// an Ibor stub
private static Optional <IborRateStubCalculation> parseIborStub(CsvRow row, string leg, Currency currency, IborRateCalculation.Builder builder, string rateField, string amountField, string indexField, string interpolatedField)
{
double?stubRateOpt = findValue(row, leg, rateField).map(s => LoaderUtils.parseDoublePercent(s));
double?stubAmountOpt = findValue(row, leg, amountField).map(s => LoaderUtils.parseDouble(s));
Optional <IborIndex> stubIndexOpt = findValue(row, leg, indexField).map(s => IborIndex.of(s));
Optional <IborIndex> stubIndex2Opt = findValue(row, leg, interpolatedField).map(s => IborIndex.of(s));
if (stubRateOpt.HasValue && !stubAmountOpt.HasValue && !stubIndexOpt.Present && !stubIndex2Opt.Present)
{
return(IborRateStubCalculation.ofFixedRate(stubRateOpt.Value));
}
else if (!stubRateOpt.HasValue && stubAmountOpt.HasValue && !stubIndexOpt.Present && !stubIndex2Opt.Present)
{
return(IborRateStubCalculation.ofKnownAmount(CurrencyAmount.of(currency, stubAmountOpt.Value)));
}
else if (!stubRateOpt.HasValue && !stubAmountOpt.HasValue && stubIndexOpt.Present)
{
if (stubIndex2Opt.Present)
{
return(IborRateStubCalculation.ofIborInterpolatedRate(stubIndexOpt.get(), stubIndex2Opt.get()));
}
else
{
return(IborRateStubCalculation.ofIborRate(stubIndexOpt.get()));
}
}
else if (stubRateOpt.HasValue || stubAmountOpt.HasValue || stubIndexOpt.Present || stubIndex2Opt.Present)
{
throw new System.ArgumentException("Swap leg must define only one of the following fields " + ImmutableList.of(leg + rateField, leg + amountField, leg + indexField) + ", and '" + leg + interpolatedField + "' is only allowed with '" + leg + indexField + "'");
}
return(null);
}
// 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);
}