/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.curve;
import org.threeten.bp.LocalTime;
import org.threeten.bp.Period;
import org.threeten.bp.ZoneId;
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.future.FederalFundsFutureTransactionDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle;
import com.opengamma.core.region.RegionSource;
import com.opengamma.financial.analytics.conversion.CalendarUtils;
import com.opengamma.financial.analytics.ircurve.strips.RateFutureNode;
import com.opengamma.financial.convention.Convention;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.convention.ExchangeTradedInstrumentExpiryCalculator;
import com.opengamma.financial.convention.ExchangeTradedInstrumentExpiryCalculatorFactory;
import com.opengamma.financial.convention.FederalFundsFutureConvention;
import com.opengamma.financial.convention.IborIndexConvention;
import com.opengamma.financial.convention.InterestRateFutureConvention;
import com.opengamma.financial.convention.OvernightIndexConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Convert rate futures nodes into an {@link InstrumentDefinition}.
* The dates of the futures are computed in the following way:
* - The start date is the valuation date plus the "startTenor" without convention.
* - The last trade date is computed from the expiry calculator from the start date, plus the number of futures.
* - The delivery date is computed from the last trade date adding the "Settlement Days" (i.e. the number of business days) of the swap convention.
* The futures notional is 1.
*/
public class RateFutureNodeConverter extends CurveNodeVisitorAdapter<InstrumentDefinition<?>> {
/** The convention source */
private final ConventionSource _conventionSource;
/** The holiday source */
private final HolidaySource _holidaySource;
/** The region source */
private final RegionSource _regionSource;
/** The market data */
private final SnapshotDataBundle _marketData;
/** The market data id */
private final ExternalId _dataId;
/** The valuation time */
private final ZonedDateTime _valuationTime;
/**
* @param conventionSource The convention source, not null
* @param holidaySource The holiday source, not null
* @param regionSource The region source, not null
* @param marketData The market data, not null
* @param dataId The id of the market data, not null
* @param valuationTime The valuation time, not null
*/
public RateFutureNodeConverter(final ConventionSource conventionSource, final HolidaySource holidaySource, final RegionSource regionSource,
final SnapshotDataBundle marketData, final ExternalId dataId, final ZonedDateTime valuationTime) {
ArgumentChecker.notNull(conventionSource, "convention source");
ArgumentChecker.notNull(holidaySource, "holiday source");
ArgumentChecker.notNull(regionSource, "region source");
ArgumentChecker.notNull(marketData, "market data");
ArgumentChecker.notNull(dataId, "data id");
ArgumentChecker.notNull(valuationTime, "valuation time");
_conventionSource = conventionSource;
_holidaySource = holidaySource;
_regionSource = regionSource;
_marketData = marketData;
_dataId = dataId;
_valuationTime = valuationTime;
}
@Override
public InstrumentDefinition<?> visitRateFutureNode(final RateFutureNode rateFuture) {
final Convention futureConvention = _conventionSource.getConvention(rateFuture.getFutureConvention());
final Double price = _marketData.getDataPoint(_dataId);
if (price == null) {
throw new OpenGammaRuntimeException("Could not get market data for " + _dataId);
}
if (futureConvention == null) {
throw new OpenGammaRuntimeException("Future convention was null");
}
if (futureConvention instanceof InterestRateFutureConvention) {
return getInterestRateFuture(rateFuture, (InterestRateFutureConvention) futureConvention, price);
} else if (futureConvention instanceof FederalFundsFutureConvention) {
return getFederalFundsFuture(rateFuture, (FederalFundsFutureConvention) futureConvention, price);
}
throw new OpenGammaRuntimeException("Could not handle future convention of type " + futureConvention.getClass());
}
/**
* Creates an interest rate future from a rate future node.
* @param rateFuture The rate future node
* @param futureConvention The future convention
* @param price The price
* @return The interest rate future
*/
private InstrumentDefinition<?> getInterestRateFuture(final RateFutureNode rateFuture, final InterestRateFutureConvention futureConvention,
final Double price) {
final String expiryCalculatorName = futureConvention.getExpiryConvention().getValue();
final IborIndexConvention indexConvention = _conventionSource.getConvention(IborIndexConvention.class, rateFuture.getUnderlyingConvention());
if (indexConvention == null) {
throw new OpenGammaRuntimeException("Underlying convention was null");
}
final Period indexTenor = rateFuture.getUnderlyingTenor().getPeriod();
final double paymentAccrualFactor = indexTenor.toTotalMonths() / 12.; //TODO don't use this method
final Currency currency = indexConvention.getCurrency();
final Calendar fixingCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());
final Calendar regionCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
final DayCount dayCount = indexConvention.getDayCount();
final boolean eom = indexConvention.isIsEOM();
final int spotLag = indexConvention.getSettlementDays();
final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eom, indexConvention.getName());
final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
final LocalTime time = startDate.toLocalTime();
final ZoneId timeZone = startDate.getZone();
final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), regionCalendar), time, timeZone);
final InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(expiryDate, iborIndex, 1, paymentAccrualFactor, "", fixingCalendar);
final InterestRateFutureTransactionDefinition transactionDefinition = new InterestRateFutureTransactionDefinition(securityDefinition, _valuationTime, price, 1);
return transactionDefinition;
}
/**
* Creates a Federal fund future from a rate future node.
* @param rateFuture The rate future node
* @param futureConvention The future convention
* @param price The price
* @return The Fed fund future
*/
private InstrumentDefinition<?> getFederalFundsFuture(final RateFutureNode rateFuture, final FederalFundsFutureConvention futureConvention,
final Double price) {
final String expiryCalculatorName = futureConvention.getExpiryConvention().getValue();
final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, rateFuture.getUnderlyingConvention());
if (indexConvention == null) {
throw new OpenGammaRuntimeException("Underlying convention was null");
}
final Currency currency = indexConvention.getCurrency();
final DayCount dayCount = indexConvention.getDayCount();
final int publicationLag = indexConvention.getPublicationLag();
final IndexON index = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
final double paymentAccrualFactor = 1 / 12.;
final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
final LocalTime time = startDate.toLocalTime();
final ZoneId timeZone = startDate.getZone();
final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), calendar), time, timeZone);
final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(expiryDate,
index, 1, paymentAccrualFactor, "", calendar);
final FederalFundsFutureTransactionDefinition transactionDefinition = new FederalFundsFutureTransactionDefinition(securityDefinition, 1, _valuationTime, price);
return transactionDefinition;
}
}