/**
* 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_ANNOUNCE_DT;
import static com.opengamma.bbg.BloombergConstants.FIELD_BB_COMPOSITE;
import static com.opengamma.bbg.BloombergConstants.FIELD_CALC_TYP_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_CNTRY_ISSUE_ISO;
import static com.opengamma.bbg.BloombergConstants.FIELD_CPN;
import static com.opengamma.bbg.BloombergConstants.FIELD_CRNCY;
import static com.opengamma.bbg.BloombergConstants.FIELD_DAYS_TO_SETTLE;
import static com.opengamma.bbg.BloombergConstants.FIELD_DAY_CNT_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_GUARANTOR;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_BBG_UNIQUE;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_CUSIP;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_ISIN;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_SEDOL1;
import static com.opengamma.bbg.BloombergConstants.FIELD_ISSUE_DT;
import static com.opengamma.bbg.BloombergConstants.FIELD_MARKET_SECTOR_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_MATURITY;
import static com.opengamma.bbg.BloombergConstants.FIELD_MIN_INCREMENT;
import static com.opengamma.bbg.BloombergConstants.FIELD_PARSEKYABLE_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_RTG_FITCH;
import static com.opengamma.bbg.BloombergConstants.FIELD_RTG_MOODY;
import static com.opengamma.bbg.BloombergConstants.FIELD_RTG_SP;
import static com.opengamma.bbg.BloombergConstants.FIELD_SECURITY_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_SECURITY_TYP;
import static com.opengamma.bbg.BloombergConstants.FIELD_TICKER;
import static com.opengamma.bbg.BloombergConstants.FIELD_ZERO_CPN;
import static com.opengamma.bbg.util.BloombergDataUtils.isValidField;
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 org.threeten.bp.LocalTime;
import org.threeten.bp.ZoneId;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
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.core.id.ExternalSchemes;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.financial.convention.yield.YieldConventionFactory;
import com.opengamma.financial.security.bond.BillSecurity;
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.Expiry;
import com.opengamma.util.time.ExpiryAccuracy;
/**
* Loads the data for a bill from Bloomberg.
*/
public class BillLoader extends SecurityLoader {
/** Logger. */
private static final Logger s_logger = LoggerFactory.getLogger(BillLoader.class);
/**
* The fields to load from Bloomberg.
*/
private static final Set<String> BLOOMBERG_BILL_FIELDS = ImmutableSet.of(
FIELD_ISSUE_DT,
FIELD_CNTRY_ISSUE_ISO,
FIELD_SECURITY_TYP,
FIELD_CALC_TYP_DES,
FIELD_GUARANTOR,
FIELD_CRNCY,
FIELD_MATURITY,
FIELD_ZERO_CPN,
FIELD_DAY_CNT_DES,
FIELD_MIN_INCREMENT,
FIELD_RTG_FITCH,
FIELD_RTG_MOODY,
FIELD_RTG_SP,
FIELD_BB_COMPOSITE,
FIELD_ID_BBG_UNIQUE,
FIELD_ID_CUSIP,
FIELD_ID_ISIN,
FIELD_ID_SEDOL1,
FIELD_TICKER,
FIELD_MARKET_SECTOR_DES,
FIELD_SECURITY_DES,
FIELD_PARSEKYABLE_DES,
FIELD_DAYS_TO_SETTLE);
/**
* The valid Bloomberg security types for bills
*/
public static final Set<String> VALID_SECURITY_TYPES2 = ImmutableSet.of("Bill");
/**
* Creates an instance.
* @param referenceDataProvider the provider, not null
*/
public BillLoader(final ReferenceDataProvider referenceDataProvider) {
super(s_logger, referenceDataProvider, SecurityType.BILL);
}
private String validateAndGetStringField(final FudgeMsg fieldData, final String fieldName) {
if (!isValidField(fieldData.getString(fieldName))) {
s_logger.warn(fieldName + " is null, cannot construct bill security");
throw new OpenGammaRuntimeException(fieldName + " is null, cannot construct bill security");
}
return fieldData.getString(fieldName);
}
private String validateAndGetNullableStringField(final FudgeMsg fieldData, final String fieldName) {
if (!isValidField(fieldData.getString(fieldName))) {
return null;
}
return fieldData.getString(fieldName);
}
private Double validateAndGetDoubleField(final FudgeMsg fieldData, final String fieldName) {
if (!isValidField(fieldData.getString(fieldName))) {
s_logger.warn(fieldName + " is null, cannot construct bill security");
throw new OpenGammaRuntimeException(fieldName + " is null, cannot construct bill security");
}
return fieldData.getDouble(fieldName);
}
private Integer validateAndGetIntegerField(final FudgeMsg fieldData, final String fieldName) {
if (!isValidField(fieldData.getString(fieldName))) {
s_logger.warn(fieldName + " is null, cannot construct bill security");
throw new OpenGammaRuntimeException(fieldName + " is null, cannot construct bill security");
}
return fieldData.getInt(fieldName);
}
private ZonedDateTime validateAndGetNullableDateField(final FudgeMsg fieldData, final String fieldName) {
if (!isValidField(fieldData.getString(fieldName))) {
return null;
}
// These will need to be sorted out.
final LocalTime expiryTime = LocalTime.of(17, 00);
final ZoneId zone = ZoneOffset.UTC;
final LocalDate localDate = LocalDate.parse(fieldData.getString(fieldName));
return localDate.atTime(expiryTime).atZone(zone);
}
//-------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity(final FudgeMsg fieldData) {
try {
final String isZeroCoupon = validateAndGetStringField(fieldData, FIELD_ZERO_CPN);
if (!"Y".equalsIgnoreCase(isZeroCoupon)) {
throw new OpenGammaRuntimeException("Bill is not a zero coupon");
}
final String country = validateAndGetStringField(fieldData, FIELD_CNTRY_ISSUE_ISO);
final String currencyStr = validateAndGetStringField(fieldData, FIELD_CRNCY);
final Currency currency = Currency.parse(currencyStr);
final String yieldConventionStr = validateAndGetStringField(fieldData, FIELD_CALC_TYP_DES);
final YieldConvention yieldConvention = YieldConventionFactory.INSTANCE.getYieldConvention(yieldConventionStr);
if (yieldConvention == null) {
throw new OpenGammaRuntimeException("Cannot get yield convention called " + yieldConventionStr);
}
final String maturityStr = validateAndGetNullableStringField(fieldData, FIELD_MATURITY);
// These will need to be sorted out.
final LocalTime expiryTime = LocalTime.of(17, 00);
final ZoneId zone = ZoneOffset.UTC;
Expiry maturity = null;
try {
maturity = new Expiry(LocalDate.parse(maturityStr).atTime(expiryTime).atZone(zone), ExpiryAccuracy.DAY_MONTH_YEAR);
} catch (final Exception e) {
throw new OpenGammaRuntimeException(maturityStr + " returned from bloomberg not in format yyyy-mm-dd", e);
}
final String rtgFitch = validateAndGetNullableStringField(fieldData, FIELD_RTG_FITCH);
final String rtgMoody = validateAndGetNullableStringField(fieldData, FIELD_RTG_MOODY);
final String rtgSp = validateAndGetNullableStringField(fieldData, FIELD_RTG_SP);
final String bbComposite = validateAndGetNullableStringField(fieldData, FIELD_BB_COMPOSITE);
String dayCountString = validateAndGetStringField(fieldData, FIELD_DAY_CNT_DES);
// REVIEW: jim 27-Jan-2011 -- remove this and fix it properly.
if (dayCountString.equals("ACT/ACT") || dayCountString.equals("ACT/ACT NON-EOM")) {
dayCountString = "Actual/Actual ICMA";
}
final ZonedDateTime announcementDate = validateAndGetNullableDateField(fieldData, FIELD_ANNOUNCE_DT);
if (currencyStr.equals("GBP")) {
if (announcementDate.toLocalDate().isAfter(LocalDate.of(1998, 11, 1)) && dayCountString.equals("ACT/ACT")) {
dayCountString = "Actual/Actual ICMA";
} else if (dayCountString.equals("ACT/365")) {
dayCountString = "Actual/365";
}
}
final DayCount dayCount = DayCountFactory.of(dayCountString);
final Double minimumIncrement = validateAndGetDoubleField(fieldData, FIELD_MIN_INCREMENT);
final ZonedDateTime issueDate = validateAndGetNullableDateField(fieldData, FIELD_ISSUE_DT);
final int daysToSettle = validateAndGetIntegerField(fieldData, FIELD_DAYS_TO_SETTLE);
final String des = validateAndGetStringField(fieldData, FIELD_SECURITY_DES);
final ExternalId regionId = ExternalSchemes.financialRegionId(country);
final String cusip = validateAndGetStringField(fieldData, FIELD_ID_CUSIP);
final ExternalId legalEntityId = ExternalId.of(ExternalSchemes.CUSIP_ENTITY_STUB, cusip.substring(0, 6));
final ManageableSecurity billSecurity = new BillSecurity(currency, maturity, issueDate, minimumIncrement, daysToSettle,
regionId, yieldConvention, dayCount, legalEntityId);
billSecurity.setName(des.trim());
if (rtgFitch != null) {
billSecurity.addAttribute("RatingFitch", rtgFitch);
}
if (rtgMoody != null) {
billSecurity.addAttribute("RatingMoody", rtgMoody);
}
if (rtgSp != null) {
billSecurity.addAttribute("RatingSP", rtgSp);
}
if (bbComposite != null) {
billSecurity.addAttribute("RatingComposite", bbComposite);
}
// set identifiers
parseIdentifiers(fieldData, billSecurity);
return billSecurity;
} catch (final OpenGammaRuntimeException ogre) {
s_logger.error("Error loading bill {}: {}",
fieldData.getValue(FIELD_ID_ISIN), ogre.getMessage());
return null;
}
}
/**
* Parse the identifiers from the response. Note that we populate BLOOMBERG_TICKER with PARSEKYABLE_DES.
* @param fieldData the response, not null
* @param security the security to populate, not null
*/
@Override
protected void parseIdentifiers(final FudgeMsg fieldData, final ManageableSecurity security) {
final String bbgUnique = fieldData.getString(FIELD_ID_BBG_UNIQUE);
final String cusip = fieldData.getString(FIELD_ID_CUSIP);
final String isin = fieldData.getString(FIELD_ID_ISIN);
final String sedol1 = fieldData.getString(FIELD_ID_SEDOL1);
final String ticker = fieldData.getString(FIELD_PARSEKYABLE_DES);
final String coupon = fieldData.getString(FIELD_CPN);
final String maturity = fieldData.getString(FIELD_MATURITY);
final String marketSector = fieldData.getString(FIELD_MARKET_SECTOR_DES);
final Set<ExternalId> identifiers = new HashSet<>();
if (isValidField(bbgUnique)) {
identifiers.add(ExternalSchemes.bloombergBuidSecurityId(bbgUnique));
security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUnique));
}
if (isValidField(ticker)) {
identifiers.add(ExternalSchemes.bloombergTickerSecurityId(ticker));
}
if (isValidField(cusip)) {
identifiers.add(ExternalSchemes.cusipSecurityId(cusip));
}
if (isValidField(sedol1)) {
identifiers.add(ExternalSchemes.sedol1SecurityId(sedol1));
}
if (isValidField(isin)) {
identifiers.add(ExternalSchemes.isinSecurityId(isin));
}
if (isValidField(ticker) && isValidField(coupon) && isValidField(maturity) && isValidField(marketSector)) {
try {
identifiers.add(ExternalSchemes.bloombergTCMSecurityId(ticker, coupon, maturity, marketSector));
} catch (final Exception e) {
s_logger.warn("Couldn't add Bloomberg TCM to bill", e);
}
}
security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
}
@Override
protected Set<String> getBloombergFields() {
return BLOOMBERG_BILL_FIELDS;
}
}