@Override
public InstrumentDerivative convert(
final InterestRateFutureSecurity security,
final InterestRateFutureDefinition definition,
final ZonedDateTime now,
final String[] curveNames,
final HistoricalTimeSeriesBundle timeSeries) {
final HistoricalTimeSeries ts =
timeSeries.get(
MarketDataRequirementNames.MARKET_VALUE, security.getExternalIdBundle());
if (ts == null) {
throw new OpenGammaRuntimeException(
"Could not get price time series for " + security);
}
final int length = ts.getTimeSeries().size();
if (length == 0) {
throw new OpenGammaRuntimeException(
"Price time series for " + security.getExternalIdBundle() + " was empty");
}
final double lastMarginPrice = ts.getTimeSeries().getLatestValue();
if (curveNames.length == 1) {
final String[] singleCurve = new String[] {curveNames[0], curveNames[0]};
return definition.toDerivative(now, lastMarginPrice, singleCurve);
}
return definition.toDerivative(now, lastMarginPrice, curveNames);
}
@SuppressWarnings("synthetic-access")
@Override
public InstrumentDerivative convert(
final FRASecurity security,
final ForwardRateAgreementDefinition definition,
final ZonedDateTime now,
final String[] curveNames,
final HistoricalTimeSeriesBundle timeSeries) {
final ExternalId indexId = security.getUnderlyingId();
final ConventionBundle indexConvention = _conventionSource.getConventionBundle(indexId);
if (indexConvention == null) {
throw new OpenGammaRuntimeException(
"No conventions found for floating reference rate " + indexId);
}
final ExternalIdBundle indexIdBundle = indexConvention.getIdentifiers();
final HistoricalTimeSeries ts =
timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, indexIdBundle);
if (ts == null) {
throw new OpenGammaRuntimeException(
"Could not get price time series for " + indexIdBundle);
}
FastBackedDoubleTimeSeries<LocalDate> localDateTS = ts.getTimeSeries();
// TODO this normalization should not be done here
localDateTS = localDateTS.divide(100);
final FastLongDoubleTimeSeries convertedTS =
localDateTS.toFastLongDoubleTimeSeries(DateTimeNumericEncoding.TIME_EPOCH_MILLIS);
final LocalTime fixingTime = LocalTime.of(0, 0);
final DoubleTimeSeries<ZonedDateTime> indexTS =
new ArrayZonedDateTimeDoubleTimeSeries(
new ZonedDateTimeEpochMillisConverter(now.getZone(), fixingTime), convertedTS);
// TODO: remove the zone
return definition.toDerivative(now, indexTS, curveNames);
}
private DoubleTimeSeries<ZonedDateTime> getIndexTimeSeries(
final SwapLeg leg,
final ZonedDateTime swapEffectiveDate,
final ZonedDateTime now,
final boolean includeEndDate,
final HistoricalTimeSeriesBundle timeSeries) {
if (leg instanceof FloatingInterestRateLeg) {
final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) leg;
final ExternalIdBundle id = getIndexIdForSwap(floatingLeg);
// Implementation note: To catch first fixing. SwapSecurity does not have this date.
if (now.isBefore(swapEffectiveDate)) { // TODO: review if this is the correct condition
return ArrayZonedDateTimeDoubleTimeSeries.EMPTY_SERIES;
}
final HistoricalTimeSeries ts = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, id);
if (ts == null) {
throw new OpenGammaRuntimeException(
"Could not get time series of underlying index "
+ id.getExternalIds().toString()
+ " bundle used was "
+ id);
}
if (ts.getTimeSeries().isEmpty()) {
return ArrayZonedDateTimeDoubleTimeSeries.EMPTY_SERIES;
}
final FastBackedDoubleTimeSeries<LocalDate> localDateTS = ts.getTimeSeries();
final FastLongDoubleTimeSeries convertedTS =
localDateTS.toFastLongDoubleTimeSeries(DateTimeNumericEncoding.TIME_EPOCH_MILLIS);
final LocalTime fixingTime =
LocalTime.of(
0,
0); // FIXME CASE Converting a daily historical time series to an arbitrary time. Bad
// idea
return new ArrayZonedDateTimeDoubleTimeSeries(
new ZonedDateTimeEpochMillisConverter(now.getZone(), fixingTime), convertedTS);
}
return null;
}
/**
* Returns the time series to be used in the toDerivative method.
*
* @param id The ExternalId bundle.
* @param startDate The time series start date (included in the time series).
* @param timeZone The time zone to use for the returned series
* @param dataSource The time series data source.
* @return The time series.
*/
private DoubleTimeSeries<ZonedDateTime> getIndexTimeSeries(
final ExternalIdBundle id,
final TimeZone timeZone,
final HistoricalTimeSeriesBundle timeSeries) {
final HistoricalTimeSeries ts = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, id);
// Implementation note: the normalization take place in the getHistoricalTimeSeries
if (ts == null) {
throw new OpenGammaRuntimeException(
"Could not get time series of underlying index " + id.getExternalIds().toString());
}
if (ts.getTimeSeries().isEmpty()) {
return ArrayZonedDateTimeDoubleTimeSeries.EMPTY_SERIES;
}
final FastBackedDoubleTimeSeries<LocalDate> localDateTS = ts.getTimeSeries();
final FastLongDoubleTimeSeries convertedTS =
localDateTS.toFastLongDoubleTimeSeries(DateTimeNumericEncoding.TIME_EPOCH_MILLIS);
final LocalTime fixingTime =
LocalTime.of(
0,
0); // FIXME CASE Converting a daily historical time series to an arbitrary time. Bad
// idea
return new ArrayZonedDateTimeDoubleTimeSeries(
new ZonedDateTimeEpochMillisConverter(timeZone, fixingTime), convertedTS);
}
@Override
public InstrumentDerivative convert(
final CapFloorSecurity security,
final AnnuityCapFloorIborDefinition definition,
final ZonedDateTime now,
final String[] curveNames,
final HistoricalTimeSeriesBundle timeSeries) {
final ExternalId id = security.getUnderlyingId();
final HistoricalTimeSeries ts =
timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, security.getUnderlyingId());
if (ts == null) {
throw new OpenGammaRuntimeException("Could not get price time series for " + id);
}
FastBackedDoubleTimeSeries<LocalDate> localDateTS = ts.getTimeSeries();
// TODO this normalization should not be done here
localDateTS = localDateTS.divide(100);
final FastLongDoubleTimeSeries convertedTS =
localDateTS.toFastLongDoubleTimeSeries(DateTimeNumericEncoding.TIME_EPOCH_MILLIS);
final LocalTime fixingTime = LocalTime.of(11, 0);
final DoubleTimeSeries<ZonedDateTime> indexTS =
new ArrayZonedDateTimeDoubleTimeSeries(
new ZonedDateTimeEpochMillisConverter(now.getZone(), fixingTime), convertedTS);
return definition.toDerivative(now, indexTS, curveNames);
}
