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Feature/526, parse currency out of fpml #83

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Aug 28, 2024
Merged

Feature/526, parse currency out of fpml #83

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8 changes: 7 additions & 1 deletion src/main/java/net/finmath/smartcontract/product/SmartDerivativeContractDescriptor.java
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Original file line number Diff line number Diff line change
Expand Up @@ -26,6 +26,7 @@ public class SmartDerivativeContractDescriptor {
private final String recervicePartyID;
private final Node underlying;
private final List<CalibrationDataItem.Spec> marketdataItemList;
private final String currency;

/**
* Descriptor for a smart derivative contract counterparty. Unified access to a party definition in an XML.
Expand Down Expand Up @@ -71,7 +72,7 @@ public String toString() {
}
}

public SmartDerivativeContractDescriptor(String dltTradeId, String dltAddress, String uniqueTradeIdentifier, LocalDateTime tradeDate, List<Party> counterparties, Map<String, Double> marginAccountInitialByPartyID, Map<String, Double> penaltyFeeInitialByPartyID, String recervicePartyID, Node underlying, List<CalibrationDataItem.Spec> marketdataItems) {
public SmartDerivativeContractDescriptor(String dltTradeId, String dltAddress, String uniqueTradeIdentifier, LocalDateTime tradeDate, List<Party> counterparties, Map<String, Double> marginAccountInitialByPartyID, Map<String, Double> penaltyFeeInitialByPartyID, String recervicePartyID, Node underlying, List<CalibrationDataItem.Spec> marketdataItems, String currency) {
this.dltTradeId = dltTradeId;
this.dltAddress = dltAddress;
this.uniqueTradeIdentifier = uniqueTradeIdentifier;
Expand All @@ -82,6 +83,7 @@ public SmartDerivativeContractDescriptor(String dltTradeId, String dltAddress, S
this.recervicePartyID = recervicePartyID;
this.marketdataItemList = marketdataItems;
this.underlying = underlying;
this.currency = currency;

Validate.isTrue(counterparties.size() == 2, "Number of counterparties must be 2.");
Validate.isTrue(marginAccountInitialByPartyID.size() == 2, "Number of margin accounts values must be 2.");
Expand Down Expand Up @@ -142,4 +144,8 @@ public String getUnderlyingReceiverPartyID() {
}

public List<CalibrationDataItem.Spec> getMarketdataItemList() {return marketdataItemList;}

public String getCurrency() {
return currency;
}
}
4 changes: 3 additions & 1 deletion src/main/java/net/finmath/smartcontract/product/xml/SDCXMLParser.java
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Expand Up @@ -92,8 +92,10 @@ public static SmartDerivativeContractDescriptor parse(String sdcxml) throws Pars
if (!underlying.getNodeName().equals("dataDocument")) {
underlying = underlying.getNextSibling();
}
Swap swap = (Swap) sdc.getUnderlyings().getUnderlying().getDataDocument().getTrade().get(0).getProduct().getValue();
String currency = swap.getSwapStream().get(0).getCalculationPeriodAmount().getCalculation().getNotionalSchedule().getNotionalStepSchedule().getCurrency().getValue().trim();

return new SmartDerivativeContractDescriptor(dltTradeId, dltAddress, uniqueTradeIdentifier, settlementDateInitial, parties, marginAccountInitialByPartyID, penaltyFeeInitialByPartyID, receiverPartyID, underlying, marketdataItems);
return new SmartDerivativeContractDescriptor(dltTradeId, dltAddress, uniqueTradeIdentifier, settlementDateInitial, parties, marginAccountInitialByPartyID, penaltyFeeInitialByPartyID, receiverPartyID, underlying, marketdataItems, currency);
}

public static <T> T unmarshalXml(String xml, Class<T> t) {
Expand Down
1 change: 1 addition & 0 deletions src/test/java/net/finmath/smartcontract/product/xml/SDCXMLParserTest.java
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Expand Up @@ -40,6 +40,7 @@ void testParser() throws IOException, SAXException, ParserConfigurationException
Assertions.assertEquals("UTI12345", sdc.getUniqueTradeIdentifier());
Assertions.assertEquals("ID-Test123", sdc.getDltTradeId());
Assertions.assertEquals("0x000000001", sdc.getDltAddress());
Assertions.assertEquals("EUR", sdc.getCurrency());

// Get parties
List<SmartDerivativeContractDescriptor.Party> parties = sdc.getCounterparties();
Expand Down