/**
* 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.LocalDate;
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.index.IndexPrice;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition;
import com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedCompoundingDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.financial.analytics.conversion.CalendarUtils;
import com.opengamma.financial.analytics.ircurve.strips.ZeroCouponInflationNode;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.convention.InflationLegConvention;
import com.opengamma.financial.convention.PriceIndexConvention;
import com.opengamma.financial.convention.SwapFixedLegConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.id.ExternalId;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleEntryIterator;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeriesBuilder;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
*
*/
public class ZeroCouponInflationNodeConverter 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 data id */
private final ExternalId _dataId;
/** The valuation time */
private final ZonedDateTime _valuationTime;
/** The time series bundle */
private final HistoricalTimeSeriesBundle _timeSeries;
/**
* @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 data id, not null
* @param valuationTime The valuation time, not null
* @param timeSeries The time series, not null
*/
public ZeroCouponInflationNodeConverter(final ConventionSource conventionSource, final HolidaySource holidaySource, final RegionSource regionSource,
final SnapshotDataBundle marketData, final ExternalId dataId, final ZonedDateTime valuationTime, final HistoricalTimeSeriesBundle timeSeries) {
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");
ArgumentChecker.notNull(timeSeries, "time series");
_conventionSource = conventionSource;
_holidaySource = holidaySource;
_regionSource = regionSource;
_marketData = marketData;
_dataId = dataId;
_valuationTime = valuationTime;
_timeSeries = timeSeries;
}
@SuppressWarnings({"synthetic-access" })
@Override
public InstrumentDefinition<?> visitZeroCouponInflationNode(final ZeroCouponInflationNode inflationNode) {
final Double rate = _marketData.getDataPoint(_dataId);
if (rate == null) {
throw new OpenGammaRuntimeException("Could not get market data for " + _dataId);
}
final SwapFixedLegConvention fixedLegConvention = _conventionSource.getConvention(SwapFixedLegConvention.class, inflationNode.getFixedLegConvention());
if (fixedLegConvention == null) {
throw new OpenGammaRuntimeException("Convention with id " + inflationNode.getFixedLegConvention() + " was null");
}
final InflationLegConvention inflationLegConvention = _conventionSource.getConvention(InflationLegConvention.class, inflationNode.getInflationLegConvention());
if (inflationLegConvention == null) {
throw new OpenGammaRuntimeException("Convention with id " + inflationNode.getInflationLegConvention() + " was null");
}
final PriceIndexConvention priceIndexConvention = _conventionSource.getConvention(PriceIndexConvention.class, inflationLegConvention.getPriceIndexConvention());
if (priceIndexConvention == null) {
throw new OpenGammaRuntimeException("Convention with id " + inflationLegConvention.getPriceIndexConvention() + " was null");
}
final int settlementDays = fixedLegConvention.getSettlementDays();
final Period tenor = inflationNode.getTenor().getPeriod();
final double notional = 1;
//TODO business day convention and currency are in both conventions - should we enforce that they're the same or use
// different ones for each leg?
final BusinessDayConvention businessDayConvention = fixedLegConvention.getBusinessDayConvention();
final boolean endOfMonth = fixedLegConvention.isIsEOM();
final Currency currency = priceIndexConvention.getCurrency();
final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, priceIndexConvention.getRegion());
final ZoneId zone = _valuationTime.getZone(); //TODO time zone set to midnight UTC
final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar).toLocalDate().atStartOfDay(zone);
final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, businessDayConvention, calendar, endOfMonth).toLocalDate().atStartOfDay(zone);
final CouponFixedCompoundingDefinition fixedCoupon = CouponFixedCompoundingDefinition.from(currency, settlementDate, paymentDate, notional, tenor.getYears(),
rate);
final HistoricalTimeSeries ts = _timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, priceIndexConvention.getPriceIndexId());
if (ts == null) {
throw new OpenGammaRuntimeException("Could not get price index time series with id " + priceIndexConvention.getPriceIndexId());
}
final LocalDateDoubleTimeSeries localDateTS = ts.getTimeSeries();
final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries = convertTimeSeries(zone, localDateTS);
final int conventionalMonthLag = inflationLegConvention.getMonthLag();
final int monthLag = inflationLegConvention.getMonthLag();
final IndexPrice index = new IndexPrice(priceIndexConvention.getName(), currency);
switch (inflationNode.getInflationNodeType()) {
case INTERPOLATED:
{
final CouponInflationZeroCouponInterpolationDefinition inflationCoupon = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate,
-notional, index, conventionalMonthLag, monthLag, false);
return new SwapFixedInflationZeroCouponDefinition(fixedCoupon, inflationCoupon, calendar);
}
case MONTHLY:
{
final CouponInflationZeroCouponMonthlyDefinition inflationCoupon = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, -notional,
index, conventionalMonthLag, monthLag, false);
return new SwapFixedInflationZeroCouponDefinition(fixedCoupon, inflationCoupon, calendar);
}
default:
throw new OpenGammaRuntimeException("Could not handle inflation nodes of type " + inflationNode.getInflationNodeType());
}
}
private static ZonedDateTimeDoubleTimeSeries convertTimeSeries(final ZoneId timeZone, final LocalDateDoubleTimeSeries localDateTS) {
// FIXME Converting a daily historical time series to an arbitrary time - should not happen
final ZonedDateTimeDoubleTimeSeriesBuilder bld = ImmutableZonedDateTimeDoubleTimeSeries.builder(timeZone);
for (final LocalDateDoubleEntryIterator it = localDateTS.iterator(); it.hasNext(); ) {
final LocalDate date = it.nextTime();
final ZonedDateTime zdt = date.atStartOfDay(timeZone);
bld.put(zdt, it.currentValueFast());
}
return bld.build();
}
}