Default day count from index #1553
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jodastephen
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| FloatingRateIndex index = parseIndex(row, legPrefix); | ||
| if (index != null) { | ||
| // floating leg | ||
| indices.add(index); |
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indices.add(index) can be outside the if loop rather than here; will still add null for the fixed rate
| // fixed leg | ||
| indices.add(null); | ||
| if (!findValue(row, legPrefix, DAY_COUNT_FIELD).isPresent()) { | ||
| missingDayCount = true; |
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Do we even need the missingDayCount check? Feels like this is an unnecessary layer of complexity in what is already quite complex code.
What's the harm of passing a non-null default into the parseLegs method? Will just be ignored if the fixed leg has defined value.
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Case is where there is a fixed leg and two floating legs with different day counts. Must only trigger the "check day unique" logic when day count is actually missing.
| throw new IllegalArgumentException( | ||
| "Swap leg must define day count on fixed legs when more than 2 floating legs"); | ||
| } | ||
| defaultFixedLegDayCount = dayCounts.iterator().next(); |
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I like the readibility of Iterables.getOnlyElement() in these situations
| @@ -293,68 +377,49 @@ private static NotionalSchedule parseNotionalSchedule(CsvRow row, String leg) { | |||
| private static RateCalculation parseRateCalculation( | |||
| CsvRow row, | |||
| String leg, | |||
| FloatingRateIndex index, | |||
| DayCount defaultFixedLegDayCount, | |||
| BusinessDayAdjustment bda, | |||
| Frequency accrualFrequency, | |||
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accrual frequency not used anymore
| if (frn.getType() == FloatingRateType.IBOR) { | ||
| // re-parse Ibor using tenor, which ensures tenor picked up from indexStr if present | ||
| Frequency freq = Frequency.parse(getValue(row, leg, FREQUENCY_FIELD)); | ||
| Tenor iborTenor = freq.isTerm() ? frn.getDefaultTenor() : Tenor.of(freq.getPeriod()); |
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Not immediately related to this PR but our getDefaultTenor() logic is not fully correct here.
Default tenor for most major currencies is 6M, with only USD being 3M
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* This is useful for providing a basic default where errors need to be avoided.
* The value returned is not intended to be based on market conventions."
Use additional `FloatingRateIndex` logic to default day count
jodastephen
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Use additional
FloatingRateIndexlogic to default day count.Determines the index for each leg first, then calculates the default day count, then parses.