/**
* 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 static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.FED_FUNDS_FUTURE;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.SCHEME_NAME;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.future.FederalFundsFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.convention.FederalFundsFutureConvention;
import com.opengamma.financial.convention.OvernightIndexConvention;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.future.FederalFundsFutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Converts Federal funds future securities into the definition form used by the analytics library.
*/
public class FederalFundsFutureSecurityConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
/** The holiday source */
private final HolidaySource _holidaySource;
/** The convention bundle source */
private final ConventionSource _conventionSource;
/** The region source */
private final RegionSource _regionSource;
/**
* @param holidaySource The holiday source, not null
* @param conventionSource The convention source, not null
* @param regionSource The region source, not null
*/
public FederalFundsFutureSecurityConverter(final HolidaySource holidaySource, final ConventionSource conventionSource, final RegionSource regionSource) {
ArgumentChecker.notNull(holidaySource, "holiday source");
ArgumentChecker.notNull(conventionSource, "convention source");
ArgumentChecker.notNull(regionSource, "region source");
_holidaySource = holidaySource;
_conventionSource = conventionSource;
_regionSource = regionSource;
}
@Override
public FederalFundsFutureSecurityDefinition visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
ArgumentChecker.notNull(security, "security");
final ZonedDateTime lastTradeDate = security.getExpiry().getExpiry();
final Currency currency = security.getCurrency();
final FederalFundsFutureConvention convention = _conventionSource.getConvention(FederalFundsFutureConvention.class, ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
if (convention == null) {
throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
}
final OvernightIndexConvention overnightIndexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, convention.getIndexConvention());
final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
final IndexON index = new IndexON(overnightIndexConvention.getName(), currency, overnightIndexConvention.getDayCount(), overnightIndexConvention.getPublicationLag());
final double paymentAccrualFactor = 1 / 12.; //TODO should not be hard-coded
final double notional = security.getUnitAmount() / paymentAccrualFactor;
return FederalFundsFutureSecurityDefinition.from(lastTradeDate, index, notional, paymentAccrualFactor, security.getName(), calendar);
}
@Override
public InstrumentDefinition<?> visitFederalFundsFutureSecurity(FederalFundsFutureSecurity security) {
ArgumentChecker.notNull(security, "security");
final ZonedDateTime lastTradeDate = security.getExpiry().getExpiry();
final Currency currency = security.getCurrency();
final FederalFundsFutureConvention convention = _conventionSource.getConvention(FederalFundsFutureConvention.class, ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
if (convention == null) {
throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
}
final OvernightIndexConvention overnightIndexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, convention.getIndexConvention());
final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
final IndexON index = new IndexON(overnightIndexConvention.getName(), currency, overnightIndexConvention.getDayCount(), overnightIndexConvention.getPublicationLag());
final double paymentAccrualFactor = 1 / 12.; //TODO should not be hard-coded
final double notional = security.getUnitAmount() / paymentAccrualFactor;
return FederalFundsFutureSecurityDefinition.from(lastTradeDate, index, notional, paymentAccrualFactor, security.getName(), calendar);
}
}