/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.volatility.surface;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.analytics.volatility.surface.BloombergFXOptionVolatilitySurfaceInstrumentProvider.FXVolQuoteType;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalScheme;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.Tenor;
import com.opengamma.util.tuple.Pair;
/**
*
*/
public class BloombergAlternativeFXOptionVolatilitySurfaceInstrumentProvider implements SurfaceInstrumentProvider<Tenor, Pair<Number, FXVolQuoteType>> {
private static final ExternalScheme SCHEME = ExternalSchemes.BLOOMBERG_TICKER_WEAK;
private final String _fxPrefix;
private final String _postfix; //expecting Curncy
private final String _dataFieldName; //expecting MarketDataRequirementNames.MARKET_VALUE
public BloombergAlternativeFXOptionVolatilitySurfaceInstrumentProvider(final String fxPrefix, final String postfix, final String dataFieldName) {
ArgumentChecker.notNull(fxPrefix, "fx prefix");
ArgumentChecker.notNull(postfix, "postfix");
ArgumentChecker.notNull(dataFieldName, "data field name");
_fxPrefix = fxPrefix;
_postfix = postfix;
_dataFieldName = dataFieldName;
}
public String getFXPrefix() {
return _fxPrefix;
}
public String getPostfix() {
return _postfix;
}
@Override
public String getDataFieldName() {
return _dataFieldName;
}
@Override
public ExternalId getInstrument(final Tenor tenor, final Pair<Number, FXVolQuoteType> volDeltaQuoteType) {
return createFXVolatilityCode(tenor, volDeltaQuoteType);
}
@Override
public ExternalId getInstrument(final Tenor tenor, final Pair<Number, FXVolQuoteType> volDeltaQuoteType, final LocalDate surfaceDate) {
return createFXVolatilityCode(tenor, volDeltaQuoteType);
}
private ExternalId createFXVolatilityCode(final Tenor tenor, final Pair<Number, FXVolQuoteType> volDeltaQuoteType) {
final StringBuffer ticker = new StringBuffer();
ticker.append(_fxPrefix);
final int delta = volDeltaQuoteType.getFirst().intValue();
final FXVolQuoteType quoteType = volDeltaQuoteType.getSecond();
final StringBuffer bbgCode = new StringBuffer();
if (quoteType == FXVolQuoteType.ATM) {
bbgCode.append('V');
} else if (quoteType == FXVolQuoteType.RISK_REVERSAL) {
if (delta == 10) {
bbgCode.append("RX");
} else if (delta == 25) {
bbgCode.append("RR");
} else {
throw new UnsupportedOperationException("Can only handle 10 and 25 delta quotes");
}
} else if (quoteType == FXVolQuoteType.BUTTERFLY) {
if (delta == 10) {
bbgCode.append("BX");
} else if (delta == 25) {
bbgCode.append("BX");
} else {
throw new UnsupportedOperationException("Can only handle 10 and 25 delta quotes");
}
} else {
throw new UnsupportedOperationException("Can only handle ATM, risk reversal and butterfly quotes");
}
final Period period = tenor.getPeriod();
if (period.getMonths() != 0) {
bbgCode.append(period.getMonths());
bbgCode.append('M');
} else if (period.getYears() != 0) {
bbgCode.append(period.getYears());
if (period.getYears() < 10) {
bbgCode.append(period.getYears());
bbgCode.append('Y');
}
} else if (period.getDays() != 0 && period.getDays() % 7 == 0) {
bbgCode.append(period.getDays() / 7);
bbgCode.append('W');
} else {
throw new UnsupportedOperationException("Can only handle periods in weeks, months or years");
}
ticker.append(bbgCode);
ticker.append(" ");
ticker.append(_postfix);
return ExternalId.of(SCHEME, ticker.toString());
}
@Override
public int hashCode() {
return getFXPrefix().hashCode() + getPostfix().hashCode() + getDataFieldName().hashCode();
}
@Override
public boolean equals(final Object obj) {
if (obj == null) {
return false;
}
if (!(obj instanceof BloombergAlternativeFXOptionVolatilitySurfaceInstrumentProvider)) {
return false;
}
final BloombergAlternativeFXOptionVolatilitySurfaceInstrumentProvider other = (BloombergAlternativeFXOptionVolatilitySurfaceInstrumentProvider) obj;
return getFXPrefix().equals(other.getFXPrefix()) &&
getPostfix().equals(other.getPostfix()) &&
getDataFieldName().equals(other.getDataFieldName());
}
}