@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");
}