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 boolean canApplyTo(
final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getSecurity();
if (security instanceof SwapSecurity) {
if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
return false;
}
final InterestRateInstrumentType type =
SwapSecurityUtils.getSwapType((SwapSecurity) security);
if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS)
&& (type != InterestRateInstrumentType.SWAP_CMS_CMS)
&& (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) {
return false;
}
}
return true;
}
