@SuppressWarnings("synthetic-access")
@Override
public Set<ValueRequirement> getTimeSeriesRequirements(
final SwapSecurity security, final String[] curveNames) {
Validate.notNull(security, "security");
final SwapLeg payLeg = security.getPayLeg();
final SwapLeg receiveLeg = security.getReceiveLeg();
final ZonedDateTime swapStartDate = security.getEffectiveDate();
final ZonedDateTime swapStartLocalDate =
ZonedDateTime.of(swapStartDate.toLocalDate(), LocalTime.of(0, 0), TimeZone.UTC);
final ValueRequirement payLegTS =
getIndexTimeSeriesRequirement(
InterestRateInstrumentType.getInstrumentTypeFromSecurity(security),
payLeg,
swapStartLocalDate);
final ValueRequirement receiveLegTS =
getIndexTimeSeriesRequirement(
InterestRateInstrumentType.getInstrumentTypeFromSecurity(security),
receiveLeg,
swapStartLocalDate);
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
if (payLegTS != null) {
requirements.add(payLegTS);
}
if (receiveLegTS != null) {
requirements.add(receiveLegTS);
}
return requirements;
}
@Override
public boolean canApplyTo(
final FunctionCompilationContext context, final ComputationTarget target) {
if (!(target.getSecurity() instanceof FinancialSecurity)) {
return false;
}
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
// TODO remove this when we've checked that removing IR futures from the fixed income instrument
// types
// doesn't break curves
if (target.getSecurity() instanceof InterestRateFutureSecurity) {
return false;
}
if (security instanceof SwapSecurity) {
try {
final InterestRateInstrumentType type =
InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
return type == InterestRateInstrumentType.SWAP_FIXED_IBOR
|| type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD
|| type == InterestRateInstrumentType.SWAP_IBOR_IBOR
|| type == InterestRateInstrumentType.SWAP_FIXED_OIS;
} catch (final OpenGammaRuntimeException ogre) {
return false;
}
}
return InterestRateInstrumentType.isFixedIncomeInstrumentType(security);
}
@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;
}
@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");
}