAttribute attr in element.Attributes)
{
Transcribe(attr, document, clone);
}
// Recursively copy the child node across
foreach (XmlNode node in element.ChildNodes)
{
Transcribe(node, document, clone);
}
break;
}
case XmlNodeType.Text:
{
parent.AppendChild(document.CreateTextNode(((XmlText)context).Value));
break;
}
}
}
}