@Override
public InstrumentDerivative convert(
final IRFutureOptionSecurity security,
final InterestRateFutureOptionMarginTransactionDefinition 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.getUnderlyingId() + " was empty");
}
final double lastMarginPrice = ts.getTimeSeries().getLatestValue();
return definition.toDerivative(now, lastMarginPrice, curveNames);
}
