public static String[] getCurveNamesForSecurity(
final FinancialSecurity security, final String[] curveNames, final Frequency resetFrequency) {
final InterestRateInstrumentType type =
InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
final String fundingCurveName = curveNames[0];
final String forward1CurveName = curveNames.length > 1 ? curveNames[1] : fundingCurveName;
final String forward2CurveName = curveNames.length == 3 ? curveNames[2] : forward1CurveName;
switch (type) {
case SWAP_FIXED_IBOR:
if (resetFrequency.getConventionName().equals(Frequency.QUARTERLY_NAME)) {
return new String[] {fundingCurveName, forward1CurveName};
} else if (resetFrequency.getConventionName().equals(Frequency.SEMI_ANNUAL_NAME)) {
return new String[] {fundingCurveName, forward2CurveName};
}
return new String[] {fundingCurveName, forward1CurveName};
case SWAP_FIXED_IBOR_WITH_SPREAD:
return new String[] {fundingCurveName, forward1CurveName};
case SWAP_IBOR_IBOR:
return new String[] {fundingCurveName, forward1CurveName, forward2CurveName};
case CASH:
return new String[] {fundingCurveName};
case FRA:
return new String[] {fundingCurveName, forward1CurveName};
case IR_FUTURE:
return new String[] {fundingCurveName, forward1CurveName};
case COUPON_BOND:
return new String[] {fundingCurveName, fundingCurveName};
case SWAP_FIXED_CMS:
return new String[] {fundingCurveName, forward1CurveName};
case SWAP_IBOR_CMS:
return new String[] {fundingCurveName, forward1CurveName};
case SWAP_CMS_CMS:
return new String[] {fundingCurveName, forward1CurveName};
case BOND_FUTURE:
return new String[] {fundingCurveName, fundingCurveName};
case SWAP_FIXED_OIS:
return new String[] {fundingCurveName, fundingCurveName};
default:
throw new OpenGammaRuntimeException(
"Could not find " + type + " in security instrument list");
}
}
// TODO This method should be replaced when we have calculation configurations
public static String[] getCurveNamesForSecurity(
final FinancialSecurity security,
final String fundingCurveName,
final String forwardCurveName) {
final InterestRateInstrumentType type =
InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
switch (type) {
case SWAP_FIXED_IBOR:
return new String[] {fundingCurveName, forwardCurveName};
case SWAP_FIXED_IBOR_WITH_SPREAD:
return new String[] {fundingCurveName, forwardCurveName};
case SWAP_IBOR_IBOR:
return new String[] {fundingCurveName, forwardCurveName, forwardCurveName};
case CASH:
return new String[] {fundingCurveName};
case FRA:
return new String[] {fundingCurveName, forwardCurveName};
case IR_FUTURE:
return new String[] {fundingCurveName, forwardCurveName};
case COUPON_BOND:
return new String[] {fundingCurveName, fundingCurveName};
case SWAP_FIXED_CMS:
return new String[] {fundingCurveName, forwardCurveName};
case SWAP_IBOR_CMS:
return new String[] {fundingCurveName, forwardCurveName};
case SWAP_CMS_CMS:
return new String[] {fundingCurveName, forwardCurveName};
case BOND_FUTURE:
return new String[] {fundingCurveName, fundingCurveName};
case SWAP_FIXED_OIS:
return new String[] {fundingCurveName, fundingCurveName};
default:
throw new OpenGammaRuntimeException(
"Could not find " + type + " in security instrument list");
}
}