@SuppressWarnings("synthetic-access")
@Override
public Set<ValueRequirement> getTimeSeriesRequirements(
final SwapSecurity security, final String[] curveNames) {
Validate.notNull(security, "security");
final SwapLeg payLeg = security.getPayLeg();
final SwapLeg receiveLeg = security.getReceiveLeg();
final ZonedDateTime swapStartDate = security.getEffectiveDate();
final ZonedDateTime swapStartLocalDate =
ZonedDateTime.of(swapStartDate.toLocalDate(), LocalTime.of(0, 0), TimeZone.UTC);
final ValueRequirement payLegTS =
getIndexTimeSeriesRequirement(
InterestRateInstrumentType.getInstrumentTypeFromSecurity(security),
payLeg,
swapStartLocalDate);
final ValueRequirement receiveLegTS =
getIndexTimeSeriesRequirement(
InterestRateInstrumentType.getInstrumentTypeFromSecurity(security),
receiveLeg,
swapStartLocalDate);
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
if (payLegTS != null) {
requirements.add(payLegTS);
}
if (receiveLegTS != null) {
requirements.add(receiveLegTS);
}
return requirements;
}
public static boolean payFixed(final SwapSecurity security) {
final SwapLeg payLeg = security.getPayLeg();
final SwapLeg receiveLeg = security.getReceiveLeg();
if (payLeg instanceof FixedInterestRateLeg && receiveLeg instanceof FloatingInterestRateLeg) {
return true;
}
if (payLeg instanceof FloatingInterestRateLeg && receiveLeg instanceof FixedInterestRateLeg) {
return false;
}
throw new OpenGammaRuntimeException("Swap was not fixed / floating");
}
protected SwapSecurity createUnderlying(
final ZonedDateTime earliestMaturity, final ZonedDateTime swaptionExpiry) {
SwapSecurity security;
do {
do {
getUnderlyingGenerator().setSwationExpiry(swaptionExpiry.toLocalDate());
security = getUnderlyingGenerator().createSecurity();
} while (security == null);
} while ((FinancialSecurityUtils.getCurrency(security) == null)
|| security.getMaturityDate().isBefore(earliestMaturity));
return security;
}
static InstrumentDerivative getDerivative(
final FinancialSecurity security,
final ZonedDateTime now,
final HistoricalTimeSeriesBundle timeSeries,
final String[] curveNames,
final InstrumentDefinition<?> definition,
final FixedIncomeConverterDataProvider definitionConverter) {
final InstrumentDerivative derivative;
if (security instanceof SwapSecurity) {
final SwapSecurity swapSecurity = (SwapSecurity) security;
final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType(swapSecurity);
if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR
|| type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD
|| type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
final Frequency resetFrequency;
if (swapSecurity.getPayLeg() instanceof FloatingInterestRateLeg) {
resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getPayLeg()).getFrequency();
} else {
resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getReceiveLeg()).getFrequency();
}
derivative =
definitionConverter.convert(
security,
definition,
now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, curveNames, resetFrequency),
timeSeries);
} else {
derivative =
definitionConverter.convert(
security,
definition,
now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, curveNames),
timeSeries);
}
} else {
derivative =
definitionConverter.convert(
security,
definition,
now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, curveNames),
timeSeries);
}
return derivative;
}
@Override
public List<ExternalId> visitSwapSecurity(final SwapSecurity security) {
final List<ExternalId> result = new ArrayList<>();
final SwapLeg payLeg = security.getPayLeg();
final SwapLeg receiveLeg = security.getReceiveLeg();
final String securityType = security.getSecurityType();
if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
return Arrays.asList(
ExternalId.of(
SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
}
result.add(
ExternalId.of(
SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
result.add(
ExternalId.of(
SECURITY_IDENTIFIER, securityType + SEPARATOR + receiveLeg.getRegionId().getValue()));
return result;
}
@Override
public List<ExternalId> visitSwaptionSecurity(final SwaptionSecurity security) {
final List<ExternalId> result = new ArrayList<>();
final SwapSecurity underlyingSwap =
(SwapSecurity)
_securitySource.getSingle(
ExternalIdBundle.of(security.getUnderlyingId())); // TODO version
final SwapLeg payLeg = underlyingSwap.getPayLeg();
final SwapLeg receiveLeg = underlyingSwap.getReceiveLeg();
final String securityType = security.getSecurityType();
if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
return Arrays.asList(
ExternalId.of(SECURITY_IDENTIFIER, securityType + "_" + payLeg.getRegionId().getValue()));
}
result.add(
ExternalId.of(SECURITY_IDENTIFIER, securityType + "_" + payLeg.getRegionId().getValue()));
result.add(
ExternalId.of(
SECURITY_IDENTIFIER, securityType + "_" + receiveLeg.getRegionId().getValue()));
return result;
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SwapSecurity other = (SwapSecurity) obj;
return JodaBeanUtils.equal(getTradeDate(), other.getTradeDate())
&& JodaBeanUtils.equal(getEffectiveDate(), other.getEffectiveDate())
&& JodaBeanUtils.equal(getMaturityDate(), other.getMaturityDate())
&& JodaBeanUtils.equal(getCounterparty(), other.getCounterparty())
&& JodaBeanUtils.equal(getPayLeg(), other.getPayLeg())
&& JodaBeanUtils.equal(getReceiveLeg(), other.getReceiveLeg())
&& super.equals(obj);
}
return false;
}
@Override
@SuppressWarnings({"unchecked", "synthetic-access"})
public InstrumentDerivative convert(
final SwapSecurity security,
final SwapDefinition definition,
final ZonedDateTime now,
final String[] curveNames,
final HistoricalTimeSeriesBundle timeSeries) {
Validate.notNull(security, "security");
final SwapLeg payLeg = security.getPayLeg();
final SwapLeg receiveLeg = security.getReceiveLeg();
final ZonedDateTime fixingSeriesStartDate =
security.getEffectiveDate().isBefore(now) ? security.getEffectiveDate() : now;
final ZonedDateTime fixingSeriesStartLocalDate =
ZonedDateTime.of(
fixingSeriesStartDate.toLocalDate(), LocalTime.of(0, 0), TimeZone.UTC);
final boolean includeCurrentDatesFixing = true;
final DoubleTimeSeries<ZonedDateTime> payLegTS =
getIndexTimeSeries(
payLeg, fixingSeriesStartLocalDate, now, includeCurrentDatesFixing, timeSeries);
final DoubleTimeSeries<ZonedDateTime> receiveLegTS =
getIndexTimeSeries(
receiveLeg,
fixingSeriesStartLocalDate,
now,
includeCurrentDatesFixing,
timeSeries);
if (payLegTS != null) {
if (receiveLegTS != null) {
try {
return definition.toDerivative(
now, new DoubleTimeSeries[] {payLegTS, receiveLegTS}, curveNames);
} catch (final OpenGammaRuntimeException e) {
final ExternalId id =
((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId();
throw new OpenGammaRuntimeException(
"Could not get fixing value for series with identifier " + id, e);
}
}
if (InterestRateInstrumentType.getInstrumentTypeFromSecurity(security)
== InterestRateInstrumentType.SWAP_FIXED_CMS) {
return definition.toDerivative(
now, new DoubleTimeSeries[] {payLegTS, payLegTS}, curveNames);
}
try {
return definition.toDerivative(now, new DoubleTimeSeries[] {payLegTS}, curveNames);
} catch (final OpenGammaRuntimeException e) {
final ExternalId id = ((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId();
throw new OpenGammaRuntimeException(
"Could not get fixing value for series with identifier " + id, e);
}
}
if (receiveLegTS != null) {
if (InterestRateInstrumentType.getInstrumentTypeFromSecurity(security)
== InterestRateInstrumentType.SWAP_FIXED_CMS) {
try {
return definition.toDerivative(
now, new DoubleTimeSeries[] {receiveLegTS, receiveLegTS}, curveNames);
} catch (final OpenGammaRuntimeException e) {
final ExternalId id =
((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId();
throw new OpenGammaRuntimeException(
"Could not get fixing value for series with identifier " + id, e);
}
}
try {
return definition.toDerivative(
now, new DoubleTimeSeries[] {receiveLegTS}, curveNames);
} catch (final OpenGammaRuntimeException e) {
final ExternalId id =
((FloatingInterestRateLeg) receiveLeg).getFloatingReferenceRateId();
throw new OpenGammaRuntimeException(
"Could not get fixing value for series with identifier " + id, e);
}
}
throw new OpenGammaRuntimeException(
"Could not get fixing series for either the pay or receive leg");
}
// TODO doesn't handle cross-currency swaps yet
public static InterestRateInstrumentType getSwapType(final SwapSecurity security) {
final SwapLeg payLeg = security.getPayLeg();
final SwapLeg receiveLeg = security.getReceiveLeg();
if (!payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
throw new OpenGammaRuntimeException("Pay and receive legs must be from same region");
}
if (payLeg instanceof FixedInterestRateLeg && receiveLeg instanceof FloatingInterestRateLeg) {
final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) receiveLeg;
if (floatingLeg instanceof FloatingSpreadIRLeg) {
return InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD;
}
final FloatingRateType floatingRateType = floatingLeg.getFloatingRateType();
switch (floatingRateType) {
case IBOR:
return InterestRateInstrumentType.SWAP_FIXED_IBOR;
case CMS:
return InterestRateInstrumentType.SWAP_FIXED_CMS;
case OIS:
return InterestRateInstrumentType.SWAP_FIXED_OIS;
default:
throw new OpenGammaRuntimeException(
"Unsupported Floating rate type: " + floatingRateType);
}
} else if (payLeg instanceof FloatingInterestRateLeg
&& receiveLeg instanceof FixedInterestRateLeg) {
final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) payLeg;
if (floatingLeg instanceof FloatingSpreadIRLeg) {
return InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD;
}
final FloatingRateType floatingRateType = floatingLeg.getFloatingRateType();
switch (floatingRateType) {
case IBOR:
return InterestRateInstrumentType.SWAP_FIXED_IBOR;
case CMS:
return InterestRateInstrumentType.SWAP_FIXED_CMS;
case OIS:
return InterestRateInstrumentType.SWAP_FIXED_OIS;
default:
throw new OpenGammaRuntimeException(
"Unsupported Floating rate type: " + floatingRateType);
}
}
if (payLeg instanceof FloatingInterestRateLeg
&& receiveLeg instanceof FloatingInterestRateLeg) {
final FloatingInterestRateLeg payLeg1 = (FloatingInterestRateLeg) payLeg;
final FloatingInterestRateLeg receiveLeg1 = (FloatingInterestRateLeg) receiveLeg;
if (payLeg1.getFloatingRateType().isIbor()) {
if (receiveLeg1.getFloatingRateType().isIbor()) {
return InterestRateInstrumentType.SWAP_IBOR_IBOR;
}
return InterestRateInstrumentType.SWAP_IBOR_CMS;
}
if (receiveLeg1.getFloatingRateType().isIbor()) {
return InterestRateInstrumentType.SWAP_IBOR_CMS;
}
return InterestRateInstrumentType.SWAP_CMS_CMS;
}
throw new OpenGammaRuntimeException(
"Can only handle fixed-floating (pay and receive) swaps and floating-floating swaps");
}
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);
}
}
@Override
public SwaptionSecurity createSecurity() {
final int optionLength = getRandom(OPTION_LENGTH);
ZonedDateTime expiry = ZonedDateTime.now().plusMonths(optionLength);
final SwapSecurity underlying = createUnderlying(expiry.plusMonths(2), expiry);
final Currency currency = FinancialSecurityUtils.getCurrency(underlying);
expiry = nextWorkingDay(expiry, currency);
final boolean isPayer = getRandom().nextBoolean();
final boolean isLong = getRandom().nextBoolean();
final boolean isCashSettled = getRandom().nextBoolean();
final ZonedDateTime settlementDate = nextWorkingDay(expiry.plusDays(2), currency);
final Double notional =
underlying
.getPayLeg()
.getNotional()
.accept(
new NotionalVisitor<Double>() {
@Override
public Double visitCommodityNotional(final CommodityNotional notional) {
return null;
}
@Override
public Double visitInterestRateNotional(final InterestRateNotional notional) {
return notional.getAmount();
}
@Override
public Double visitSecurityNotional(final SecurityNotional notional) {
return null;
}
@Override
public Double visitVarianceSwapNotional(final VarianceSwapNotional notional) {
return notional.getAmount();
}
});
if (notional == null) {
return null;
}
Double rate = getRate(underlying.getPayLeg());
if (rate == null) {
rate = getRate(underlying.getReceiveLeg());
if (rate == null) {
return null;
}
}
final SwaptionSecurity security =
new SwaptionSecurity(
isPayer,
getSecurityPersister().storeSecurity(underlying).iterator().next(),
isLong,
new Expiry(expiry),
isCashSettled,
currency,
notional,
new EuropeanExerciseType(),
settlementDate);
security.setName(
createName(
currency,
optionLength,
(int) MONTHS.between(underlying.getEffectiveDate(), underlying.getMaturityDate()),
notional,
rate));
return security;
}
