IsdaYieldCurveConvention.java

/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.product.credit.type;

import java.time.LocalDate;

import org.joda.convert.FromString;
import org.joda.convert.ToString;

import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.ReferenceDataNotFoundException;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.BusinessDayAdjustment;
import com.opengamma.strata.basics.date.BusinessDayConvention;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.basics.date.HolidayCalendarId;
import com.opengamma.strata.basics.schedule.Frequency;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.named.ExtendedEnum;
import com.opengamma.strata.collect.named.Named;
import com.opengamma.strata.product.swap.type.FixedIborSwapConvention;

/**
 * CDS Standard model definition for parameters required to bootstrap an ISDA yield curve
 * <p>
 * The ISDA conventions related to CDS Standard model deviate from the standard market
 * conventions {@link FixedIborSwapConvention}.
 * <p>
 * For instance, holiday calendars are generally ignored when building these curves (JPY is
 * an exception) and only the fixed leg conventions are used (the floating leg details are
 * ignored). Additionally, these conventions apply not just to the underlying swap instruments
 * but also the money market instruments used to build the curve. This is why there is both
 * a mmDayCount and a fixedDayCount.
 */
public interface IsdaYieldCurveConvention
    extends Named {
  // TODO: merge business day convention and holiday calendar

  /**
   * Obtains an instance from the specified unique name.
   * 
   * @param uniqueName  the unique name
   * @return the resolved convention
   */
  @FromString
  public static IsdaYieldCurveConvention of(String uniqueName) {
    ArgChecker.notNull(uniqueName, "uniqueName");
    return extendedEnum().lookup(uniqueName);
  }

  /**
   * Gets the extended enum helper.
   * <p>
   * This helper allows instances of the convention to be looked up.
   * It also provides the complete set of available instances.
   * 
   * @return the extended enum helper
   */
  public static ExtendedEnum<IsdaYieldCurveConvention> extendedEnum() {
    return IsdaYieldCurveConventions.ENUM_LOOKUP;
  }

  //-------------------------------------------------------------------------
  /**
   * Gets the currency that the yield curve can be used to discount.
   * 
   * @return the currency
   */
  public abstract Currency getCurrency();

  /**
   * Gets the day count convention for underlying money market instrument points on the curve.
   * 
   * @return the day count convention
   */
  public abstract DayCount getMoneyMarketDayCount();

  /**
   * Gets the fixed leg day count convention for underlying swap instrument points on the curve.
   * 
   * @return the fixed day count convention
   */
  public abstract DayCount getFixedDayCount();

  /**
   * Gets the spot day settlement lag for any underlying swap instruments.
   * 
   * @return the number of spot days
   */
  public abstract int getSpotDays();

  /**
   * Gets the payment periodic frequency for the fixed leg of any underlying swap instruments.
   * 
   * @return the frequency
   */
  public abstract Frequency getFixedPaymentFrequency();

  /**
   * Gets the applicable business day convention for any underlying instruments.
   * 
   * @return the business day convention
   */
  public abstract BusinessDayConvention getBusinessDayConvention();

  /**
   * Gets the applicable holiday calendar for any instruments.
   * 
   * @return the holiday calendar
   */
  public abstract HolidayCalendarId getHolidayCalendar();

  //-------------------------------------------------------------------------
  /**
   * Calculates the spot date from the trade date.
   * 
   * @param tradeDate  the trade date
   * @param refData  the reference data, used to resolve the date
   * @return the spot date
   * @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
   */
  public default LocalDate calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData) {
    DaysAdjustment spotDateOffset = DaysAdjustment.ofBusinessDays(
        getSpotDays(),
        getHolidayCalendar(),
        BusinessDayAdjustment.of(getBusinessDayConvention(), getHolidayCalendar()));
    return spotDateOffset.adjust(tradeDate, refData);
  }

  @ToString
  @Override
  public abstract String getName();

}