@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 Collection<Security> get(ExternalIdBundle bundle, VersionCorrection versionCorrection) {
ArgumentChecker.notNull(bundle, "bundle");
// best implementation is to return first matching result
for (SecuritySource delegateSource : _delegator.getDelegates().values()) {
Collection<Security> result = delegateSource.get(bundle, versionCorrection);
if (!result.isEmpty()) {
return result;
}
}
return _delegator.getDefaultDelegate().get(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);
}
@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);
}
/**
* Creates an instance specifying the default delegate.
*
* @param defaultSource the source to use when no scheme matches, not null
* @param schemePrefixToSourceMap the map of sources by scheme to switch on, not null
*/
public DelegatingSecuritySource(
SecuritySource defaultSource, Map<String, SecuritySource> schemePrefixToSourceMap) {
_delegator =
new UniqueIdSchemeDelegator<SecuritySource>(defaultSource, schemePrefixToSourceMap);
// REVIEW jonathan 2011-08-03 -- this assumes that the delegating source lasts for the lifetime
// of the engine as we
// never detach from the underlying change managers.
AggregatingChangeManager changeManager = new AggregatingChangeManager();
changeManager.addChangeManager(defaultSource.changeManager());
for (SecuritySource source : schemePrefixToSourceMap.values()) {
changeManager.addChangeManager(source.changeManager());
}
_changeManager = changeManager;
}
@Override
public List<ExternalId> visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
final FutureSecurity underlyingSecurity =
(FutureSecurity)
_securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId()));
return getContractType(underlyingSecurity);
}
public static ValueRequirement getValueRequirement(
SecuritySource secMaster, final UnderlyingType underlying, final Security security) {
if (security instanceof EquityOptionSecurity) {
final EquityOptionSecurity option = (EquityOptionSecurity) security;
switch (underlying) {
case SPOT_PRICE:
Security optionUnderlying =
secMaster.getSecurity(ExternalIdBundle.of(option.getUnderlyingId()));
return new ValueRequirement(
MarketDataRequirementNames.MARKET_VALUE,
ComputationTargetType.SECURITY,
optionUnderlying.getUniqueId());
case SPOT_VOLATILITY:
throw new NotImplementedException(
"Don't know how to get spot volatility for " + option.getUniqueId());
case IMPLIED_VOLATILITY:
throw new NotImplementedException(
"Don't know how to get implied volatility for " + option.getUniqueId());
case INTEREST_RATE:
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.PRIMITIVE,
option.getUniqueId());
case COST_OF_CARRY:
throw new NotImplementedException(
"Don't know how to get cost of carry for " + option.getUniqueId());
default:
throw new NotImplementedException(
"Don't know how to get ValueRequirement for " + underlying);
}
}
throw new NotImplementedException(
"Can only get ValueRequirements for options (was " + security + ")");
}
/**
* Resolves the security using a security source.
*
* @param source the source to use to resolve, not null
* @param versionCorrection the version-correction, not null
* @return the resolved security, not null
* @throws DataNotFoundException if the security could not be resolved
* @throws RuntimeException if an error occurs while resolving
*/
public Security resolve(SecuritySource source, VersionCorrection versionCorrection) {
ObjectId objectId = getObjectId();
if (objectId != null) {
Security target = source.getSecurity(objectId, versionCorrection);
setTarget(target);
return target;
}
ExternalIdBundle bundle = getExternalId();
if (bundle.size() > 0) {
Security target = source.getSecurity(bundle, versionCorrection);
if (target != null) {
setTarget(target);
return target;
}
}
throw new DataNotFoundException("Unable to resolve security: " + getBestName());
}
@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()));
}
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;
}
/**
* Creates an instance specifying the default delegate.
*
* @param defaultSource the source to use when no scheme matches, not null
*/
public DelegatingSecuritySource(SecuritySource defaultSource) {
_delegator = new UniqueIdSchemeDelegator<SecuritySource>(defaultSource);
_changeManager = defaultSource.changeManager();
}
public void testGetSecurity_byExternalIdBundleVersionCorrection() {
final SecuritySource underlying = Mockito.mock(SecuritySource.class);
final SecuritySource coalescing = new CoalescingSecuritySource(underlying);
coalescing.get(ExternalIdBundle.EMPTY, VersionCorrection.LATEST);
Mockito.verify(underlying).get(ExternalIdBundle.EMPTY, VersionCorrection.LATEST);
}
public void testGetSecurities_byExternalIdBundle() {
final SecuritySource underlying = Mockito.mock(SecuritySource.class);
final SecuritySource coalescing = new CoalescingSecuritySource(underlying);
coalescing.get(ExternalIdBundle.EMPTY);
Mockito.verify(underlying).get(ExternalIdBundle.EMPTY);
}
public void testGetSecurity_byObjectId() {
final SecuritySource underlying = Mockito.mock(SecuritySource.class);
final SecuritySource coalescing = new CoalescingSecuritySource(underlying);
coalescing.get(ObjectId.of("Test", "Test"), VersionCorrection.LATEST);
Mockito.verify(underlying).get(ObjectId.of("Test", "Test"), VersionCorrection.LATEST);
}