/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.conversion;
import org.apache.commons.lang.NotImplementedException;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.cash.DepositZeroDefinition;
import com.opengamma.analytics.financial.interestrate.ContinuousInterestRate;
import com.opengamma.analytics.financial.interestrate.InterestRate;
import com.opengamma.analytics.financial.interestrate.PeriodicInterestRate;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.HolidaySourceCalendarAdapter;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.deposit.ContinuousZeroDepositSecurity;
import com.opengamma.financial.security.deposit.PeriodicZeroDepositSecurity;
import com.opengamma.financial.security.deposit.SimpleZeroDepositSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Converts zero deposit securities to their equivalents in the analytics library.
*/
public class ZeroDepositConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
/** The convention source */
private final ConventionBundleSource _conventionSource;
/** The holiday source */
private final HolidaySource _holidaySource;
/**
* @param conventionSource The convention source, not null
* @param holidaySource The holiday source, not null
*/
public ZeroDepositConverter(final ConventionBundleSource conventionSource, final HolidaySource holidaySource) {
ArgumentChecker.notNull(conventionSource, "convention source");
ArgumentChecker.notNull(holidaySource, "holiday source");
_conventionSource = conventionSource;
_holidaySource = holidaySource;
}
@Override
public InstrumentDefinition<?> visitContinuousZeroDepositSecurity(final ContinuousZeroDepositSecurity security) {
ArgumentChecker.notNull(security, "security");
final Currency currency = security.getCurrency();
final ZonedDateTime startDate = security.getStartDate();
final ZonedDateTime endDate = security.getMaturityDate();
final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_ZERO_DEPOSIT"));
final DayCount daycount = convention.getDayCount();
final InterestRate rate = new ContinuousInterestRate(security.getRate());
final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
return DepositZeroDefinition.from(currency, startDate, endDate, daycount, rate, calendar);
}
@Override
public InstrumentDefinition<?> visitSimpleZeroDepositSecurity(final SimpleZeroDepositSecurity security) {
throw new NotImplementedException();
}
@Override
public InstrumentDefinition<?> visitPeriodicZeroDepositSecurity(final PeriodicZeroDepositSecurity security) {
ArgumentChecker.notNull(security, "security");
final Currency currency = security.getCurrency();
final ZonedDateTime startDate = security.getStartDate();
final ZonedDateTime endDate = security.getMaturityDate();
final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_ZERO_DEPOSIT"));
final DayCount daycount = convention.getDayCount();
final InterestRate rate = new PeriodicInterestRate(security.getRate(), (int) security.getCompoundingPeriodsPerYear());
final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
return DepositZeroDefinition.from(currency, startDate, endDate, daycount, rate, calendar);
}
}