/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.conversion;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.definition.ForexDefinition;
import com.opengamma.analytics.financial.forex.definition.ForexNonDeliverableForwardDefinition;
import com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinition;
import com.opengamma.analytics.financial.forex.definition.ForexOptionSingleBarrierDefinition;
import com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.model.option.definition.Barrier;
import com.opengamma.analytics.financial.model.option.definition.Barrier.KnockType;
import com.opengamma.analytics.financial.model.option.definition.Barrier.ObservationType;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.financial.security.option.BarrierDirection;
import com.opengamma.financial.security.option.BarrierType;
import com.opengamma.financial.security.option.FXBarrierOptionSecurity;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.financial.security.option.MonitoringType;
import com.opengamma.financial.security.option.NonDeliverableFXDigitalOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXOptionSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Converts FX instruments into a form suitable for use by the analytics library.
* @deprecated Use the converters that convert one specific type (e.g. {@link FXForwardSecurityConverter}
*/
@Deprecated
public class ForexSecurityConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
/** The currency pairs */
private final CurrencyPairs _currencyPairs;
/**
* @param currencyPairs The currency pairs, not null
*/
public ForexSecurityConverter(final CurrencyPairs currencyPairs) {
ArgumentChecker.notNull(currencyPairs, "currency pairs");
_currencyPairs = currencyPairs;
}
@Override
public InstrumentDefinition<?> visitFXDigitalOptionSecurity(final FXDigitalOptionSecurity fxDigitalOptionSecurity) {
ArgumentChecker.notNull(fxDigitalOptionSecurity, "fx digital option (ndf) security");
final Currency putCurrency = fxDigitalOptionSecurity.getPutCurrency();
final Currency callCurrency = fxDigitalOptionSecurity.getCallCurrency();
final double putAmount = fxDigitalOptionSecurity.getPutAmount();
final double callAmount = fxDigitalOptionSecurity.getCallAmount();
final ZonedDateTime expiry = fxDigitalOptionSecurity.getExpiry().getExpiry();
final ZonedDateTime settlementDate = fxDigitalOptionSecurity.getSettlementDate();
final boolean isLong = fxDigitalOptionSecurity.isLong();
final ForexDefinition underlying;
final Currency payCurrency = fxDigitalOptionSecurity.getPaymentCurrency();
final boolean payDomestic;
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
}
// Implementation note: To get Base/quote in market standard order.
if (baseQuotePair.getBase().equals(putCurrency)) {
underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
payDomestic = (payCurrency.equals(callCurrency));
return new ForexOptionDigitalDefinition(underlying, expiry, false, isLong, payDomestic);
}
underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
payDomestic = (payCurrency.equals(putCurrency));
return new ForexOptionDigitalDefinition(underlying, expiry, true, isLong, payDomestic);
}
@Override
public InstrumentDefinition<?> visitNonDeliverableFXDigitalOptionSecurity(final NonDeliverableFXDigitalOptionSecurity fxNDFDigitalOptionSecurity) {
ArgumentChecker.notNull(fxNDFDigitalOptionSecurity, "fx digital option (ndf) security");
final Currency putCurrency = fxNDFDigitalOptionSecurity.getPutCurrency();
final Currency callCurrency = fxNDFDigitalOptionSecurity.getCallCurrency();
final double putAmount = fxNDFDigitalOptionSecurity.getPutAmount();
final double callAmount = fxNDFDigitalOptionSecurity.getCallAmount();
final ZonedDateTime expiry = fxNDFDigitalOptionSecurity.getExpiry().getExpiry();
final ZonedDateTime settlementDate = fxNDFDigitalOptionSecurity.getSettlementDate();
final boolean isLong = fxNDFDigitalOptionSecurity.isLong();
final ForexDefinition underlying;
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
}
// TODO: Review this part (see digital options)
if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
final double fxRate = callAmount / putAmount;
underlying = new ForexDefinition(putCurrency, callCurrency, settlementDate, putAmount, fxRate);
return new ForexOptionDigitalDefinition(underlying, expiry, false, isLong);
}
final double fxRate = putAmount / callAmount;
underlying = new ForexDefinition(callCurrency, putCurrency, settlementDate, callAmount, fxRate);
return new ForexOptionDigitalDefinition(underlying, expiry, true, isLong);
}
@Override
public InstrumentDefinition<?> visitFXOptionSecurity(final FXOptionSecurity fxOptionSecurity) {
ArgumentChecker.notNull(fxOptionSecurity, "fx option security");
final Currency putCurrency = fxOptionSecurity.getPutCurrency();
final Currency callCurrency = fxOptionSecurity.getCallCurrency();
final double putAmount = fxOptionSecurity.getPutAmount();
final double callAmount = fxOptionSecurity.getCallAmount();
final ZonedDateTime expiry = fxOptionSecurity.getExpiry().getExpiry();
final ZonedDateTime settlementDate = fxOptionSecurity.getSettlementDate();
final boolean isLong = fxOptionSecurity.isLong();
ForexDefinition underlying;
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
}
if (baseQuotePair.getBase().equals(putCurrency)) {
underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
return new ForexOptionVanillaDefinition(underlying, expiry, false, isLong);
}
underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
return new ForexOptionVanillaDefinition(underlying, expiry, true, isLong);
}
@Override
public InstrumentDefinition<?> visitNonDeliverableFXOptionSecurity(final NonDeliverableFXOptionSecurity fxOptionSecurity) {
ArgumentChecker.notNull(fxOptionSecurity, "fx option security");
final Currency putCurrency = fxOptionSecurity.getPutCurrency();
final Currency callCurrency = fxOptionSecurity.getCallCurrency();
final double putAmount = fxOptionSecurity.getPutAmount();
final double callAmount = fxOptionSecurity.getCallAmount();
final ZonedDateTime expiry = fxOptionSecurity.getExpiry().getExpiry();
final ZonedDateTime settlementDate = fxOptionSecurity.getSettlementDate();
final boolean isLong = fxOptionSecurity.isLong();
ForexDefinition underlying;
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
}
if (baseQuotePair.getBase().equals(putCurrency)) {
underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
return new ForexOptionVanillaDefinition(underlying, expiry, false, isLong);
}
underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
return new ForexOptionVanillaDefinition(underlying, expiry, true, isLong);
}
@Override
public InstrumentDefinition<?> visitFXBarrierOptionSecurity(final FXBarrierOptionSecurity barrierOptionSecurity) {
ArgumentChecker.notNull(barrierOptionSecurity, "fx barrier option security");
ArgumentChecker.isTrue(barrierOptionSecurity.getBarrierType() != BarrierType.DOUBLE, "Can only handle single barrier options");
ArgumentChecker.isTrue(barrierOptionSecurity.getMonitoringType() == MonitoringType.CONTINUOUS, "Can only handle continuously-monitored barrier options");
final ZonedDateTime expiry = barrierOptionSecurity.getExpiry().getExpiry();
final ZonedDateTime settlementDate = barrierOptionSecurity.getSettlementDate();
final boolean isLong = barrierOptionSecurity.isLong();
final Currency putCurrency = barrierOptionSecurity.getPutCurrency();
final Currency callCurrency = barrierOptionSecurity.getCallCurrency();
final double putAmount = barrierOptionSecurity.getPutAmount();
final double callAmount = barrierOptionSecurity.getCallAmount();
final Barrier barrier = new Barrier(getKnockType(barrierOptionSecurity.getBarrierDirection()), getBarrierType(barrierOptionSecurity.getBarrierType()),
getObservationType(barrierOptionSecurity.getMonitoringType()), barrierOptionSecurity.getBarrierLevel());
// Compose underlying FXOption s.t. strike is quoted using market convention, as defined in _currencyPairs
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
}
ForexDefinition underlying;
boolean isCall;
if (baseQuotePair.getBase().equals(putCurrency)) {
underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
isCall = false;
} else {
underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
isCall = true;
}
return new ForexOptionSingleBarrierDefinition(new ForexOptionVanillaDefinition(underlying, expiry, isCall, isLong), barrier);
}
@Override
public InstrumentDefinition<?> visitFXForwardSecurity(final FXForwardSecurity fxForwardSecurity) {
ArgumentChecker.notNull(fxForwardSecurity, "fx forward security");
final Currency payCurrency = fxForwardSecurity.getPayCurrency();
final Currency receiveCurrency = fxForwardSecurity.getReceiveCurrency();
final double payAmount = fxForwardSecurity.getPayAmount();
final double receiveAmount = fxForwardSecurity.getReceiveAmount();
final ZonedDateTime forwardDate = fxForwardSecurity.getForwardDate();
return ForexDefinition.fromAmounts(payCurrency, receiveCurrency, forwardDate, -payAmount, receiveAmount);
}
@Override
public InstrumentDefinition<?> visitNonDeliverableFXForwardSecurity(final NonDeliverableFXForwardSecurity fxForwardSecurity) {
ArgumentChecker.notNull(fxForwardSecurity, "fx forward security");
final Currency payCurrency = fxForwardSecurity.getPayCurrency();
final Currency receiveCurrency = fxForwardSecurity.getReceiveCurrency();
final double payAmount = fxForwardSecurity.getPayAmount();
final double receiveAmount = fxForwardSecurity.getReceiveAmount();
final double exchangeRate = receiveAmount / payAmount;
final ZonedDateTime fixingDate = fxForwardSecurity.getForwardDate();
final ZonedDateTime paymentDate = fixingDate; //TODO get this right
return new ForexNonDeliverableForwardDefinition(payCurrency, receiveCurrency, receiveAmount, exchangeRate, fixingDate, paymentDate);
}
private static KnockType getKnockType(final BarrierDirection direction) {
switch (direction) {
case KNOCK_IN:
return KnockType.IN;
case KNOCK_OUT:
return KnockType.OUT;
default:
throw new OpenGammaRuntimeException("Should never happen");
}
}
private static com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType getBarrierType(final BarrierType type) {
switch (type) {
case UP:
return com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType.UP;
case DOWN:
return com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType.DOWN;
default:
throw new OpenGammaRuntimeException("Should never happen");
}
}
private static ObservationType getObservationType(final MonitoringType type) {
switch (type) {
case CONTINUOUS:
return ObservationType.CONTINUOUS;
default:
throw new OpenGammaRuntimeException("Should never happen");
}
}
}