@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 equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SwapSecurity other = (SwapSecurity) obj;
return JodaBeanUtils.equal(getTradeDate(), other.getTradeDate())
&& JodaBeanUtils.equal(getEffectiveDate(), other.getEffectiveDate())
&& JodaBeanUtils.equal(getMaturityDate(), other.getMaturityDate())
&& JodaBeanUtils.equal(getCounterparty(), other.getCounterparty())
&& JodaBeanUtils.equal(getPayLeg(), other.getPayLeg())
&& JodaBeanUtils.equal(getReceiveLeg(), other.getReceiveLeg())
&& super.equals(obj);
}
return false;
}
@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");
}
@Override
public SwaptionSecurity createSecurity() {
final int optionLength = getRandom(OPTION_LENGTH);
ZonedDateTime expiry = ZonedDateTime.now().plusMonths(optionLength);
final SwapSecurity underlying = createUnderlying(expiry.plusMonths(2), expiry);
final Currency currency = FinancialSecurityUtils.getCurrency(underlying);
expiry = nextWorkingDay(expiry, currency);
final boolean isPayer = getRandom().nextBoolean();
final boolean isLong = getRandom().nextBoolean();
final boolean isCashSettled = getRandom().nextBoolean();
final ZonedDateTime settlementDate = nextWorkingDay(expiry.plusDays(2), currency);
final Double notional =
underlying
.getPayLeg()
.getNotional()
.accept(
new NotionalVisitor<Double>() {
@Override
public Double visitCommodityNotional(final CommodityNotional notional) {
return null;
}
@Override
public Double visitInterestRateNotional(final InterestRateNotional notional) {
return notional.getAmount();
}
@Override
public Double visitSecurityNotional(final SecurityNotional notional) {
return null;
}
@Override
public Double visitVarianceSwapNotional(final VarianceSwapNotional notional) {
return notional.getAmount();
}
});
if (notional == null) {
return null;
}
Double rate = getRate(underlying.getPayLeg());
if (rate == null) {
rate = getRate(underlying.getReceiveLeg());
if (rate == null) {
return null;
}
}
final SwaptionSecurity security =
new SwaptionSecurity(
isPayer,
getSecurityPersister().storeSecurity(underlying).iterator().next(),
isLong,
new Expiry(expiry),
isCashSettled,
currency,
notional,
new EuropeanExerciseType(),
settlementDate);
security.setName(
createName(
currency,
optionLength,
(int) MONTHS.between(underlying.getEffectiveDate(), underlying.getMaturityDate()),
notional,
rate));
return security;
}
