/**
* 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.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionWithData;
import com.opengamma.analytics.financial.instrument.future.FederalFundsFutureSecurityDefinition;
import com.opengamma.analytics.financial.instrument.future.FederalFundsFutureTransactionDefinition;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.position.Trade;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.security.future.FederalFundsFutureSecurity;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.DateUtils;
/**
* Converts Federal funds future trades into the definition form used by the analytics library.
*/
public class FederalFundsFutureTradeConverter {
/** The security converter */
private final FederalFundsFutureSecurityConverter _securityConverter;
/**
* @param holidaySource The holiday source, not null
* @param conventionSource The convention source, not null
* @param regionSource The region source, not null
*/
public FederalFundsFutureTradeConverter(final HolidaySource holidaySource, final ConventionSource conventionSource, final RegionSource regionSource) {
ArgumentChecker.notNull(holidaySource, "holiday source");
ArgumentChecker.notNull(conventionSource, "convention source");
ArgumentChecker.notNull(regionSource, "region source");
_securityConverter = new FederalFundsFutureSecurityConverter(holidaySource, conventionSource, regionSource);
}
public InstrumentDefinitionWithData<?, DoubleTimeSeries<ZonedDateTime>[]> convert(final Trade trade) { //CSIGNORE
ArgumentChecker.notNull(trade, "trade");
final Security security = trade.getSecurity();
if (security instanceof FederalFundsFutureSecurity) {
final FederalFundsFutureSecurityDefinition securityDefinition = (FederalFundsFutureSecurityDefinition) ((FederalFundsFutureSecurity) security).accept(_securityConverter);
double tradePremium = 0.0;
if (trade.getPremium() != null) {
tradePremium = trade.getPremium(); // TODO: The trade price is stored in the trade premium. This has to be corrected.
}
ZonedDateTime tradeDate = DateUtils.getUTCDate(1900, 1, 1);
if ((trade.getTradeDate() != null) && trade.getTradeTime() != null && (trade.getTradeTime().toLocalTime() != null)) {
tradeDate = trade.getTradeDate().atTime(trade.getTradeTime().toLocalTime()).atZone(ZoneOffset.UTC); //TODO get the real time zone
}
final int quantity = trade.getQuantity().intValue();
return new FederalFundsFutureTransactionDefinition(securityDefinition, quantity, tradeDate, tradePremium);
}
throw new IllegalArgumentException("Can only handle FederalFundsFutureSecurity");
}
}