@SuppressWarnings("synthetic-access") @Override public InstrumentDerivative convert( final CapFloorCMSSpreadSecurity security, final AnnuityCapFloorCMSSpreadDefinition definition, final ZonedDateTime now, final String[] curveNames, final HistoricalTimeSeriesBundle timeSeries) { final ExternalId longId = security.getLongId(); final ExternalId shortId = security.getShortId(); final DoubleTimeSeries<ZonedDateTime> indexLongTS = getIndexTimeSeries(getIndexIdBundle(longId), now.getZone(), timeSeries); final DoubleTimeSeries<ZonedDateTime> indexShortTS = getIndexTimeSeries(getIndexIdBundle(shortId), now.getZone(), timeSeries); final DoubleTimeSeries<ZonedDateTime> indexSpreadTS = indexLongTS.subtract(indexShortTS); return definition.toDerivative(now, indexSpreadTS, curveNames); }
@SuppressWarnings("synthetic-access") @Override public Set<ValueRequirement> getTimeSeriesRequirements( final CapFloorCMSSpreadSecurity security, final String[] curveNames) { final ExternalId longId = security.getLongId(); final ExternalId shortId = security.getShortId(); final ZonedDateTime capStartDate = security.getStartDate(); final LocalDate startDate = capStartDate .toLocalDate() .minusDays(7); // To catch first fixing. SwapSecurity does not have this date. final ValueRequirement indexLongTS = getIndexTimeSeriesRequirement(getIndexIdBundle(longId), startDate); if (indexLongTS == null) { return null; } final ValueRequirement indexShortTS = getIndexTimeSeriesRequirement(getIndexIdBundle(shortId), startDate); if (indexShortTS == null) { return null; } return ImmutableSet.of(indexLongTS, indexShortTS); }
protected void addSecuritySpecificMetaData(ManageableSecurity security, FlexiBean out) { if (security.getSecurityType().equals(SwapSecurity.SECURITY_TYPE)) { SwapSecurity swapSecurity = (SwapSecurity) security; out.put("payLegType", swapSecurity.getPayLeg().accept(new SwapLegClassifierVisitor())); out.put( "receiveLegType", swapSecurity.getReceiveLeg().accept(new SwapLegClassifierVisitor())); } if (security.getSecurityType().equals(FutureSecurity.SECURITY_TYPE)) { FutureSecurity futureSecurity = (FutureSecurity) security; out.put("futureSecurityType", futureSecurity.accept(new FutureSecurityTypeVisitor())); out.put("basket", getBondFutureBasket(security)); Security underlyingSecurity = getUnderlyingFutureSecurity(futureSecurity); if (underlyingSecurity != null) { out.put("underlyingSecurity", underlyingSecurity); } } if (security.getSecurityType().equals(EquityOptionSecurity.SECURITY_TYPE)) { EquityOptionSecurity equityOption = (EquityOptionSecurity) security; addUnderlyingSecurity(out, equityOption.getUnderlyingId()); } if (security.getSecurityType().equals(IRFutureOptionSecurity.SECURITY_TYPE)) { IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) security; addUnderlyingSecurity(out, irFutureOption.getUnderlyingId()); } if (security.getSecurityType().equals(SwaptionSecurity.SECURITY_TYPE)) { SwaptionSecurity swaptionSecurity = (SwaptionSecurity) security; addUnderlyingSecurity(out, swaptionSecurity.getUnderlyingId()); } if (security.getSecurityType().equals(EquityBarrierOptionSecurity.SECURITY_TYPE)) { EquityBarrierOptionSecurity equityBarrierOptionSecurity = (EquityBarrierOptionSecurity) security; addUnderlyingSecurity(out, equityBarrierOptionSecurity.getUnderlyingId()); } if (security.getSecurityType().equals(CapFloorSecurity.SECURITY_TYPE)) { CapFloorSecurity capFloorSecurity = (CapFloorSecurity) security; addUnderlyingSecurity(out, capFloorSecurity.getUnderlyingId()); } if (security.getSecurityType().equals(CapFloorCMSSpreadSecurity.SECURITY_TYPE)) { CapFloorCMSSpreadSecurity capFloorCMSSpreadSecurity = (CapFloorCMSSpreadSecurity) security; Security shortUnderlying = getSecurity(capFloorCMSSpreadSecurity.getShortId()); Security longUnderlying = getSecurity(capFloorCMSSpreadSecurity.getLongId()); if (shortUnderlying != null) { out.put("shortSecurity", shortUnderlying); } if (longUnderlying != null) { out.put("longSecurity", longUnderlying); } } if (security.getSecurityType().equals(EquityIndexOptionSecurity.SECURITY_TYPE)) { EquityIndexOptionSecurity equityIndxOption = (EquityIndexOptionSecurity) security; addUnderlyingSecurity(out, equityIndxOption.getUnderlyingId()); } if (security.getSecurityType().equals(FRASecurity.SECURITY_TYPE)) { FRASecurity fraSecurity = (FRASecurity) security; addUnderlyingSecurity(out, fraSecurity.getUnderlyingId()); } if (security.getSecurityType().equals(SecurityEntryData.EXTERNAL_SENSITIVITIES_SECURITY_TYPE)) { RawSecurity rawSecurity = (RawSecurity) security; FudgeMsgEnvelope msg = OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData()); SecurityEntryData securityEntryData = OpenGammaFudgeContext.getInstance() .fromFudgeMsg(SecurityEntryData.class, msg.getMessage()); out.put("securityEntryData", securityEntryData); out.put("securityAttributes", security.getAttributes()); RawSecurity underlyingRawSecurity = (RawSecurity) getSecurity(securityEntryData.getFactorSetId()); if (underlyingRawSecurity != null) { FudgeMsgEnvelope factorIdMsg = OpenGammaFudgeContext.getInstance().deserialize(underlyingRawSecurity.getRawData()); @SuppressWarnings("unchecked") List<FactorExposureData> factorExposureDataList = OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, factorIdMsg.getMessage()); s_logger.error(factorExposureDataList.toString()); List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList); out.put("factorExposuresList", factorExposuresList); } else { s_logger.error("Couldn't find security"); } } if (security .getSecurityType() .equals(FactorExposureData.EXTERNAL_SENSITIVITIES_RISK_FACTORS_SECURITY_TYPE)) { RawSecurity rawSecurity = (RawSecurity) security; FudgeMsgEnvelope msg = OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData()); @SuppressWarnings("unchecked") List<FactorExposureData> factorExposureDataList = OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, msg.getMessage()); List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList); out.put("factorExposuresList", factorExposuresList); } }