/**
* 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.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.security.fra.FRASecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
/**
* Source of random, but reasonable, FRA security instances.
*/
public class FRASecurityGenerator extends SecurityGenerator<FRASecurity> {
private static final Logger s_logger = LoggerFactory.getLogger(FRASecurityGenerator.class);
protected String createName(final Currency currency, final double amount, final double rate, final ZonedDateTime maturity) {
final StringBuilder sb = new StringBuilder();
sb.append("FRA ").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 getUnderlyingRate(final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
if (curveSpecConfig == null) {
return null;
}
return curveSpecConfig.getLiborSecurity(tradeDate, tenor);
}
@Override
public FRASecurity 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(11) + 1;
final ZonedDateTime maturity = nextWorkingDay(start.plusMonths(length), currency);
final ZonedDateTime fixingDate = previousWorkingDay(maturity.minusDays(4), currency);
ExternalId underlyingIdentifier = null;
Tenor tenor = Tenor.ofMonths(length);
try {
underlyingIdentifier = getUnderlyingRate(currency, start.toLocalDate(), tenor);
if (underlyingIdentifier == null) {
return null;
}
} catch (Exception ex) {
s_logger.warn("Unable to obtain underlying id for " + currency + " " + start.toLocalDate() + " " + tenor, ex);
return null;
}
final HistoricalTimeSeries underlyingSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, underlyingIdentifier.toBundle(), null, start.toLocalDate(),
true, start.toLocalDate(), true);
if ((underlyingSeries == null) || underlyingSeries.getTimeSeries().isEmpty()) {
return null;
}
final double rate = underlyingSeries.getTimeSeries().getEarliestValue() * getRandom(0.5, 1.5);
final double amount = 10000 * (getRandom(1500) + 200);
final FRASecurity security = new FRASecurity(currency, region, start, maturity, rate, amount, underlyingIdentifier, fixingDate);
security.setName(createName(currency, amount, rate, maturity));
return security;
}
}