/**
* 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.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.financial.analytics.ircurve.CurveSpecificationBuilderConfiguration;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.security.cash.CashSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
/**
* Source of random, but reasonable, cash security instances.
*/
public class CashSecurityGenerator extends SecurityGenerator<CashSecurity> {
protected String createName(final Currency currency, final double amount, final double rate, final ZonedDateTime maturity) {
final StringBuilder sb = new StringBuilder();
sb.append("Cash ").append(currency.getCode()).append(" ").append(NOTIONAL_FORMATTER.format(amount));
sb.append(" @ ").append(RATE_FORMATTER.format(rate)).append(", maturity ").append(maturity.toString(DATE_FORMATTER));
return sb.toString();
}
private ExternalId getCashRate(final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
if (curveSpecConfig == null) {
return null;
}
return curveSpecConfig.getCashSecurity(tradeDate, tenor);
}
@Override
public CashSecurity createSecurity() {
final Currency currency = getRandomCurrency();
final ExternalId region = ExternalSchemes.currencyRegionId(currency);
final ZonedDateTime start = previousWorkingDay(ZonedDateTime.now().minusDays(getRandom(60) + 7), currency);
final int length = getRandom(6) + 3;
final ZonedDateTime maturity = nextWorkingDay(start.plusMonths(length), currency);
final ConventionBundle convention = getConventionBundleSource().getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_GENERIC_CASH"));
if (convention == null) {
return null;
}
final DayCount dayCount = convention.getDayCount();
final ExternalId cashRate = getCashRate(currency, start.toLocalDate(), Tenor.ofMonths(length));
if (cashRate == null) {
return null;
}
final HistoricalTimeSeries timeSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, cashRate.toBundle(), null, start.toLocalDate(), true,
start.toLocalDate(), true);
if ((timeSeries == null) || timeSeries.getTimeSeries().isEmpty()) {
return null;
}
final double rate = timeSeries.getTimeSeries().getEarliestValue() * getRandom(0.8, 1.2);
final double amount = 10000 * (getRandom(1500) + 200);
final CashSecurity security = new CashSecurity(currency, region, start, maturity, dayCount, rate, amount);
security.setName(createName(currency, amount, rate, maturity));
return security;
}
}