/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.conversion;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.future.DeliverableSwapFutureSecurity;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class DeliverableSwapFutureSecurityConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
/** The security source */
private final SecuritySource _securitySource;
/** The swap converter */
private final SwapSecurityConverter _swapConverter;
public DeliverableSwapFutureSecurityConverter(final SecuritySource securitySource, final SwapSecurityConverter swapConverter) {
ArgumentChecker.notNull(securitySource, "security source");
ArgumentChecker.notNull(swapConverter, "swap converter");
_securitySource = securitySource;
_swapConverter = swapConverter;
}
@Override
public SwapFuturesPriceDeliverableSecurityDefinition visitDeliverableSwapFutureSecurity(final DeliverableSwapFutureSecurity security) {
ArgumentChecker.notNull(security, "security");
final ExternalId swapIdentifer = security.getUnderlyingSwapId();
final SwapSecurity underlyingSwapSecurity = (SwapSecurity) _securitySource.getSingle(ExternalIdBundle.of(swapIdentifer)); //TODO see note in InterestRateFutureOptionSecurityConverter
if (underlyingSwapSecurity == null) {
throw new OpenGammaRuntimeException("Underlying swap security " + swapIdentifer + " was not found in database");
}
final InstrumentDefinition<?> underlyingSwap = underlyingSwapSecurity.accept(_swapConverter);
if (!(underlyingSwap instanceof SwapFixedIborDefinition)) {
throw new OpenGammaRuntimeException("Underlying swap was not fixed / ibor float");
}
final ZonedDateTime lastTradingDate = security.getExpiry().getExpiry();
final double notional = security.getNotional();
return new SwapFuturesPriceDeliverableSecurityDefinition(lastTradingDate, (SwapFixedIborDefinition) underlyingSwap, notional);
}
}