private List<FactorExposure> convertToFactorExposure(
List<FactorExposureData> factorExposureDataList) {
List<FactorExposure> results = new ArrayList<FactorExposure>();
for (FactorExposureData exposure : factorExposureDataList) {
HistoricalTimeSeries exposureHTS =
data()
.getHistoricalTimeSeriesSource()
.getHistoricalTimeSeries(
"EXPOSURE", exposure.getExposureExternalId().toBundle(), null);
HistoricalTimeSeries convexityHTS =
data()
.getHistoricalTimeSeriesSource()
.getHistoricalTimeSeries(
"CONVEXITY", exposure.getExposureExternalId().toBundle(), null);
HistoricalTimeSeries priceHTS =
data()
.getHistoricalTimeSeriesSource()
.getHistoricalTimeSeries("PX_LAST", exposure.getFactorExternalId().toBundle(), null);
results.add(
new FactorExposure(
exposure.getFactorType().getFactorType(),
exposure.getFactorName(),
exposure.getNode(),
priceHTS != null ? priceHTS.getUniqueId() : null,
priceHTS != null ? priceHTS.getTimeSeries().getLatestValue() : null,
exposureHTS != null ? exposureHTS.getUniqueId() : null,
exposureHTS != null ? exposureHTS.getTimeSeries().getLatestValue() : null,
convexityHTS != null ? convexityHTS.getUniqueId() : null,
convexityHTS != null ? convexityHTS.getTimeSeries().getLatestValue() : null));
}
return results;
}
private FactorExposureData searchForBondTenorMatch(
final Collection<FactorExposureData> exposures, final FixedIncomeStripWithSecurity strip) {
for (final FactorExposureData exposure : exposures) {
if (exposure.getFactorType().equals(FactorType.YIELD)
&& exposure.getFactorName().contains(BOND_TEXT)) {
if (exposure.getNode() != null && exposure.getNode().length() > 0) {
final Period nodePeriod = Period.parse("P" + exposure.getNode());
if (strip.getTenor().getPeriod().toTotalMonths() == nodePeriod.toTotalMonths()) {
return exposure;
}
}
}
}
return null;
}