// Converts an FpML 'fixedRateSchedule' to a {@code RateCalculation}.
private RateCalculation parseFixed(XmlElement legEl, XmlElement calcEl, XmlElement fixedEl, FpmlDocument document)
{
// supported elements:
// 'calculationPeriodAmount/calculation/fixedRateSchedule'
// 'calculationPeriodAmount/calculation/dayCountFraction'
// 'stubCalculationPeriodAmount'
// rejected elements:
// 'resetDates'
// 'stubCalculationPeriodAmount/initialStub/floatingRate'
// 'stubCalculationPeriodAmount/finalStub/floatingRate'
document.validateNotPresent(legEl, "resetDates");
FixedRateCalculation.Builder fixedRateBuilder = FixedRateCalculation.builder();
fixedRateBuilder.rate(parseSchedule(fixedEl, document));
fixedRateBuilder.dayCount(document.parseDayCountFraction(calcEl.getChild("dayCountFraction")));
// stub
legEl.findChild("stubCalculationPeriodAmount").ifPresent(stubsEl =>
{
stubsEl.findChild("initialStub").ifPresent(el =>
{
fixedRateBuilder.initialStub(parseStubCalculationForFixed(el, document));
});
stubsEl.findChild("finalStub").ifPresent(el =>
{
fixedRateBuilder.finalStub(parseStubCalculationForFixed(el, document));
});
});
return(fixedRateBuilder.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");
}
}
//-------------------------------------------------------------------------
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());
}