/**
* 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.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
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.SwapNode;
import com.opengamma.financial.convention.FinancialConvention;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;
/**
* Convert a swap node into an Instrument definition.
* The dates of the swap are computed in the following way:
* - The spot date is computed from the valuation date adding the "Settlement Days"
* (i.e. the number of business days) of the convention.
* - The start date is computed from the spot date adding the "StartTenor" of the node and
* using the business-day-convention, calendar and EOM of the convention.
* - The end date is computed from the start date adding the "MaturityTenor" of the node
* and using Annuity constructor.
* The swap notional for each leg is 1.
* A fixed leg always has the market quote as fixed rate.
* If both legs are floating (VanillaIborLegConvention or OISLegConvention), the receive
* leg has a spread equal to the market quote.
*/
public class SwapNodeConverter 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;
/** The exchange rates (used in particular for notional of X-ccy swaps) **/
private final FXMatrix _fx;
/**
* @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
* @param fx The FXMatrix with the exchange rates. Not null.
*/
public SwapNodeConverter(HolidaySource holidaySource,
RegionSource regionSource,
SnapshotDataBundle marketData,
ExternalId dataId,
ZonedDateTime valuationTime,
FXMatrix fx) {
_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");
_fx = ArgumentChecker.notNull(fx, "fx");
}
/**
* @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
* @param fx The FXMatrix with the exchange rates. Not null.
* @deprecated use constructor without securitySource and conventionSource
*/
@Deprecated
public SwapNodeConverter(SecuritySource securitySource, ConventionSource conventionSource,
HolidaySource holidaySource, RegionSource regionSource,
SnapshotDataBundle marketData, ExternalId dataId, ZonedDateTime valuationTime, FXMatrix fx) {
this(holidaySource, regionSource, marketData, dataId, valuationTime, fx);
}
@Override
public InstrumentDefinition<?> visitSwapNode(SwapNode swapNode) {
FinancialConvention payLegConvention =
ConventionLink.resolvable(swapNode.getPayLegConvention(), FinancialConvention.class).resolve();
FinancialConvention receiveLegConvention =
ConventionLink.resolvable(swapNode.getReceiveLegConvention(), FinancialConvention.class).resolve();
Period startTenor = swapNode.getStartTenor().getPeriod();
Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
return NodeConverterUtils.getSwapDefinition(
payLegConvention, receiveLegConvention, startTenor, maturityTenor, _regionSource, _holidaySource,
_marketData, _dataId, _valuationTime, _fx);
}
}