Esempio n. 1
0
 @Override
 public Collection<IborIndex> visitSwapDefinition(final SwapDefinition definition) {
   final Collection<IborIndex> indices = new HashSet<>();
   indices.addAll(definition.getFirstLeg().accept(this));
   indices.addAll(definition.getSecondLeg().accept(this));
   return indices;
 }
 @Override
 @SuppressWarnings({"unchecked", "synthetic-access"})
 public InstrumentDerivative convert(
     final SwapSecurity security,
     final SwapDefinition definition,
     final ZonedDateTime now,
     final String[] curveNames,
     final HistoricalTimeSeriesBundle timeSeries) {
   Validate.notNull(security, "security");
   final SwapLeg payLeg = security.getPayLeg();
   final SwapLeg receiveLeg = security.getReceiveLeg();
   final ZonedDateTime fixingSeriesStartDate =
       security.getEffectiveDate().isBefore(now) ? security.getEffectiveDate() : now;
   final ZonedDateTime fixingSeriesStartLocalDate =
       ZonedDateTime.of(
           fixingSeriesStartDate.toLocalDate(), LocalTime.of(0, 0), TimeZone.UTC);
   final boolean includeCurrentDatesFixing = true;
   final DoubleTimeSeries<ZonedDateTime> payLegTS =
       getIndexTimeSeries(
           payLeg, fixingSeriesStartLocalDate, now, includeCurrentDatesFixing, timeSeries);
   final DoubleTimeSeries<ZonedDateTime> receiveLegTS =
       getIndexTimeSeries(
           receiveLeg,
           fixingSeriesStartLocalDate,
           now,
           includeCurrentDatesFixing,
           timeSeries);
   if (payLegTS != null) {
     if (receiveLegTS != null) {
       try {
         return definition.toDerivative(
             now, new DoubleTimeSeries[] {payLegTS, receiveLegTS}, curveNames);
       } catch (final OpenGammaRuntimeException e) {
         final ExternalId id =
             ((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId();
         throw new OpenGammaRuntimeException(
             "Could not get fixing value for series with identifier " + id, e);
       }
     }
     if (InterestRateInstrumentType.getInstrumentTypeFromSecurity(security)
         == InterestRateInstrumentType.SWAP_FIXED_CMS) {
       return definition.toDerivative(
           now, new DoubleTimeSeries[] {payLegTS, payLegTS}, curveNames);
     }
     try {
       return definition.toDerivative(now, new DoubleTimeSeries[] {payLegTS}, curveNames);
     } catch (final OpenGammaRuntimeException e) {
       final ExternalId id = ((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId();
       throw new OpenGammaRuntimeException(
           "Could not get fixing value for series with identifier " + id, e);
     }
   }
   if (receiveLegTS != null) {
     if (InterestRateInstrumentType.getInstrumentTypeFromSecurity(security)
         == InterestRateInstrumentType.SWAP_FIXED_CMS) {
       try {
         return definition.toDerivative(
             now, new DoubleTimeSeries[] {receiveLegTS, receiveLegTS}, curveNames);
       } catch (final OpenGammaRuntimeException e) {
         final ExternalId id =
             ((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId();
         throw new OpenGammaRuntimeException(
             "Could not get fixing value for series with identifier " + id, e);
       }
     }
     try {
       return definition.toDerivative(
           now, new DoubleTimeSeries[] {receiveLegTS}, curveNames);
     } catch (final OpenGammaRuntimeException e) {
       final ExternalId id =
           ((FloatingInterestRateLeg) receiveLeg).getFloatingReferenceRateId();
       throw new OpenGammaRuntimeException(
           "Could not get fixing value for series with identifier " + id, e);
     }
   }
   throw new OpenGammaRuntimeException(
       "Could not get fixing series for either the pay or receive leg");
 }