/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.conversion;
import org.apache.commons.lang.Validate;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSSpreadDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexSwap;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.frequency.Frequency;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.capfloor.CapFloorCMSSpreadSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
/**
*
*/
public class CapFloorCMSSpreadSecurityConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
private final HolidaySource _holidaySource;
private final ConventionBundleSource _conventionSource;
private final RegionSource _regionSource;
public CapFloorCMSSpreadSecurityConverter(final HolidaySource holidaySource, final ConventionBundleSource conventionSource, final RegionSource regionSource) {
Validate.notNull(holidaySource, "holiday source");
Validate.notNull(conventionSource, "convention source");
_holidaySource = holidaySource;
_conventionSource = conventionSource;
_regionSource = regionSource;
}
@Override
public InstrumentDefinition<?> visitCapFloorCMSSpreadSecurity(final CapFloorCMSSpreadSecurity capFloorCMSSpreadSecurity) {
Validate.notNull(capFloorCMSSpreadSecurity, "cap/floor security");
final ZonedDateTime startDate = capFloorCMSSpreadSecurity.getStartDate();
final ZonedDateTime endDate = capFloorCMSSpreadSecurity.getMaturityDate();
final double notional = capFloorCMSSpreadSecurity.getNotional();
final Currency currency = capFloorCMSSpreadSecurity.getCurrency();
final Frequency payFreq = capFloorCMSSpreadSecurity.getFrequency();
// FIXME: convert frequency to period in a better way
final Period tenorPayment = getTenor(payFreq);
final ExternalId[] swapIndexId = new ExternalId[2];
swapIndexId[0] = capFloorCMSSpreadSecurity.getLongId();
swapIndexId[1] = capFloorCMSSpreadSecurity.getShortId();
final ConventionBundle[] swapIndexConvention = new ConventionBundle[2];
final ConventionBundle[] iborIndexConvention = new ConventionBundle[2];
for (int loopindex = 0; loopindex < 2; loopindex++) {
swapIndexConvention[loopindex] = _conventionSource.getConventionBundle(swapIndexId[loopindex]);
if (swapIndexConvention[loopindex] == null) {
throw new OpenGammaRuntimeException("Could not get swap index convention for " + swapIndexId[loopindex].toString());
}
iborIndexConvention[loopindex] = _conventionSource.getConventionBundle(swapIndexConvention[loopindex].getSwapFloatingLegInitialRate());
if (iborIndexConvention[loopindex] == null) {
throw new OpenGammaRuntimeException("Could not get ibor index convention for " + swapIndexConvention[loopindex].getSwapFloatingLegInitialRate());
}
}
final ExternalId regionId = swapIndexConvention[0].getSwapFloatingLegRegion();
final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
final IborIndex[] iborIndex = new IborIndex[2];
final IndexSwap[] swapIndex = new IndexSwap[2];
for (int loopindex = 0; loopindex < 2; loopindex++) {
iborIndex[loopindex] = new IborIndex(currency, tenorPayment, iborIndexConvention[loopindex].getSettlementDays(), iborIndexConvention[loopindex].getDayCount(),
iborIndexConvention[loopindex].getBusinessDayConvention(), iborIndexConvention[loopindex].isEOMConvention());
final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention[loopindex].getSwapFixedLegFrequency());
swapIndex[loopindex] = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention[loopindex].getSwapFixedLegDayCount(), iborIndex[loopindex], swapIndexConvention[loopindex].getPeriod(), calendar);
}
return AnnuityCapFloorCMSSpreadDefinition.from(startDate, endDate, notional, swapIndex[0], swapIndex[1], tenorPayment, capFloorCMSSpreadSecurity.getDayCount(),
capFloorCMSSpreadSecurity.isPayer(), capFloorCMSSpreadSecurity.getStrike(), capFloorCMSSpreadSecurity.isCap(), calendar, calendar);
}
// FIXME: convert frequency to period in a better way
private Period getTenor(final Frequency freq) {
Period tenor;
if (Frequency.ANNUAL_NAME.equals(freq.getConventionName())) {
tenor = Period.ofMonths(12);
} else if (Frequency.SEMI_ANNUAL_NAME.equals(freq.getConventionName())) {
tenor = Period.ofMonths(6);
} else if (Frequency.QUARTERLY_NAME.equals(freq.getConventionName())) {
tenor = Period.ofMonths(3);
} else if (Frequency.MONTHLY_NAME.equals(freq.getConventionName())) {
tenor = Period.ofMonths(1);
} else {
throw new OpenGammaRuntimeException("Can only handle annual, semi-annual, quarterly and monthly frequencies for cap/floor CMS spreads");
}
return tenor;
}
}