/**
* 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.apache.commons.lang.NotImplementedException;
import org.threeten.bp.Period;
import org.threeten.bp.ZoneId;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.region.RegionSource;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.frequency.Frequency;
import com.opengamma.financial.convention.frequency.PeriodFrequency;
import com.opengamma.financial.convention.frequency.SimpleFrequency;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.bond.BondSecurity;
import com.opengamma.financial.security.bond.GovernmentBondSecurity;
import com.opengamma.financial.security.bond.InflationBondSecurity;
import com.opengamma.financial.security.bond.MunicipalBondSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
*
*/
public class InflationBondSecurityConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
private final HolidaySource _holidaySource;
private final ConventionBundleSource _conventionSource;
private final RegionSource _regionSource;
public InflationBondSecurityConverter(final HolidaySource holidaySource, final ConventionBundleSource conventionSource, final RegionSource regionSource) {
ArgumentChecker.notNull(holidaySource, "holiday source");
ArgumentChecker.notNull(conventionSource, "convention source");
ArgumentChecker.notNull(regionSource, "region source");
_holidaySource = holidaySource;
_conventionSource = conventionSource;
_regionSource = regionSource;
}
@Override
public InstrumentDefinition<?> visitInflationBondSecurity(final InflationBondSecurity security) {
final String domicile = security.getIssuerDomicile();
ArgumentChecker.notNull(domicile, "bond security domicile cannot be null");
final String conventionName = domicile + "_INFLATION_BOND_CONVENTION";
final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
if (convention == null) {
throw new OpenGammaRuntimeException("No corporate bond convention found for domicile " + domicile);
}
return visitBondSecurity(security, convention, conventionName);
}
@Override
public InstrumentDefinition<?> visitGovernmentBondSecurity(final GovernmentBondSecurity security) {
final String domicile = security.getIssuerDomicile();
if (domicile == null) {
throw new OpenGammaRuntimeException("bond security domicile cannot be null");
}
final String conventionName = domicile + "_TREASURY_BOND_CONVENTION";
final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
if (convention == null) {
throw new OpenGammaRuntimeException("Convention called " + conventionName + " was null");
}
return visitBondSecurity(security, convention, conventionName);
}
public InstrumentDefinition<?> visitBondSecurity(final BondSecurity security, final ConventionBundle convention, final String conventionName) {
final ExternalId regionId = ExternalSchemes.financialRegionId(security.getIssuerDomicile());
if (regionId == null) {
throw new OpenGammaRuntimeException("Could not find region for " + security.getIssuerDomicile());
}
final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
final Currency currency = security.getCurrency();
final ZoneId zone = security.getInterestAccrualDate().getZone();
final ZonedDateTime firstAccrualDate = ZonedDateTime.of(security.getInterestAccrualDate().toLocalDate().atStartOfDay(), zone);
final ZonedDateTime maturityDate = ZonedDateTime.of(security.getLastTradeDate().getExpiry().toLocalDate().atStartOfDay(), zone);
final double rate = security.getCouponRate() / 100;
final DayCount dayCount = security.getDayCount();
final BusinessDayConvention businessDay = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
if (convention.isEOMConvention() == null) {
throw new OpenGammaRuntimeException("Could not get EOM convention information from " + conventionName);
}
final boolean isEOM = convention.isEOMConvention();
final YieldConvention yieldConvention = security.getYieldConvention();
if (security.getCouponType().equals("NONE") || security.getCouponType().equals("ZERO COUPON")) { //TODO find where string is
return new PaymentFixedDefinition(currency, maturityDate, 1);
}
if (convention.getBondSettlementDays(firstAccrualDate, maturityDate) == null) {
throw new OpenGammaRuntimeException("Could not get bond settlement days from " + conventionName);
}
final int settlementDays = convention.getBondSettlementDays(firstAccrualDate, maturityDate);
final Period paymentPeriod = getTenor(security.getCouponFrequency());
final ZonedDateTime firstCouponDate = ZonedDateTime.of(security.getFirstCouponDate().toLocalDate().atStartOfDay(), zone);
return BondFixedSecurityDefinition.from(currency, firstAccrualDate, firstCouponDate, maturityDate, paymentPeriod, rate, settlementDays, calendar, dayCount, businessDay,
yieldConvention, isEOM, security.getIssuerName());
}
@Override
public InstrumentDefinition<?> visitMunicipalBondSecurity(final MunicipalBondSecurity security) {
throw new NotImplementedException();
}
private static Period getTenor(final Frequency freq) {
if (freq instanceof PeriodFrequency) {
return ((PeriodFrequency) freq).getPeriod();
} else if (freq instanceof SimpleFrequency) {
return ((SimpleFrequency) freq).toPeriodFrequency().getPeriod();
}
throw new OpenGammaRuntimeException("Can only PeriodFrequency or SimpleFrequency; have " + freq.getClass());
}
}