@Override
public String classifyPosition(final Position position) {
final Security security = resolveSecurity(position);
if (security instanceof CreditDefaultSwapOptionSecurity) {
final CreditDefaultSwapOptionSecurity cdsOption = (CreditDefaultSwapOptionSecurity) security;
final ExternalId underlyingId = cdsOption.getUnderlyingId();
final Security underlying = _securitySource.getSingle(underlyingId.toBundle());
final String redCode =
((CreditDefaultSwapSecurity) underlying).getReferenceEntity().getValue();
final Organization organisation = _organizationSource.getOrganizationByRedCode(redCode);
return organisation.getObligor().getObligorShortName();
} else if (security instanceof CreditDefaultSwapIndexSecurity) {
final CreditDefaultSwapIndexSecurity cdsIndex = (CreditDefaultSwapIndexSecurity) security;
final CreditDefaultSwapIndexDefinitionSecurity definition =
(CreditDefaultSwapIndexDefinitionSecurity)
_securitySource.getSingle(ExternalIdBundle.of(cdsIndex.getReferenceEntity()));
return definition.getName();
} else if (security instanceof CreditDefaultSwapSecurity) {
final AbstractCreditDefaultSwapSecurity cds = (AbstractCreditDefaultSwapSecurity) security;
final String redCode = cds.getReferenceEntity().getValue();
final Organization organisation = _organizationSource.getOrganizationByRedCode(redCode);
if (organisation != null) {
return organisation.getObligor().getObligorShortName();
} else {
return redCode;
}
}
return NOT_APPLICABLE;
}
@Override
public List<ExternalId> visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
final FutureSecurity underlyingSecurity =
(FutureSecurity)
_securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId()));
return getContractType(underlyingSecurity);
}
@Override
public List<ExternalId> visitCreditDefaultSwapOptionSecurity(
final CreditDefaultSwapOptionSecurity security) {
final CreditDefaultSwapSecurity underlyingCDS =
(CreditDefaultSwapSecurity)
_securitySource.getSingle(
ExternalIdBundle.of(security.getUnderlyingId())); // TODO version
final ExternalId regionId = underlyingCDS.getRegionId();
final String securityType = security.getSecurityType();
return Arrays.asList(
ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + regionId.getValue()));
}
@Override
public Security getSingle(ExternalIdBundle bundle, VersionCorrection versionCorrection) {
ArgumentChecker.notNull(bundle, "bundle");
ArgumentChecker.notNull(versionCorrection, "versionCorrection");
for (SecuritySource delegateSource : _delegator.getDelegates().values()) {
Security result = delegateSource.getSingle(bundle, versionCorrection);
if (result != null) {
return result;
}
}
return _delegator.getDefaultDelegate().getSingle(bundle, versionCorrection);
}
@Override
public Security getSingle(ExternalIdBundle bundle) {
ArgumentChecker.notNull(bundle, "bundle");
// best implementation is to return first matching result
for (SecuritySource delegateSource : _delegator.getDelegates().values()) {
Security result = delegateSource.getSingle(bundle);
if (result != null) {
return result;
}
}
return _delegator.getDefaultDelegate().getSingle(bundle);
}
public static List<FactorExposureData> decodeFactorExposureData(
SecuritySource secSource, RawSecurity rawSecurity) {
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
SecurityEntryData securityEntryData =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(SecurityEntryData.class, msg.getMessage());
RawSecurity underlyingRawSecurity =
(RawSecurity) secSource.getSingle(securityEntryData.getFactorSetId().toBundle());
if (underlyingRawSecurity != null) {
FudgeMsgEnvelope factorIdMsg =
OpenGammaFudgeContext.getInstance().deserialize(underlyingRawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, factorIdMsg.getMessage());
return factorExposureDataList;
} else {
throw new OpenGammaRuntimeException(
"Couldn't find factor list security " + securityEntryData.getFactorSetId());
}
}
@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;
}
