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Add FpML parsing for CDS and CDX #1474

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merged 2 commits into from Jan 20, 2017
Merged

Add FpML parsing for CDS and CDX #1474

merged 2 commits into from Jan 20, 2017

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@jodastephen
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@jodastephen jodastephen commented Jan 19, 2017

Ensure lots of sample FpML files parse

Ensure lots of sample FpML files parse

// handle a single protectionTerms element
XmlElement protectionTermEl = cdsEl.getChild("protectionTerms");
CurrencyAmount notional = document.parseCurrencyAmount(protectionTermEl.getChild("calculationAmount"));

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@yukiiwashita

yukiiwashita Jan 20, 2017
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Is it helpful to check the notional values in the two fields are the same?

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@jodastephen

jodastephen Jan 20, 2017
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I think we can ignore the issue for now.

*/
@PropertyDefinition(validate = "notNull")
private final ProtectionStartOfDay protectionStart;
/**
* The number of days between valuation date and step-in date.
* <p>
* The step-in date is also called protection effective date.
* It is usually 1 calendar day for standardized CDS index contracts.
* It is usually 1 calendar day for standardized CDS contracts.

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@yukiiwashita

yukiiwashita Jan 20, 2017
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CDS -> CDS index

* <p>
* The following features are not available in the Strata trade model:
* <ul>
* <li>initial fixing date

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@yukiiwashita

yukiiwashita Jan 20, 2017
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These comments are relevant for CDSs?

@yukiiwashita yukiiwashita merged commit 4de7a53 into topic/cds-merge Jan 20, 2017
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@jodastephen jodastephen deleted the topic/cds-fpml branch Jan 23, 2017
@jodastephen jodastephen modified the milestone: v1.2 Feb 17, 2017
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