/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.generator;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.financial.analytics.ircurve.CurveSpecificationBuilderConfiguration;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.frequency.Frequency;
import com.opengamma.financial.convention.frequency.SimpleFrequency;
import com.opengamma.financial.security.capfloor.CapFloorSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
/**
* Source of random, but reasonable, Cap/Floor securities.
*/
public class CapFloorSecurityGenerator extends SecurityGenerator<CapFloorSecurity> {
private static final Logger s_logger = LoggerFactory.getLogger(CapFloorSecurityGenerator.class);
private static final DayCount[] DAY_COUNT = new DayCount[] {DayCountFactory.INSTANCE.getDayCount("Act/360"), DayCountFactory.INSTANCE.getDayCount("30U/360") };
private static final Frequency[] FREQUENCY = new Frequency[] {SimpleFrequency.QUARTERLY, SimpleFrequency.SEMI_ANNUAL, SimpleFrequency.ANNUAL };
private static final Tenor[] TENORS = new Tenor[] {Tenor.TWO_YEARS, Tenor.FIVE_YEARS, Tenor.ofYears(10), Tenor.ofYears(20) };
private static final Tenor[] IBOR_TENORS = new Tenor[] {Tenor.ONE_DAY, Tenor.TWO_DAYS, Tenor.THREE_DAYS, Tenor.ofDays(7), Tenor.ofDays(14), Tenor.ofDays(21),
Tenor.ONE_MONTH, Tenor.TWO_MONTHS, Tenor.THREE_MONTHS, Tenor.FOUR_MONTHS, Tenor.FIVE_MONTHS, Tenor.SIX_MONTHS, Tenor.SEVEN_MONTHS, Tenor.EIGHT_MONTHS,
Tenor.NINE_MONTHS, Tenor.TEN_MONTHS, Tenor.ELEVEN_MONTHS};
public static String createName(final boolean ibor, final boolean cap, final double strike, final ZonedDateTime startDate, final ZonedDateTime maturityDate, final Frequency frequency,
final Currency currency, final double notional) {
final StringBuilder sb = new StringBuilder();
sb.append(ibor ? "Ibor " : "CMS ");
sb.append(cap ? "cap " : "floor");
sb.append(" @ ").append(strike).append(" [").append(startDate.toString(DATE_FORMATTER)).append(" - ").append(maturityDate.toString(DATE_FORMATTER)).append("], ");
sb.append(frequency.getConventionName()).append(", ").append(currency.getCode()).append(' ').append(NOTIONAL_FORMATTER.format(notional));
return sb.toString();
}
private ExternalId getUnderlying(final Currency ccy, final LocalDate tradeDate, final Tenor tenor, final boolean ibor) {
final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
if (curveSpecConfig == null) {
return null;
}
if (ibor) {
return curveSpecConfig.getLiborSecurity(tradeDate, tenor);
} else {
if (ccy.equals(Currency.USD)) {
return curveSpecConfig.getSwap3MSecurity(tradeDate, tenor);
} else {
return curveSpecConfig.getSwap6MSecurity(tradeDate, tenor);
}
}
}
@Override
public CapFloorSecurity createSecurity() {
final Currency currency = getRandomCurrency();
final boolean payer = getRandom().nextBoolean();
final boolean cap = getRandom().nextBoolean();
final boolean ibor = getRandom().nextBoolean();
final ZonedDateTime startDate = previousWorkingDay(ZonedDateTime.now().minusDays(getRandom(365) + 7), currency);
final int length = getRandom(22) + 3;
final ZonedDateTime maturityDate = nextWorkingDay(startDate.plusYears(length), currency);
final double notional = (double) getRandom(100000) * 1000;
ExternalId underlyingIdentifier = null;
Tenor tenor = ibor ? getRandom(IBOR_TENORS) : getRandom(TENORS);
try {
underlyingIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor, ibor);
if (underlyingIdentifier == null) {
return null;
}
} catch (Exception ex) {
s_logger.warn("Unable to obtain underlying id for " + currency + " " + startDate.toLocalDate() + " " + tenor, ex);
return null;
}
final double strike = 0.01 + (double) getRandom(6) / 200;
final Frequency frequency = getRandom(FREQUENCY);
final DayCount dayCount = getRandom(DAY_COUNT);
final CapFloorSecurity capFloor = new CapFloorSecurity(startDate, maturityDate, notional, underlyingIdentifier, strike, frequency, currency, dayCount, payer, cap, ibor);
capFloor.setName(createName(ibor, cap, strike, startDate, maturityDate, frequency, currency, notional));
return capFloor;
}
}