/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.aggregation;
import java.util.Arrays;
import java.util.Collection;
import java.util.Comparator;
import java.util.List;
import java.util.Map;
import com.opengamma.core.position.Position;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.bond.CorporateBondSecurity;
import com.opengamma.financial.security.bond.GovernmentBondSecurity;
import com.opengamma.financial.security.bond.InflationBondSecurity;
import com.opengamma.financial.security.bond.MunicipalBondSecurity;
import com.opengamma.financial.security.capfloor.CapFloorCMSSpreadSecurity;
import com.opengamma.financial.security.capfloor.CapFloorSecurity;
import com.opengamma.financial.security.cash.CashSecurity;
import com.opengamma.financial.security.cashflow.CashFlowSecurity;
import com.opengamma.financial.security.cds.CDSSecurity;
import com.opengamma.financial.security.cds.CreditDefaultSwapIndexDefinitionSecurity;
import com.opengamma.financial.security.cds.CreditDefaultSwapIndexSecurity;
import com.opengamma.financial.security.cds.LegacyFixedRecoveryCDSSecurity;
import com.opengamma.financial.security.cds.LegacyRecoveryLockCDSSecurity;
import com.opengamma.financial.security.cds.LegacyVanillaCDSSecurity;
import com.opengamma.financial.security.cds.StandardFixedRecoveryCDSSecurity;
import com.opengamma.financial.security.cds.StandardRecoveryLockCDSSecurity;
import com.opengamma.financial.security.cds.StandardVanillaCDSSecurity;
import com.opengamma.financial.security.deposit.ContinuousZeroDepositSecurity;
import com.opengamma.financial.security.deposit.PeriodicZeroDepositSecurity;
import com.opengamma.financial.security.deposit.SimpleZeroDepositSecurity;
import com.opengamma.financial.security.equity.EquitySecurity;
import com.opengamma.financial.security.equity.EquityVarianceSwapSecurity;
import com.opengamma.financial.security.forward.AgricultureForwardSecurity;
import com.opengamma.financial.security.forward.EnergyForwardSecurity;
import com.opengamma.financial.security.forward.MetalForwardSecurity;
import com.opengamma.financial.security.fra.FRASecurity;
import com.opengamma.financial.security.future.AgricultureFutureSecurity;
import com.opengamma.financial.security.future.BondFutureSecurity;
import com.opengamma.financial.security.future.DeliverableSwapFutureSecurity;
import com.opengamma.financial.security.future.EnergyFutureSecurity;
import com.opengamma.financial.security.future.EquityFutureSecurity;
import com.opengamma.financial.security.future.EquityIndexDividendFutureSecurity;
import com.opengamma.financial.security.future.FXFutureSecurity;
import com.opengamma.financial.security.future.FederalFundsFutureSecurity;
import com.opengamma.financial.security.future.IndexFutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.future.MetalFutureSecurity;
import com.opengamma.financial.security.future.StockFutureSecurity;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.financial.security.option.BondFutureOptionSecurity;
import com.opengamma.financial.security.option.CommodityFutureOptionSecurity;
import com.opengamma.financial.security.option.CreditDefaultSwapOptionSecurity;
import com.opengamma.financial.security.option.EquityBarrierOptionSecurity;
import com.opengamma.financial.security.option.EquityIndexDividendFutureOptionSecurity;
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.FXBarrierOptionSecurity;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.financial.security.option.FxFutureOptionSecurity;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXDigitalOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXOptionSecurity;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.financial.security.swap.ForwardSwapSecurity;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity;
import com.opengamma.financial.security.swap.ZeroCouponInflationSwapSecurity;
import com.opengamma.util.CompareUtils;
/**
* Function to classify positions by Currency.
*
*/
public class LongShortAggregationFunction implements AggregationFunction<String> {
private static final String NAME = "Long/Short";
private static final String NOT_LONG_SHORT = "N/A";
private static final String LONG = "Long";
private static final String SHORT = "Short";
private static final List<String> REQUIRED = Arrays.asList(LONG, SHORT, NOT_LONG_SHORT);
private final Comparator<Position> _comparator = new PositionComparator();
private final SecuritySource _secSource;
private final boolean _useAttributes;
/**
* Creates an instance that does not use attributes.
*
* @param secSource the security source, not null
*/
public LongShortAggregationFunction(final SecuritySource secSource) {
this(secSource, false);
}
/**
* Creates an instance.
*
* @param secSource the security source, not null
* @param useAttributes whether to use attributes
*/
public LongShortAggregationFunction(final SecuritySource secSource, final boolean useAttributes) {
_secSource = secSource;
_useAttributes = useAttributes;
}
//-------------------------------------------------------------------------
@Override
public String classifyPosition(final Position position) {
if (_useAttributes) {
final Map<String, String> attributes = position.getAttributes();
if (attributes.containsKey(getName())) {
return attributes.get(getName());
} else {
return NOT_LONG_SHORT;
}
} else {
position.getSecurityLink().resolve(_secSource);
final FinancialSecurityVisitor<String> visitor = new Visitor(position);
if (position.getSecurity() instanceof FinancialSecurity) {
final FinancialSecurity finSec = (FinancialSecurity) position.getSecurity();
return finSec.accept(visitor);
}
return NOT_LONG_SHORT;
}
}
@Override
public String getName() {
return NAME;
}
@Override
public Collection<String> getRequiredEntries() {
return REQUIRED;
}
//-------------------------------------------------------------------------
@Override
public int compare(final String o1, final String o2) {
return CompareUtils.compareByList(REQUIRED, o1, o2);
}
@Override
public Comparator<Position> getPositionComparator() {
return _comparator;
}
private class PositionComparator implements Comparator<Position> {
@Override
public int compare(final Position o1, final Position o2) {
return CompareUtils.compareWithNullLow(o1.getQuantity(), o2.getQuantity());
}
}
private final class Visitor implements FinancialSecurityVisitor<String> {
private final Position _position;
private Visitor(final Position position) {
_position = position;
}
@Override
public String visitCorporateBondSecurity(final CorporateBondSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitGovernmentBondSecurity(final GovernmentBondSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitMunicipalBondSecurity(final MunicipalBondSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitInflationBondSecurity(final InflationBondSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitCashSecurity(final CashSecurity security) {
return security.getAmount() * _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitCashFlowSecurity(final CashFlowSecurity security) {
return security.getAmount() * _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitEquitySecurity(final EquitySecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitFRASecurity(final FRASecurity security) {
return security.getAmount() * _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitSwapSecurity(final SwapSecurity security) {
return NOT_LONG_SHORT;
}
@Override
public String visitEquityIndexOptionSecurity(final EquityIndexOptionSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitEquityOptionSecurity(final EquityOptionSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitEquityBarrierOptionSecurity(final EquityBarrierOptionSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitFXOptionSecurity(final FXOptionSecurity security) {
return security.isLong() ? LONG : SHORT;
}
@Override
public String visitNonDeliverableFXOptionSecurity(final NonDeliverableFXOptionSecurity security) {
return security.isLong() ? LONG : SHORT;
}
@Override
public String visitSwaptionSecurity(final SwaptionSecurity security) {
return security.isLong() ? LONG : SHORT;
}
@Override
public String visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitCommodityFutureOptionSecurity(final CommodityFutureOptionSecurity commodityFutureOptionSecurity) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitFxFutureOptionSecurity(final FxFutureOptionSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitBondFutureOptionSecurity(final BondFutureOptionSecurity bondFutureOptionSecurity) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitEquityIndexDividendFutureOptionSecurity(
final EquityIndexDividendFutureOptionSecurity equityIndexDividendFutureOptionSecurity) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitEquityIndexFutureOptionSecurity(
final EquityIndexFutureOptionSecurity equityIndexFutureOptionSecurity) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitFXBarrierOptionSecurity(final FXBarrierOptionSecurity security) {
return security.isLong() ? LONG : SHORT;
}
@Override
public String visitFXForwardSecurity(final FXForwardSecurity security) {
return NOT_LONG_SHORT;
}
@Override
public String visitNonDeliverableFXForwardSecurity(final NonDeliverableFXForwardSecurity security) {
return NOT_LONG_SHORT;
}
@Override
public String visitCapFloorSecurity(final CapFloorSecurity security) {
return NOT_LONG_SHORT;
}
@Override
public String visitCapFloorCMSSpreadSecurity(final CapFloorCMSSpreadSecurity security) {
return NOT_LONG_SHORT;
}
@Override
public String visitEquityVarianceSwapSecurity(final EquityVarianceSwapSecurity security) {
return NOT_LONG_SHORT;
}
@Override
public String visitFXDigitalOptionSecurity(final FXDigitalOptionSecurity security) {
return security.isLong() ? LONG : SHORT;
}
@Override
public String visitNonDeliverableFXDigitalOptionSecurity(final NonDeliverableFXDigitalOptionSecurity security) {
return security.isLong() ? LONG : SHORT;
}
@Override
public String visitSimpleZeroDepositSecurity(final SimpleZeroDepositSecurity security) {
throw new UnsupportedOperationException("SimpleZeroDepositSecurity should not be used in a position");
}
@Override
public String visitPeriodicZeroDepositSecurity(final PeriodicZeroDepositSecurity security) {
throw new UnsupportedOperationException("PeriodicZeroDepositSecurity should not be used in a position");
}
@Override
public String visitContinuousZeroDepositSecurity(final ContinuousZeroDepositSecurity security) {
throw new UnsupportedOperationException("ContinuousZeroDepositSecurity should not be used in a position");
}
@Override
public String visitAgricultureFutureSecurity(final AgricultureFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitBondFutureSecurity(final BondFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitEnergyFutureSecurity(final EnergyFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitEquityFutureSecurity(final EquityFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitEquityIndexDividendFutureSecurity(final EquityIndexDividendFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitFXFutureSecurity(final FXFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitForwardSwapSecurity(final ForwardSwapSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitIndexFutureSecurity(final IndexFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitFederalFundsFutureSecurity(final FederalFundsFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitMetalFutureSecurity(final MetalFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitStockFutureSecurity(final StockFutureSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitAgricultureForwardSecurity(final AgricultureForwardSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitEnergyForwardSecurity(final EnergyForwardSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitMetalForwardSecurity(final MetalForwardSecurity security) {
return null; //TODO implement me !
}
@Override
public String visitCDSSecurity(final CDSSecurity security) {
return null; //TODO Should be possible to see direction of CDS trade? quantity < 0?
}
@Override
public String visitStandardVanillaCDSSecurity(final StandardVanillaCDSSecurity security) {
return null; //TODO
}
@Override
public String visitStandardFixedRecoveryCDSSecurity(final StandardFixedRecoveryCDSSecurity security) {
return null; //TODO
}
@Override
public String visitStandardRecoveryLockCDSSecurity(final StandardRecoveryLockCDSSecurity security) {
return null; //TODO
}
@Override
public String visitLegacyVanillaCDSSecurity(final LegacyVanillaCDSSecurity security) {
return null; //TODO
}
@Override
public String visitLegacyFixedRecoveryCDSSecurity(final LegacyFixedRecoveryCDSSecurity security) {
return null; //TODO
}
@Override
public String visitLegacyRecoveryLockCDSSecurity(final LegacyRecoveryLockCDSSecurity security) {
return null; //TODO
}
@Override
public String visitDeliverableSwapFutureSecurity(final DeliverableSwapFutureSecurity security) {
return _position.getQuantity().longValue() < 0 ? SHORT : LONG;
}
@Override
public String visitCreditDefaultSwapIndexDefinitionSecurity(final CreditDefaultSwapIndexDefinitionSecurity security) {
throw new UnsupportedOperationException(FinancialSecurityVisitorAdapter.getUnsupportedOperationMessage(getClass(), security));
}
@Override
public String visitCreditDefaultSwapIndexSecurity(final CreditDefaultSwapIndexSecurity security) {
throw new UnsupportedOperationException(FinancialSecurityVisitorAdapter.getUnsupportedOperationMessage(getClass(), security));
}
@Override
public String visitCreditDefaultSwapOptionSecurity(final CreditDefaultSwapOptionSecurity security) {
throw new UnsupportedOperationException(FinancialSecurityVisitorAdapter.getUnsupportedOperationMessage(getClass(), security));
}
@Override
public String visitZeroCouponInflationSwapSecurity(final ZeroCouponInflationSwapSecurity security) {
return NOT_LONG_SHORT;
}
@Override
public String visitYearOnYearInflationSwapSecurity(final YearOnYearInflationSwapSecurity security) {
return NOT_LONG_SHORT;
}
}
}