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Parse variable notional/rates #1572

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merged 2 commits into from Oct 4, 2017

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jodastephen commented Oct 3, 2017

There are lots of variable elements in Strata swaps, but the most crucial are notionals and fixed rates. While in theory these could be different on each leg, in most cases they are not. Thus, this PR concentrates on the standard variable cases - notional and fixed rate affecting all legs equally.

@jodastephen jodastephen added this to the v1.5 milestone Oct 3, 2017

@jodastephen jodastephen requested a review from brianweller89 Oct 3, 2017

.map(str -> LoaderUtils.parseDouble(str))
.ifPresent(notional -> stepBuilder.add(ValueStep.of(date, ValueAdjustment.ofReplace(notional))));
}
ImmutableList<ValueStep> vnotionals = stepBuilder.build();

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@brianweller89

brianweller89 Oct 3, 2017

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vNotionals rather than vnotionals

.map(str -> LoaderUtils.parseDoublePercent(str))
.ifPresent(fixedRate -> stepBuilder.add(ValueStep.of(date, ValueAdjustment.ofReplace(fixedRate))));
}
ImmutableList<ValueStep> vnotionals = stepBuilder.build();

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@brianweller89

brianweller89 Oct 3, 2017

Contributor

rates rather than notionals

@jodastephen jodastephen merged commit d92ac3c into master Oct 4, 2017

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@jodastephen jodastephen deleted the topic/vns branch Oct 4, 2017

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