private FxSingle parseLeg(
XmlElement legEl, FpmlDocument document, TradeInfo.Builder tradeInfoBuilder) {
// supported elements:
// 'exchangedCurrency1/paymentAmount'
// 'exchangedCurrency2/paymentAmount'
// 'valueDate'
// ignored elements:
// 'dealtCurrency?'
// 'exchangeRate'
// rejected elements:
// 'nonDeliverableSettlement?'
// 'currency1ValueDate'
// 'currency2ValueDate'
document.validateNotPresent(legEl, "currency1ValueDate");
document.validateNotPresent(legEl, "currency2ValueDate");
document.validateNotPresent(legEl, "nonDeliverableSettlement");
XmlElement curr1El = legEl.getChild("exchangedCurrency1");
XmlElement curr2El = legEl.getChild("exchangedCurrency2");
// pay/receive and counterparty
PayReceive curr1PayReceive = document.parsePayerReceiver(curr1El, tradeInfoBuilder);
PayReceive curr2PayReceive = document.parsePayerReceiver(curr2El, tradeInfoBuilder);
if (curr1PayReceive == curr2PayReceive) {
throw new FpmlParseException(
"FX single leg currencies must not have same Pay/Receive direction");
}
// amount
CurrencyAmount curr1Amount = document.parseCurrencyAmount(curr1El.getChild("paymentAmount"));
CurrencyAmount curr2Amount = document.parseCurrencyAmount(curr2El.getChild("paymentAmount"));
if (curr1PayReceive == PayReceive.PAY) {
curr1Amount = curr1Amount.negative();
curr2Amount = curr2Amount.positive();
} else {
curr1Amount = curr1Amount.positive();
curr2Amount = curr2Amount.negative();
}
// payment date
LocalDate valueDate = document.parseDate(legEl.getChild("valueDate"));
// result
return FxSingle.of(curr1Amount, curr2Amount, valueDate);
}
// -------------------------------------------------------------------------
@Override
public Trade parseTrade(XmlElement tradeEl, FpmlDocument document) {
// supported elements:
// 'nearLeg'
// 'farLeg'
TradeInfo.Builder tradeInfoBuilder = document.parseTradeInfo(tradeEl);
XmlElement fxEl = tradeEl.getChild("fxSwap");
FxSingle nearLeg = parseLeg(fxEl.getChild("nearLeg"), document, tradeInfoBuilder);
FxSingle farLeg = parseLeg(fxEl.getChild("farLeg"), document, tradeInfoBuilder);
return FxSwapTrade.builder()
.tradeInfo(tradeInfoBuilder.build())
.product(FxSwap.of(nearLeg, farLeg))
.build();
}
