/**
* 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.BLOOMBERG_BOND_FUTURE_TYPE;
import static com.opengamma.bbg.BloombergConstants.FIELD_CRNCY;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUTURES_CATEGORY;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_CONT_SIZE;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_DLVRBLE_BNDS_ISIN;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_DLV_DT_FIRST;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_DLV_DT_LAST;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_LAST_TRADE_DT;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_LONG_NAME;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_TRADING_HRS;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_VAL_PT;
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_MIC_PRIM_EXCH;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_SEDOL1;
import static com.opengamma.bbg.BloombergConstants.FIELD_PARSEKYABLE_DES;
import static com.opengamma.bbg.util.BloombergDataUtils.isValidField;
import java.util.Collections;
import java.util.HashSet;
import java.util.Set;
import org.fudgemsg.FudgeField;
import org.fudgemsg.FudgeMsg;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Sets;
import com.opengamma.bbg.referencedata.ReferenceDataProvider;
import com.opengamma.bbg.util.BloombergDataUtils;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.security.future.BondFutureDeliverable;
import com.opengamma.financial.security.future.BondFutureSecurity;
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.tuple.Pair;
/**
* Loads the data for a Bond Future from Bloomberg.
*/
public class BondFutureLoader extends SecurityLoader {
/** Logger. */
private static final Logger s_logger = LoggerFactory.getLogger(BondFutureLoader.class);
/**
* The fields to load from Bloomberg.
*/
private static final Set<String> BLOOMBERG_BOND_FUTURE_FIELDS = Collections.unmodifiableSet(Sets.newHashSet(
FIELD_FUT_LONG_NAME,
FIELD_ID_MIC_PRIM_EXCH,
FIELD_CRNCY,
FIELD_FUT_LAST_TRADE_DT,
FIELD_FUT_TRADING_HRS,
FIELD_FUTURES_CATEGORY,
FIELD_FUT_DLV_DT_FIRST,
FIELD_FUT_DLV_DT_LAST,
FIELD_ID_BBG_UNIQUE,
FIELD_ID_CUSIP,
FIELD_ID_ISIN,
FIELD_ID_SEDOL1,
FIELD_PARSEKYABLE_DES,
FIELD_FUT_VAL_PT,
FIELD_FUT_CONT_SIZE,
FIELD_FUT_DLVRBLE_BNDS_ISIN));
/**
* The valid Bloomberg future categories for Bond Futures
*/
public static final Set<String> VALID_FUTURE_CATEGORIES = ImmutableSet.of(BLOOMBERG_BOND_FUTURE_TYPE);
/**
* Creates an instance.
* @param referenceDataProvider the provider, not null
*/
public BondFutureLoader(ReferenceDataProvider referenceDataProvider) {
super(s_logger, referenceDataProvider, SecurityType.BOND_FUTURE);
}
//-------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity(FudgeMsg fieldData) {
String expiryDate = fieldData.getString(FIELD_FUT_LAST_TRADE_DT);
String futureTradingHours = fieldData.getString(FIELD_FUT_TRADING_HRS);
String micExchangeCode = fieldData.getString(FIELD_ID_MIC_PRIM_EXCH);
String currencyStr = fieldData.getString(FIELD_CRNCY);
String category = BloombergDataUtils.removeDuplicateWhiteSpace(fieldData.getString(FIELD_FUTURES_CATEGORY), " ");
String firstDeliveryDateStr = fieldData.getString(FIELD_FUT_DLV_DT_FIRST);
String lastDeliveryDateStr = fieldData.getString(FIELD_FUT_DLV_DT_LAST);
String name = BloombergDataUtils.removeDuplicateWhiteSpace(fieldData.getString(FIELD_FUT_LONG_NAME), " ");
String bbgUnique = fieldData.getString(FIELD_ID_BBG_UNIQUE);
Double unitAmount = fieldData.getDouble(FIELD_FUT_CONT_SIZE);
if (!fieldData.hasField(FIELD_FUT_CONT_SIZE) || unitAmount == null) {
s_logger.warn("FIELD_FUT_VAL_PT does not contain a numeric value (" + fieldData.getString(FIELD_FUT_VAL_PT) + ")");
return null;
}
if (!isValidField(bbgUnique)) {
s_logger.warn("bbgUnique is null, cannot construct bond future security");
return null;
}
if (!isValidField(futureTradingHours)) {
s_logger.warn("futures trading hours is null, cannot construct bond future security");
return null;
}
if (!isValidField(expiryDate)) {
s_logger.warn("expiry date is null, cannot construct bond future security");
return null;
}
if (!isValidField(micExchangeCode)) {
s_logger.warn("settlement exchange is null, cannot construct bond future security");
return null;
}
if (!isValidField(currencyStr)) {
s_logger.warn("currency is null, cannot construct bond future security");
return null;
}
if (!isValidField(category)) {
s_logger.warn("category is null, cannot construct bond future security");
return null;
}
if (!isValidField(firstDeliveryDateStr)) {
s_logger.warn("first delivery date is invalid, cannot construct bond future security");
}
if (!isValidField(lastDeliveryDateStr)) {
s_logger.warn("lastt delivery date is invalid, cannot construct bond future security");
}
Expiry expiry = decodeExpiry(expiryDate, futureTradingHours);
if (expiry == null) {
return null;
}
Currency currency = Currency.parse(currencyStr);
ZonedDateTime firstDeliverDate = decodeDeliveryDate(firstDeliveryDateStr);
ZonedDateTime lastDeliverDate = decodeDeliveryDate(lastDeliveryDateStr);
Set<BondFutureDeliverable> basket = createBondDeliverables(fieldData);
BondFutureSecurity security = new BondFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, unitAmount, basket,
firstDeliverDate, lastDeliverDate, category);
// set identifiers
parseIdentifiers(fieldData, security);
security.setName(name);
return security;
}
/**
* @param fieldData
* @return
*/
private Set<BondFutureDeliverable> createBondDeliverables(FudgeMsg fieldData) {
Set<BondFutureDeliverable> result = new HashSet<BondFutureDeliverable>();
for (FudgeField field : fieldData.getAllByName(FIELD_FUT_DLVRBLE_BNDS_ISIN)) {
if (field.getValue() instanceof FudgeMsg) {
FudgeMsg deliverableContainer = (FudgeMsg) field.getValue();
Double conversionFactor = deliverableContainer.getDouble("Conversion Factor");
String tcm = deliverableContainer.getString("ISIN of Deliverable Bonds");
if (conversionFactor != null && isValidField(tcm)) {
Pair<String, String> isinMarketSectorPair = BloombergDataUtils.splitTickerAtMarketSector(tcm);
String isin = isinMarketSectorPair == null ? tcm : isinMarketSectorPair.getFirst().trim();
ExternalIdBundle ids = ExternalIdBundle.of(ExternalSchemes.isinSecurityId(isin));
BondFutureDeliverable deliverable = new BondFutureDeliverable(ids, conversionFactor);
result.add(deliverable);
}
}
}
return result;
}
@Override
protected Set<String> getBloombergFields() {
return BLOOMBERG_BOND_FUTURE_FIELDS;
}
}