@SuppressWarnings("synthetic-access")
@Override
public InstrumentDerivative convert(
final CapFloorCMSSpreadSecurity security,
final AnnuityCapFloorCMSSpreadDefinition definition,
final ZonedDateTime now,
final String[] curveNames,
final HistoricalTimeSeriesBundle timeSeries) {
final ExternalId longId = security.getLongId();
final ExternalId shortId = security.getShortId();
final DoubleTimeSeries<ZonedDateTime> indexLongTS =
getIndexTimeSeries(getIndexIdBundle(longId), now.getZone(), timeSeries);
final DoubleTimeSeries<ZonedDateTime> indexShortTS =
getIndexTimeSeries(getIndexIdBundle(shortId), now.getZone(), timeSeries);
final DoubleTimeSeries<ZonedDateTime> indexSpreadTS =
indexLongTS.subtract(indexShortTS);
return definition.toDerivative(now, indexSpreadTS, curveNames);
}
@SuppressWarnings("synthetic-access")
@Override
public Set<ValueRequirement> getTimeSeriesRequirements(
final CapFloorCMSSpreadSecurity security, final String[] curveNames) {
final ExternalId longId = security.getLongId();
final ExternalId shortId = security.getShortId();
final ZonedDateTime capStartDate = security.getStartDate();
final LocalDate startDate =
capStartDate
.toLocalDate()
.minusDays(7); // To catch first fixing. SwapSecurity does not have this date.
final ValueRequirement indexLongTS =
getIndexTimeSeriesRequirement(getIndexIdBundle(longId), startDate);
if (indexLongTS == null) {
return null;
}
final ValueRequirement indexShortTS =
getIndexTimeSeriesRequirement(getIndexIdBundle(shortId), startDate);
if (indexShortTS == null) {
return null;
}
return ImmutableSet.of(indexLongTS, indexShortTS);
}
protected void addSecuritySpecificMetaData(ManageableSecurity security, FlexiBean out) {
if (security.getSecurityType().equals(SwapSecurity.SECURITY_TYPE)) {
SwapSecurity swapSecurity = (SwapSecurity) security;
out.put("payLegType", swapSecurity.getPayLeg().accept(new SwapLegClassifierVisitor()));
out.put(
"receiveLegType", swapSecurity.getReceiveLeg().accept(new SwapLegClassifierVisitor()));
}
if (security.getSecurityType().equals(FutureSecurity.SECURITY_TYPE)) {
FutureSecurity futureSecurity = (FutureSecurity) security;
out.put("futureSecurityType", futureSecurity.accept(new FutureSecurityTypeVisitor()));
out.put("basket", getBondFutureBasket(security));
Security underlyingSecurity = getUnderlyingFutureSecurity(futureSecurity);
if (underlyingSecurity != null) {
out.put("underlyingSecurity", underlyingSecurity);
}
}
if (security.getSecurityType().equals(EquityOptionSecurity.SECURITY_TYPE)) {
EquityOptionSecurity equityOption = (EquityOptionSecurity) security;
addUnderlyingSecurity(out, equityOption.getUnderlyingId());
}
if (security.getSecurityType().equals(IRFutureOptionSecurity.SECURITY_TYPE)) {
IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) security;
addUnderlyingSecurity(out, irFutureOption.getUnderlyingId());
}
if (security.getSecurityType().equals(SwaptionSecurity.SECURITY_TYPE)) {
SwaptionSecurity swaptionSecurity = (SwaptionSecurity) security;
addUnderlyingSecurity(out, swaptionSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(EquityBarrierOptionSecurity.SECURITY_TYPE)) {
EquityBarrierOptionSecurity equityBarrierOptionSecurity =
(EquityBarrierOptionSecurity) security;
addUnderlyingSecurity(out, equityBarrierOptionSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(CapFloorSecurity.SECURITY_TYPE)) {
CapFloorSecurity capFloorSecurity = (CapFloorSecurity) security;
addUnderlyingSecurity(out, capFloorSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(CapFloorCMSSpreadSecurity.SECURITY_TYPE)) {
CapFloorCMSSpreadSecurity capFloorCMSSpreadSecurity = (CapFloorCMSSpreadSecurity) security;
Security shortUnderlying = getSecurity(capFloorCMSSpreadSecurity.getShortId());
Security longUnderlying = getSecurity(capFloorCMSSpreadSecurity.getLongId());
if (shortUnderlying != null) {
out.put("shortSecurity", shortUnderlying);
}
if (longUnderlying != null) {
out.put("longSecurity", longUnderlying);
}
}
if (security.getSecurityType().equals(EquityIndexOptionSecurity.SECURITY_TYPE)) {
EquityIndexOptionSecurity equityIndxOption = (EquityIndexOptionSecurity) security;
addUnderlyingSecurity(out, equityIndxOption.getUnderlyingId());
}
if (security.getSecurityType().equals(FRASecurity.SECURITY_TYPE)) {
FRASecurity fraSecurity = (FRASecurity) security;
addUnderlyingSecurity(out, fraSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(SecurityEntryData.EXTERNAL_SENSITIVITIES_SECURITY_TYPE)) {
RawSecurity rawSecurity = (RawSecurity) security;
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
SecurityEntryData securityEntryData =
OpenGammaFudgeContext.getInstance()
.fromFudgeMsg(SecurityEntryData.class, msg.getMessage());
out.put("securityEntryData", securityEntryData);
out.put("securityAttributes", security.getAttributes());
RawSecurity underlyingRawSecurity =
(RawSecurity) getSecurity(securityEntryData.getFactorSetId());
if (underlyingRawSecurity != null) {
FudgeMsgEnvelope factorIdMsg =
OpenGammaFudgeContext.getInstance().deserialize(underlyingRawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, factorIdMsg.getMessage());
s_logger.error(factorExposureDataList.toString());
List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList);
out.put("factorExposuresList", factorExposuresList);
} else {
s_logger.error("Couldn't find security");
}
}
if (security
.getSecurityType()
.equals(FactorExposureData.EXTERNAL_SENSITIVITIES_RISK_FACTORS_SECURITY_TYPE)) {
RawSecurity rawSecurity = (RawSecurity) security;
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, msg.getMessage());
List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList);
out.put("factorExposuresList", factorExposuresList);
}
}