/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.curve; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.core.convention.ConventionSource; import com.opengamma.core.holiday.HolidaySource; import com.opengamma.core.link.ConventionLink; import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle; import com.opengamma.core.region.RegionSource; import com.opengamma.core.security.SecuritySource; import com.opengamma.financial.analytics.ircurve.strips.RollDateSwapNode; import com.opengamma.financial.convention.FinancialConvention; import com.opengamma.financial.convention.RollDateSwapConvention; import com.opengamma.financial.convention.rolldate.RollDateAdjuster; import com.opengamma.financial.convention.rolldate.RollDateAdjusterFactory; import com.opengamma.id.ExternalId; import com.opengamma.util.ArgumentChecker; /** * */ public class RollDateSwapNodeConverter extends CurveNodeVisitorAdapter<InstrumentDefinition<?>> { /** The holiday source */ private final HolidaySource _holidaySource; /** The region source */ private final RegionSource _regionSource; /** The market data */ private final SnapshotDataBundle _marketData; /** The market data id */ private final ExternalId _dataId; /** The valuation time */ private final ZonedDateTime _valuationTime; /** * @param holidaySource The holiday source, not null * @param regionSource The region source, not null * @param marketData The market data, not null * @param dataId The id of the market data, not null * @param valuationTime The valuation time, not null */ public RollDateSwapNodeConverter(HolidaySource holidaySource, RegionSource regionSource, SnapshotDataBundle marketData, ExternalId dataId, ZonedDateTime valuationTime) { _holidaySource = ArgumentChecker.notNull(holidaySource, "holidaySource"); _regionSource = ArgumentChecker.notNull(regionSource, "regionSource"); _marketData = ArgumentChecker.notNull(marketData, "marketData"); _dataId = ArgumentChecker.notNull(dataId, "dataId"); _valuationTime = ArgumentChecker.notNull(valuationTime, "valuationTime"); } /** * @param securitySource The security source, not required * @param conventionSource The convention source, not required * @param holidaySource The holiday source, not null * @param regionSource The region source, not null * @param marketData The market data, not null * @param dataId The id of the market data, not null * @param valuationTime The valuation time, not null * @deprecated use constructor without securitySource and conventionSource */ public RollDateSwapNodeConverter(SecuritySource securitySource, ConventionSource conventionSource, HolidaySource holidaySource, RegionSource regionSource, SnapshotDataBundle marketData, ExternalId dataId, ZonedDateTime valuationTime) { this(holidaySource, regionSource, marketData, dataId, valuationTime); } @Override public InstrumentDefinition<?> visitRollDateSwapNode(RollDateSwapNode rollDateSwapNode) { RollDateSwapConvention swapConvention = ConventionLink.resolvable(rollDateSwapNode.getRollDateSwapConvention(), RollDateSwapConvention.class).resolve(); FinancialConvention payLegConvention = ConventionLink.resolvable(swapConvention.getPayLegConvention(), FinancialConvention.class).resolve(); FinancialConvention receiveLegConvention = ConventionLink.resolvable(swapConvention.getReceiveLegConvention(), FinancialConvention.class).resolve(); RollDateAdjuster adjuster = RollDateAdjusterFactory.getAdjuster(swapConvention.getRollDateConvention().getValue()); ZonedDateTime unadjustedStartDate = _valuationTime.plus(rollDateSwapNode.getStartTenor().getPeriod()); return NodeConverterUtils.getSwapRollDateDefinition( payLegConvention, receiveLegConvention, unadjustedStartDate, rollDateSwapNode.getRollDateStartNumber(), rollDateSwapNode.getRollDateEndNumber(), adjuster, _regionSource, _holidaySource, _marketData, _dataId, _valuationTime); } }