/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.conversion;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.future.BondFutureDefinition;
import com.opengamma.analytics.financial.instrument.future.BondFutureOptionPremiumSecurityDefinition;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.future.BondFutureSecurity;
import com.opengamma.financial.security.option.BondFutureOptionSecurity;
import com.opengamma.financial.security.option.OptionType;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class BondFutureOptionSecurityConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
private final SecuritySource _securitySource;
private final BondFutureSecurityConverter _underlyingConverter;
public BondFutureOptionSecurityConverter(final HolidaySource holidaySource, final ConventionBundleSource conventionSource, final RegionSource regionSource,
final SecuritySource securitySource) {
ArgumentChecker.notNull(securitySource, "security source");
final BondSecurityConverter bondSecurityConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
_underlyingConverter = new BondFutureSecurityConverter(securitySource, bondSecurityConverter);
_securitySource = securitySource;
}
@Override
public InstrumentDefinition<?> visitBondFutureOptionSecurity(final BondFutureOptionSecurity security) {
ArgumentChecker.notNull(security, "security");
final ExternalId underlyingIdentifier = security.getUnderlyingId();
final BondFutureSecurity underlyingSecurity = ((BondFutureSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier)));
if (underlyingSecurity == null) {
throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " was not found in database");
}
final BondFutureDefinition underlyingFuture = _underlyingConverter.visitBondFutureSecurity(underlyingSecurity);
final ZonedDateTime expirationDate = security.getExpiry().getExpiry();
final double strike = security.getStrike();
final boolean isCall = security.getOptionType() == OptionType.CALL ? true : false;
return new BondFutureOptionPremiumSecurityDefinition(underlyingFuture, expirationDate, strike, isCall);
}
}