@Override
public IndexON buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final String name = message.getString(NAME_FIELD);
final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
final DayCount dayCount =
DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
final int publicationLag = message.getInt(PUBLICATION_LAG_FIELD);
return new IndexON(name, currency, dayCount, publicationLag);
}
@Override
public IborIndex buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
final int spotLag = message.getInt(SPOT_LAG_FIELD);
final DayCount dayCount =
DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
final BusinessDayConvention businessDayConvention =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(
message.getString(BUSINESS_DAY_CONVENTION_FIELD));
final boolean isEOM = message.getBoolean(EOM_FIELD);
final Period tenor = Period.parse(message.getString(TENOR_FIELD));
final String name = message.getString(NAME_FIELD);
return new IborIndex(currency, tenor, spotLag, dayCount, businessDayConvention, isEOM, name);
}
@Override
public FixedIncomeStripWithSecurity buildObject(
FudgeDeserializationContext context, FudgeMsg message) {
StripInstrumentType type =
context.fieldValueToObject(StripInstrumentType.class, message.getByName("type"));
Tenor tenor = context.fieldValueToObject(Tenor.class, message.getByName("tenor"));
Tenor resolvedTenor =
context.fieldValueToObject(Tenor.class, message.getByName("resolvedTenor"));
ZonedDateTimeBuilder zonedDateTimeBuilder = new ZonedDateTimeBuilder();
ZonedDateTime maturity =
zonedDateTimeBuilder.buildObject(context, message.getMessage("maturity"));
Identifier identifier =
context.fieldValueToObject(Identifier.class, message.getByName("identifier"));
Security security = (Security) context.fieldValueToObject(message.getByName("security"));
if (type == StripInstrumentType.FUTURE) {
int numFutures = message.getInt("numFutures");
return new FixedIncomeStripWithSecurity(
type, tenor, resolvedTenor, numFutures, maturity, identifier, security);
} else {
return new FixedIncomeStripWithSecurity(
type, tenor, resolvedTenor, maturity, identifier, security);
}
}