EquityOptionsConverter.java example

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/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.conversion;

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;

import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.ExerciseDecisionType;
import com.opengamma.analytics.financial.commodity.definition.SettlementType;
import com.opengamma.analytics.financial.equity.future.definition.EquityFutureDefinition;
import com.opengamma.analytics.financial.equity.future.definition.IndexFutureDefinition;
import com.opengamma.analytics.financial.equity.option.EquityIndexFutureOptionDefinition;
import com.opengamma.analytics.financial.equity.option.EquityIndexOptionDefinition;
import com.opengamma.analytics.financial.equity.option.EquityOptionDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.financial.security.ExerciseTypeAnalyticsVisitorAdapter;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.future.EquityFutureSecurity;
import com.opengamma.financial.security.future.IndexFutureSecurity;
import com.opengamma.financial.security.option.EquityIndexFutureOptionSecurity;
import com.opengamma.financial.security.option.EquityIndexOptionSecurity;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.financial.security.option.OptionType;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Converts equity index options, equity options and equity index future options into something that OG-Analytics can use.
 */
public class EquityOptionsConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
  private final FutureSecurityConverterDeprecated _futureSecurityConverter;
  private final SecuritySource _securitySource;

  public EquityOptionsConverter() {
    this(null, null);
  }

  public EquityOptionsConverter(final FutureSecurityConverterDeprecated futureSecurityConverter, final SecuritySource securitySource) {
    _futureSecurityConverter = futureSecurityConverter;
    _securitySource = securitySource;
  }

  @Override
  public InstrumentDefinition<?> visitEquityIndexOptionSecurity(final EquityIndexOptionSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final boolean isCall = security.getOptionType() == OptionType.CALL;
    final double strike = security.getStrike();
    final ZonedDateTime expiryDT = security.getExpiry().getExpiry();
    final Currency ccy = security.getCurrency();
    final double unitNotional = security.getPointValue();
    final ExerciseDecisionType exerciseType = security.getExerciseType().accept(ExerciseTypeAnalyticsVisitorAdapter.getInstance());
    // TODO We need to know how long after expiry settlement occurs?
    // IndexOptions are obviously Cash Settled
    final LocalDate settlementDate = expiryDT.toLocalDate(); // FIXME Needs to come from convention
    //TODO settlement type needs to come from trade or convention
    return new EquityIndexOptionDefinition(isCall, strike, ccy, exerciseType, expiryDT, settlementDate, unitNotional, SettlementType.CASH);
  }

  @Override
  public InstrumentDefinition<?> visitEquityOptionSecurity(final EquityOptionSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final boolean isCall = security.getOptionType() == OptionType.CALL;
    final double strike = security.getStrike();
    final ZonedDateTime expiryDT = security.getExpiry().getExpiry();
    final Currency ccy = security.getCurrency();
    final double unitNotional = security.getPointValue();
    final ExerciseDecisionType exerciseType = security.getExerciseType().accept(ExerciseTypeAnalyticsVisitorAdapter.getInstance());
    // TODO We need to know how long after expiry settlement occurs?
    // IndexOptions are obviously Cash Settled
    final LocalDate settlementDate = expiryDT.toLocalDate(); // FIXME Needs to come from convention
    //TODO settlement type needs to come from trade or convention
    return new EquityOptionDefinition(isCall, strike, ccy, exerciseType, expiryDT, settlementDate, unitNotional, SettlementType.PHYSICAL);
  }

  @Override
  public InstrumentDefinition<?> visitEquityIndexFutureOptionSecurity(final EquityIndexFutureOptionSecurity security) {
    ArgumentChecker.notNull(security, "security");
    if (_securitySource == null) {
      throw new OpenGammaRuntimeException("Need a security source to convert equity index future option securities");
    }
    if (_futureSecurityConverter == null) {
      throw new OpenGammaRuntimeException("Need a future security converter to convert equity index future option securities");
    }
    final ZonedDateTime expiryDate = security.getExpiry().getExpiry();
    final ExternalId underlyingIdentifier = security.getUnderlyingId();
    // REVIEW Andrew -- This call to getSingle is not correct as the resolution time of the view cycle will not be considered
    Security underlyingSecurity = _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier));
    if (underlyingSecurity == null) {
      throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " of option " + security.getExternalIdBundle().toString() + " was not found in database");
    }
    
    IndexFutureDefinition underlying = null;
    if (underlyingSecurity instanceof IndexFutureSecurity) {
      final IndexFutureSecurity underlyingFuture = ((IndexFutureSecurity) underlyingSecurity);
      underlying = (IndexFutureDefinition) underlyingFuture.accept(_futureSecurityConverter);
    } else if (underlyingSecurity instanceof EquityFutureSecurity) {
      final EquityFutureSecurity underlyingFuture = ((EquityFutureSecurity) underlyingSecurity);
      EquityFutureDefinition eqFut = (EquityFutureDefinition) underlyingFuture.accept(_futureSecurityConverter);
      underlying = new IndexFutureDefinition(eqFut.getExpiryDate(), eqFut.getSettlementDate(), eqFut.getStrikePrice(), eqFut.getCurrency(), eqFut.getUnitAmount(), underlyingFuture.getUnderlyingId());
    }
   
    final double strike = security.getStrike();
    final ExerciseDecisionType exerciseType = security.getExerciseType().accept(ExerciseTypeAnalyticsVisitorAdapter.getInstance());
    final boolean isCall = security.getOptionType() == OptionType.CALL;
    final double pointValue = security.getPointValue();
    // FIXME Need the true referencePrice. 0.0 is just a stub as this converter acts upon a FinancialSecurity, not a Trade. 
    return new EquityIndexFutureOptionDefinition(expiryDate, underlying, strike, exerciseType, isCall, pointValue, 0.0);

  }
  
  private static final Logger s_logger = LoggerFactory.getLogger(EquityOptionsConverter.class);

}