Parse variable notional/rates #1572
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brianweller89
approved these changes
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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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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rates rather than notionals
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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.