//------------------------------------------------------------------------- // Converts an FpML 'StubValue' to a {@code FixedRateStubCalculation}. private FixedRateStubCalculation parseStubCalculationForFixed(XmlElement baseEl, FpmlDocument document) { Optional <XmlElement> rateOptEl = baseEl.findChild("stubRate"); if (rateOptEl.Present) { return(FixedRateStubCalculation.ofFixedRate(document.parseDecimal(rateOptEl.get()))); } Optional <XmlElement> amountOptEl = baseEl.findChild("stubAmount"); if (amountOptEl.Present) { return(FixedRateStubCalculation.ofKnownAmount(document.parseCurrencyAmount(amountOptEl.get()))); } throw new FpmlParseException("Invalid stub, fixed rate leg cannot have a floating rate stub"); }
// Converts an FpML 'StubValue' to a {@code IborRateStubCalculation}. private IborRateStubCalculation parseStubCalculation(XmlElement baseEl, FpmlDocument document) { Optional <XmlElement> rateOptEl = baseEl.findChild("stubRate"); if (rateOptEl.Present) { return(IborRateStubCalculation.ofFixedRate(document.parseDecimal(rateOptEl.get()))); } Optional <XmlElement> amountOptEl = baseEl.findChild("stubAmount"); if (amountOptEl.Present) { return(IborRateStubCalculation.ofKnownAmount(document.parseCurrencyAmount(amountOptEl.get()))); } IList <XmlElement> indicesEls = baseEl.getChildren("floatingRate"); if (indicesEls.Count == 1) { XmlElement indexEl = indicesEls[0]; document.validateNotPresent(indexEl, "floatingRateMultiplierSchedule"); document.validateNotPresent(indexEl, "spreadSchedule"); document.validateNotPresent(indexEl, "rateTreatment"); document.validateNotPresent(indexEl, "capRateSchedule"); document.validateNotPresent(indexEl, "floorRateSchedule"); return(IborRateStubCalculation.ofIborRate((IborIndex)document.parseIndex(indexEl))); } else if (indicesEls.Count == 2) { XmlElement index1El = indicesEls[0]; document.validateNotPresent(index1El, "floatingRateMultiplierSchedule"); document.validateNotPresent(index1El, "spreadSchedule"); document.validateNotPresent(index1El, "rateTreatment"); document.validateNotPresent(index1El, "capRateSchedule"); document.validateNotPresent(index1El, "floorRateSchedule"); XmlElement index2El = indicesEls[1]; document.validateNotPresent(index2El, "floatingRateMultiplierSchedule"); document.validateNotPresent(index2El, "spreadSchedule"); document.validateNotPresent(index2El, "rateTreatment"); document.validateNotPresent(index2El, "capRateSchedule"); document.validateNotPresent(index2El, "floorRateSchedule"); return(IborRateStubCalculation.ofIborInterpolatedRate((IborIndex)document.parseIndex(index1El), (IborIndex)document.parseIndex(index2El))); } throw new FpmlParseException("Unknown stub structure: " + baseEl); }
//------------------------------------------------------------------------- public Trade parseTrade(FpmlDocument document, XmlElement tradeEl) { // supported elements: // 'buyerPartyReference' // 'sellerPartyReference' // 'adjustedTerminationDate' // 'paymentDate' // 'fixingDateOffset' // 'dayCountFraction' // 'notional' // 'fixedRate' // 'floatingRateIndex' // 'indexTenor+' // 'fraDiscounting' // ignored elements: // 'Product.model?' // 'buyerAccountReference?' // 'sellerAccountReference?' // 'calculationPeriodNumberOfDays' // 'additionalPayment*' TradeInfoBuilder tradeInfoBuilder = document.parseTradeInfo(tradeEl); XmlElement fraEl = tradeEl.getChild("fra"); Fra.Builder fraBuilder = Fra.builder(); // buy/sell and counterparty fraBuilder.buySell(document.parseBuyerSeller(fraEl, tradeInfoBuilder)); // start date fraBuilder.startDate(document.parseDate(fraEl.getChild("adjustedEffectiveDate"))); // end date fraBuilder.endDate(document.parseDate(fraEl.getChild("adjustedTerminationDate"))); // payment date fraBuilder.paymentDate(document.parseAdjustableDate(fraEl.getChild("paymentDate"))); // fixing offset fraBuilder.fixingDateOffset(document.parseRelativeDateOffsetDays(fraEl.getChild("fixingDateOffset"))); // dateRelativeTo required to refer to adjustedEffectiveDate, so ignored here // day count fraBuilder.dayCount(document.parseDayCountFraction(fraEl.getChild("dayCountFraction"))); // notional CurrencyAmount notional = document.parseCurrencyAmount(fraEl.getChild("notional")); fraBuilder.currency(notional.Currency); fraBuilder.notional(notional.Amount); // fixed rate fraBuilder.fixedRate(document.parseDecimal(fraEl.getChild("fixedRate"))); // index IList <Index> indexes = document.parseIndexes(fraEl); switch (indexes.Count) { case 1: fraBuilder.index((IborIndex)indexes[0]); break; case 2: fraBuilder.index((IborIndex)indexes[0]); fraBuilder.indexInterpolated((IborIndex)indexes[1]); break; default: throw new FpmlParseException("Expected one or two indexes, but found " + indexes.Count); } // discounting fraBuilder.discounting(FraDiscountingMethod.of(fraEl.getChild("fraDiscounting").Content)); return(FraTrade.builder().info(tradeInfoBuilder.build()).product(fraBuilder.build()).build()); }