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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.
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package net.finmath.modelling.descriptor.xmlparser;

import java.io.File;
import java.io.IOException;
import java.time.LocalDate;
import java.util.Objects;

import javax.xml.parsers.DocumentBuilderFactory;
import javax.xml.parsers.ParserConfigurationException;

import org.w3c.dom.Document;
import org.w3c.dom.Element;
import org.w3c.dom.Node;
import org.w3c.dom.NodeList;
import org.xml.sax.SAXException;

import net.finmath.modelling.ProductDescriptor;
import net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor;
import net.finmath.modelling.descriptor.InterestRateSwapProductDescriptor;
import net.finmath.modelling.descriptor.ScheduleDescriptor;
import net.finmath.time.ScheduleGenerator;
import net.finmath.time.ScheduleGenerator.DaycountConvention;
import net.finmath.time.ScheduleGenerator.Frequency;
import net.finmath.time.ScheduleGenerator.ShortPeriodConvention;
import net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar;
import net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention;
import net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays;

/**
 * Class for parsing trades saved in FpML to product descriptors.
 *
 * @author Christian Fries
 * @author Roland Bachl
 *
 */
public class FPMLParser implements XMLParser {

	private final String homePartyId;
	private final String forwardCurveName;
	private final String discountCurveName;

	private final AbstractBusinessdayCalendar abstractBusinessdayCalendar = new BusinessdayCalendarExcludingTARGETHolidays();
	private final ShortPeriodConvention shortPeriodConvention= ScheduleGenerator.ShortPeriodConvention.LAST;

	/**
	 * Construct the parser.
	 *
	 * @param homePartyId Id of the agent doing the valuation.
	 * @param forwardCurveName Name of the forward curve to be given to the descriptors.
	 * @param discountCurveName Name of the discount curve to be given to the descriptors.
	 */
	public FPMLParser(final String homePartyId, final String forwardCurveName, final String discountCurveName) {
		super();
		this.homePartyId = homePartyId;
		this.forwardCurveName = forwardCurveName;
		this.discountCurveName = discountCurveName;
	}

	/**
	 * Construct the parser.
	 *
	 * @param homePartyId Id of the agent doing the valuation.
	 * @param discountCurveName Name of the discount curve to be given to the descriptors.
	 */
	public FPMLParser(final String homePartyId, final String discountCurveName) {
		this(homePartyId, null, discountCurveName);
	}

	@Override
	public ProductDescriptor getProductDescriptor(final File file) throws SAXException, IOException, ParserConfigurationException {

		final Document doc = DocumentBuilderFactory.newInstance().newDocumentBuilder().parse(file);
		doc.getDocumentElement().normalize();

		return getProductDescriptor(doc);
	}

	/**
	 * Generates a product descriptor from an already existing Document.
	 *
	 * @param node The leaf node where the product description starts in the XML.
	 * @return ProductDescriptor
	 * @throws IllegalArgumentException Thrown id the document is not an FpML 5 document.
	 */
	public ProductDescriptor getProductDescriptor(Node node) {

		//Check compatibility and assign proper parser
		if (!node.getNodeName().equalsIgnoreCase("dataDocument")) {
			throw new IllegalArgumentException("This parser is meant for XML of type dataDocument, according to FpML 5, but file is " + node.getNodeName() + ".");
		}

		if (!node.getAttributes().getNamedItem("fpmlVersion").getNodeValue().split("-")[0].equals("5")) {
			throw new IllegalArgumentException("This parser is meant for FpML of version 5.*, file is version " + node.getAttributes().getNamedItem("fpmlVersion"));
		}

		//Isolate trade node
		Element trade = null;
		String tradeName = null;

		final NodeList tradeWrapper = node.getOwnerDocument().getElementsByTagName("trade").item(0).getChildNodes();
		for(int index = 0; index < tradeWrapper.getLength(); index++) {
			if(tradeWrapper.item(index).getNodeType() != Node.ELEMENT_NODE) {
				continue;
			}
			if(tradeWrapper.item(index).getNodeName().equalsIgnoreCase("tradeHeader")) {
				continue;
			}
			trade = (Element) tradeWrapper.item(index);
			tradeName		= trade.getNodeName().toUpperCase();
			break;
		}

		if(Objects.isNull(trade)) throw new IllegalArgumentException(" node is missing.");

		if("SWAP".equals(tradeName)) {
			return getSwapProductDescriptor(trade);
		}
		else {
			throw new IllegalArgumentException("This FpML parser is not set up to process trades of type "+tradeName+".");
		}

	}

	/**
	 * Construct an InterestRateSwapProductDescriptor from a node in a FpML file.
	 *
	 * @param trade The node containing the swap.
	 * @return Descriptor of the swap.
	 */
	private ProductDescriptor getSwapProductDescriptor(final Element trade) {

		InterestRateSwapLegProductDescriptor legReceiver = null;
		InterestRateSwapLegProductDescriptor legPayer = null;

		final NodeList legs = trade.getElementsByTagName("swapStream");
		for(int legIndex = 0; legIndex < legs.getLength(); legIndex++) {
			final Element leg = (Element) legs.item(legIndex);

			final boolean isPayer = leg.getElementsByTagName("payerPartyReference").item(0).getAttributes().getNamedItem("href").getNodeValue().equals(homePartyId);

			if(isPayer) {
				legPayer = getSwapLegProductDescriptor(leg);
			} else {
				legReceiver = getSwapLegProductDescriptor(leg);
			}
		}

		return new InterestRateSwapProductDescriptor(legReceiver, legPayer);
	}

	/**
	 * Construct an InterestRateSwapLegProductDescriptor from a node in a FpML file.
	 *
	 * @param leg The node containing the leg.
	 * @return Descriptor of the swap leg.
	 */
	private InterestRateSwapLegProductDescriptor getSwapLegProductDescriptor(final Element leg) {

		//is this a fixed rate leg?
		final boolean isFixed = leg.getElementsByTagName("calculationPeriodDates").item(0).getAttributes().getNamedItem("id").getTextContent().equalsIgnoreCase("fixedCalcPeriodDates");

		//get start and end dates of contract
		final LocalDate startDate		= LocalDate.parse(((Element) leg.getElementsByTagName("effectiveDate").item(0)).getElementsByTagName("unadjustedDate").item(0).getTextContent());
		final LocalDate maturityDate	= LocalDate.parse(((Element) leg.getElementsByTagName("terminationDate").item(0)).getElementsByTagName("unadjustedDate").item(0).getTextContent());

		//determine fixing/payment offset if available
		int fixingOffsetDays = 0;
		if(leg.getElementsByTagName("fixingDates").getLength() > 0) {
			fixingOffsetDays = Integer.parseInt(((Element) leg.getElementsByTagName("fixingDates").item(0)).getElementsByTagName("periodMultiplier").item(0).getTextContent());
		}
		int paymentOffsetDays = 0;
		if(leg.getElementsByTagName("paymentDaysOffset").getLength() > 0) {
			paymentOffsetDays = Integer.parseInt(((Element) leg.getElementsByTagName("paymentDaysOffset").item(0)).getElementsByTagName("periodMultiplier").item(0).getTextContent());
		}

		//Crop xml date roll convention to match internal format
		String xmlInput = ((Element) leg.getElementsByTagName("calculationPeriodDatesAdjustments").item(0)).getElementsByTagName("businessDayConvention").item(0).getTextContent();
		xmlInput = xmlInput.replaceAll("ING", "");
		final DateRollConvention dateRollConvention = DateRollConvention.getEnum(xmlInput);

		//get daycount convention
		final DaycountConvention daycountConvention = DaycountConvention.getEnum(leg.getElementsByTagName("dayCountFraction").item(0).getTextContent());

		//get trade frequency
		Frequency frequency = null;
		final Element calcNode = (Element) leg.getElementsByTagName("calculationPeriodFrequency").item(0);
		final int multiplier = Integer.parseInt(calcNode.getElementsByTagName("periodMultiplier").item(0).getTextContent());

		switch(calcNode.getElementsByTagName("period").item(0).getTextContent().toUpperCase()) {
		case "D" : if(multiplier == 1) {frequency = Frequency.DAILY;} break;
		case "Y" : if(multiplier == 1) {frequency = Frequency.ANNUAL;} break;
		case "M" :
			switch(multiplier) {
			case 1 : frequency = Frequency.MONTHLY; break;
			case 3 : frequency = Frequency.QUARTERLY; break;
			case 6 : frequency = Frequency.SEMIANNUAL; break;
			default:
				throw new IllegalArgumentException("Unknown periodMultiplier "+calcNode.getElementsByTagName("periodMultiplier").item(0).getTextContent()+".");
			}
			break;
		default:
			throw new IllegalArgumentException("Unknown period "+calcNode.getElementsByTagName("period").item(0).getTextContent()+".");
		}

		//build schedule
		final ScheduleDescriptor schedule = new ScheduleDescriptor(startDate, maturityDate, frequency, daycountConvention, shortPeriodConvention,
				dateRollConvention, abstractBusinessdayCalendar, fixingOffsetDays, paymentOffsetDays);

		// get notional
		final double notional = Double.parseDouble(((Element) leg.getElementsByTagName("notionalSchedule").item(0)).getElementsByTagName("initialValue").item(0).getTextContent());

		// get fixed rate and forward curve if applicable
		double spread = 0;
		String forwardCurveName = "";
		if(isFixed) {
			spread = Double.parseDouble(((Element) leg.getElementsByTagName("fixedRateSchedule").item(0)).getElementsByTagName("initialValue").item(0).getTextContent());
		} else {
			// The forward curve in the product is overwritten if the parser has a set forward curve
			forwardCurveName = Objects.isNull(this.forwardCurveName) ? leg.getElementsByTagName("floatingRateIndex").item(0).getTextContent() : this.forwardCurveName;
		}

		return new InterestRateSwapLegProductDescriptor(forwardCurveName, discountCurveName, schedule, notional, spread, false);
	}

}