/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.bbg.loader;
import static com.opengamma.bbg.BloombergConstants.FIELD_EXCH_CODE;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_VAL_PT;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_BBG_UNIQUE;
import static com.opengamma.bbg.BloombergConstants.FIELD_MARKET_SECTOR_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_OPT_EXERCISE_TYP;
import static com.opengamma.bbg.BloombergConstants.FIELD_OPT_EXPIRE_DT;
import static com.opengamma.bbg.BloombergConstants.FIELD_OPT_PUT_CALL;
import static com.opengamma.bbg.BloombergConstants.FIELD_OPT_STRIKE_PX;
import static com.opengamma.bbg.BloombergConstants.FIELD_OPT_TICK_VAL;
import static com.opengamma.bbg.BloombergConstants.FIELD_OPT_UNDERLYING_SECURITY_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_OPT_UNDL_CRNCY;
import static com.opengamma.bbg.BloombergConstants.FIELD_PARSEKYABLE_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_TICKER;
import static com.opengamma.bbg.BloombergConstants.FIELD_UNDL_ID_BB_UNIQUE;
import java.util.HashSet;
import java.util.Set;
import org.fudgemsg.FudgeMsg;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.LocalDate;
import com.google.common.collect.ImmutableSet;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.bbg.referencedata.ReferenceDataProvider;
import com.opengamma.bbg.security.BloombergSecurityProvider;
import com.opengamma.bbg.util.BloombergDataUtils;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.security.option.EquityIndexDividendFutureOptionSecurity;
import com.opengamma.financial.security.option.ExerciseType;
import com.opengamma.financial.security.option.OptionType;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.master.security.ManageableSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
* Loads the data for an Equity Index Option from Bloomberg.
*/
public class EquityIndexDividendFutureOptionLoader extends SecurityLoader {
/** Logger. */
private static final Logger s_logger = LoggerFactory.getLogger(EquityIndexDividendFutureOptionLoader.class);
/**
* The fields to load from Bloomberg.
*/
private static final Set<String> BLOOMBERG_EQUITY_DIVIDEND_FUTURE_OPTION_FIELDS = ImmutableSet.of(
FIELD_TICKER,
FIELD_EXCH_CODE,
FIELD_PARSEKYABLE_DES,
FIELD_MARKET_SECTOR_DES,
FIELD_OPT_EXERCISE_TYP,
FIELD_OPT_STRIKE_PX,
FIELD_OPT_PUT_CALL,
FIELD_OPT_UNDERLYING_SECURITY_DES,
FIELD_OPT_UNDL_CRNCY,
FIELD_OPT_EXPIRE_DT,
FIELD_ID_BBG_UNIQUE,
FIELD_OPT_TICK_VAL,
FIELD_FUT_VAL_PT,
FIELD_UNDL_ID_BB_UNIQUE);
/**
* The valid Bloomberg security types for Equity Index Dividend Future Option
* NOTE: THESE ARE ACTUALLY FUTURES_CATEGORY TYPES NOT SECURITY_TYP TYPES.
*/
public static final Set<String> VALID_SECURITY_TYPES = ImmutableSet.of("Equity Index");
private static final FutureOptionMarginResolver MARGIN_RESOLVER = new FutureOptionMarginResolver();
/**
* Creates an instance.
* @param referenceDataProvider the provider, not null
*/
public EquityIndexDividendFutureOptionLoader(ReferenceDataProvider referenceDataProvider) {
super(s_logger, referenceDataProvider, SecurityType.EQUITY_INDEX_DIVIDEND_FUTURE_OPTION);
}
//-------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity(FudgeMsg fieldData) {
String rootTicker = fieldData.getString(FIELD_TICKER);
String exchange = fieldData.getString(FIELD_EXCH_CODE);
String optionExerciseType = fieldData.getString(FIELD_OPT_EXERCISE_TYP);
double optionStrikePrice = fieldData.getDouble(FIELD_OPT_STRIKE_PX);
double pointValue = fieldData.getDouble(FIELD_FUT_VAL_PT);
String putOrCall = fieldData.getString(FIELD_OPT_PUT_CALL);
String underlingTicker = fieldData.getString(FIELD_OPT_UNDERLYING_SECURITY_DES);
String currency = fieldData.getString(FIELD_OPT_UNDL_CRNCY);
String expiryDate = fieldData.getString(FIELD_OPT_EXPIRE_DT);
String bbgUniqueID = fieldData.getString(FIELD_ID_BBG_UNIQUE);
String underlyingUniqueID = fieldData.getString(FIELD_UNDL_ID_BB_UNIQUE);
String secDes = fieldData.getString(FIELD_PARSEKYABLE_DES);
if (!BloombergDataUtils.isValidField(bbgUniqueID)) {
s_logger.warn("bloomberg UniqueID is missing, cannot construct equityIndexOption security");
return null;
}
if (!BloombergDataUtils.isValidField(rootTicker)) {
s_logger.warn("option root ticker is missing, cannot construct equityIndexOption security");
return null;
}
if (!BloombergDataUtils.isValidField(underlyingUniqueID)) {
s_logger.warn("bloomberg UniqueID for Underlying Security is missing, cannot construct equityOption security");
return null;
}
if (!BloombergDataUtils.isValidField(putOrCall)) {
s_logger.warn("option type is missing, cannot construct equityOption security");
return null;
}
if (!BloombergDataUtils.isValidField(exchange)) {
s_logger.warn("exchange is missing, cannot construct equityOption security");
return null;
}
if (!BloombergDataUtils.isValidField(expiryDate)) {
s_logger.warn("option expiry date is missing, cannot construct equityOption security");
return null;
}
if (!BloombergDataUtils.isValidField(underlingTicker)) {
s_logger.warn("option underlying ticker is missing, cannot construct equityOption security");
return null;
}
if (!BloombergDataUtils.isValidField(currency)) {
s_logger.warn("option currency is missing, cannot construct equityOption security");
return null;
}
if (!BloombergDataUtils.isValidField(optionExerciseType)) {
s_logger.warn("option exercise type is missing, cannot construct equityOption security");
return null;
}
OptionType optionType = getOptionType(putOrCall);
//get year month day from expiryDate in the yyyy-mm-dd format
LocalDate expiryLocalDate = null;
try {
expiryLocalDate = LocalDate.parse(expiryDate);
} catch (Exception e) {
throw new OpenGammaRuntimeException(expiryDate + " returned from bloomberg not in format yyyy-mm-dd", e);
}
int year = expiryLocalDate.getYear();
int month = expiryLocalDate.getMonthValue();
int day = expiryLocalDate.getDayOfMonth();
Expiry expiry = new Expiry(DateUtils.getUTCDate(year, month, day));
// TODO kirk 2009-11-03 -- Do something better with the underlying ticker, since we have it.
/*
String underlyingTicker = null;
underlying = underlying.trim();
if (!underlying.endsWith("Equity") && secType.equals(BLOOMBERG_EQUITY_OPTION_SECURITY_TYPE)) {
underlyingTicker = underlying + " Equity";
} else {
underlyingTicker = underlying;
}
Set<DomainSpecificIdentifier> underlyingIdentifiers = new HashSet<DomainSpecificIdentifier>();
underlyingIdentifiers.add(new DomainSpecificIdentifier(IdentificationDomain.BLOOMBERG_TICKER, underlyingTicker));
underlyingIdentifiers.add(new DomainSpecificIdentifier(IdentificationDomain.BLOOMBERG_BUID, underlyingUniqueID));
SecurityKey underlingKey = new SecurityKeyImpl(Collections.unmodifiableSet(underlyingIdentifiers));
*/
Currency ogCurrency = Currency.parse(currency);
Set<ExternalId> identifiers = new HashSet<ExternalId>();
identifiers.add(ExternalSchemes.bloombergBuidSecurityId(bbgUniqueID));
if (BloombergDataUtils.isValidField(secDes)) {
identifiers.add(ExternalSchemes.bloombergTickerSecurityId(secDes));
}
final ExerciseType exerciseType = getExerciseType(optionExerciseType);
final EquityIndexDividendFutureOptionSecurity security = new EquityIndexDividendFutureOptionSecurity(
exchange,
expiry,
exerciseType,
ExternalSchemes.bloombergBuidSecurityId(underlyingUniqueID),
pointValue,
MARGIN_RESOLVER.isMargined(exchange),
ogCurrency,
optionStrikePrice,
optionType);
security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUniqueID));
//build option display name
StringBuilder buf = new StringBuilder(rootTicker);
buf.append(" ");
buf.append(expiryDate);
if (optionType == OptionType.CALL) {
buf.append(" C ");
} else {
buf.append(" P ");
}
buf.append(optionStrikePrice);
security.setName(buf.toString());
return security;
}
@Override
protected Set<String> getBloombergFields() {
return BLOOMBERG_EQUITY_DIVIDEND_FUTURE_OPTION_FIELDS;
}
}