InterestRateForwardDebtPriceMappingProcessor updated to handle 'Percentage' quoteUnits [5.x.x] - Release

RELEASE.md

@@ -1,3 +1,21 @@
+# _Mapping Update - InterestRateForwardDebtPriceMappingProcessor updated to handle 'Percentage' quoteUnits_
+
+_Background_
+
+The price of bond forwards is captured as a monetary value whereas it should be a decimal/percentage. Even if the value in FpML was 'Percentage', the CDM representation value did not accurately represent this, causing misinterpretations.
+
+_What is being released?_
+
+- An update to the **InterestRateForwardDebtPriceMappingProcessor** code to fix the described issue. This change, would correct the interpretation by dividing the current monetary value by 100, when the *quoteUnits* corresponds to the XML value '*Percentage*'.
+- The **bond-fwd-generic-ex01.xml** and **bond-fwd-generic-ex02.xml** samples have been updated as the files were using the value 'Percent' but the correct value according to the enum should be 'Percentage'
+
+
+_Review directions_
+
+In Rosetta, select the Textual Browser and inspect each of the changes identified above.
+
+The changes can be reviewed in PR: [#3244](https://github.com/finos/common-domain-model/pull/3244)
+
 # _CDM Model - CapacityUnit Enum_
 
 _Background_

rosetta-source/src/main/java/cdm/product/template/processor/InterestRateForwardDebtPriceMappingProcessor.java

@@ -69,8 +69,13 @@ private Map<Path, List<Mapping>> findMappings(List<Mapping> mappings, Path synon
 
     private void addPrice(Path genenicProductPath, PriceQuantityBuilder priceQuantityBuilder, Path quotePath, List<Mapping> quoteMappings) {
         Mapping valueMapping = getNonNullMapping(quoteMappings, quotePath.addElement("value")).orElse(null);
+        Mapping quoteUnitsMapping = getNonNullMapping(quoteMappings, quotePath.addElement("quoteUnits")).orElse(null);
+
         if (isPriceNotation(quotePath, quoteMappings) && valueMapping != null) {
             BigDecimal rate = new BigDecimal(String.valueOf(valueMapping.getXmlValue()));
+            if (quoteUnitsMapping != null && String.valueOf(quoteUnitsMapping.getXmlValue()).equals("Percentage")){
+                rate = rate.divide(BigDecimal.valueOf(100));
+            }
             UnitType.UnitTypeBuilder unitType = toCurrencyUnitType(genenicProductPath);
             PriceTypeEnum priceType = PriceTypeEnum.ASSET_PRICE;
 

rosetta-source/src/main/resources/cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml

@@ -135,7 +135,7 @@
   <quote>
     <value>72.6600701</value>
     <measureType>PriceNotation</measureType>
-    <quoteUnits>Percent</quoteUnits>
+    <quoteUnits>Percentage</quoteUnits>
   </quote>
   <quote>
     <value>1</value>

rosetta-source/src/main/resources/cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml

@@ -136,7 +136,7 @@
     <quote>
         <value>52.6600701</value>
         <measureType>PriceNotation</measureType>
-        <quoteUnits>Percent</quoteUnits>
+        <quoteUnits>Percentage</quoteUnits>
     </quote>
     <quote>
         <value>1</value>

rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.json

@@ -206,7 +206,7 @@
         "priceQuantity" : [ {
           "price" : [ {
             "value" : {
-              "value" : 72.6600701,
+              "value" : 0.726600701,
               "unit" : {
                 "currency" : {
                   "value" : "JPY"
@@ -293,7 +293,7 @@
             }
           },
           "meta" : {
-            "globalKey" : "cd963b24"
+            "globalKey" : "8de01a3e"
           }
         } ]
       } ],
@@ -394,10 +394,10 @@
       }
     } ],
     "meta" : {
-      "globalKey" : "6b5f1e74"
+      "globalKey" : "3c625b8e"
     }
   },
   "meta" : {
-    "globalKey" : "6b5f1e74"
+    "globalKey" : "3c625b8e"
   }
 }

rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.json

@@ -206,7 +206,7 @@
         "priceQuantity" : [ {
           "price" : [ {
             "value" : {
-              "value" : 52.6600701,
+              "value" : 0.526600701,
               "unit" : {
                 "currency" : {
                   "value" : "JPY"
@@ -293,7 +293,7 @@
             }
           },
           "meta" : {
-            "globalKey" : "f9474587"
+            "globalKey" : "d5cb17dd"
           }
         } ]
       } ],
@@ -394,10 +394,10 @@
       }
     } ],
     "meta" : {
-      "globalKey" : "1163f6d6"
+      "globalKey" : "8ffc3b2c"
     }
   },
   "meta" : {
-    "globalKey" : "1163f6d6"
+    "globalKey" : "8ffc3b2c"
   }
 }