com.opengamma.financial.analytics.volatility.surface.BloombergCommodityFuturePriceCurveInstrumentProvider.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.volatility.surface.BloombergCommodityFuturePriceCurveInstrumentProvider.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.volatility.surface;

import java.util.Map;

import org.apache.commons.lang.Validate;
import org.threeten.bp.LocalDate;

import com.google.common.collect.Maps;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.financial.convention.BrentCrudeFutureExpiryCalculator;
import com.opengamma.financial.convention.ExchangeTradedInstrumentExpiryCalculator;
import com.opengamma.financial.convention.GoldFutureExpiryCalculator;
import com.opengamma.financial.convention.LiveCattleFutureExpiryCalculator;
import com.opengamma.financial.convention.SoybeanFutureExpiryCalculator;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;

/**
 *  Provider of commodity Future Instrument ID's.
 */
public class BloombergCommodityFuturePriceCurveInstrumentProvider
        implements FuturePriceCurveInstrumentProvider<Number> {

    /**
     * Gets the expiryRules.
     * @return the expiryRules
     */
    public static Map<String, ExchangeTradedInstrumentExpiryCalculator> getExpiryRules() {
        return EXPIRY_RULES;
    }

    private static final Map<String, ExchangeTradedInstrumentExpiryCalculator> EXPIRY_RULES;
    static {
        EXPIRY_RULES = Maps.newHashMap();
        EXPIRY_RULES.put("BO", SoybeanFutureExpiryCalculator.getInstance()); // Soy oil
        EXPIRY_RULES.put("BZ", BrentCrudeFutureExpiryCalculator.getInstance()); // Brent Crude -- temp for 2 character code in surface name
        EXPIRY_RULES.put("BZA", BrentCrudeFutureExpiryCalculator.getInstance()); // Brent Crude
        EXPIRY_RULES.put("GC", GoldFutureExpiryCalculator.getInstance()); // Gold
        EXPIRY_RULES.put("LC", LiveCattleFutureExpiryCalculator.getInstance()); // Live Cattle
        EXPIRY_RULES.put("S ", SoybeanFutureExpiryCalculator.getInstance()); // Soy
    }

    private final String _futurePrefix;
    private final String _postfix;
    private final String _dataFieldName;
    private final String _tickerScheme;

    /**
     * @param futurePrefix Two character string representing future type. e.g. S  , AA etc.
     * @param postfix Generally, "Comdty"
     * @param dataFieldName Expecting MarketDataRequirementNames.MARKET_VALUE
     * @param tickerScheme Expecting BLOOMBERG_TICKER_WEAK or BLOOMBERG_TICKER
     */
    public BloombergCommodityFuturePriceCurveInstrumentProvider(final String futurePrefix, final String postfix,
            final String dataFieldName, String tickerScheme) {
        Validate.notNull(futurePrefix, "future option prefix");
        Validate.notNull(postfix, "postfix");
        Validate.notNull(dataFieldName, "data field name");
        Validate.notNull(tickerScheme, "tickerScheme was null. Try BLOOMBERG_TICKER_WEAK or BLOOMBERG_TICKER");
        _futurePrefix = futurePrefix;
        _postfix = postfix;
        _dataFieldName = dataFieldName;
        _tickerScheme = tickerScheme;
    }

    /** If a 4th argument is not provided, constructor uses BLOOMBERG_TICKER_WEAK as its ExternalScheme
     * @param futurePrefix Two character string representing future type. e.g. S  , AA etc.
     * @param postfix Generally, "Comdty"
     * @param dataFieldName Expecting MarketDataRequirementNames.MARKET_PRICE
     */
    public BloombergCommodityFuturePriceCurveInstrumentProvider(final String futurePrefix, final String postfix,
            final String dataFieldName) {
        Validate.notNull(futurePrefix, "future option prefix");
        Validate.notNull(postfix, "postfix");
        Validate.notNull(dataFieldName, "data field name");
        _futurePrefix = futurePrefix;
        _postfix = postfix;
        _dataFieldName = dataFieldName;
        _tickerScheme = "BLOOMBERG_TICKER_WEAK";
    }

    @Override
    public ExternalId getInstrument(final Number futureNumber) {
        throw new OpenGammaRuntimeException(
                "Provider needs a curve date to create interest rate future identifier from futureNumber");
    }

    @Override
    /**
     * Provides an ExternalID for Bloomberg ticker,
     * given a reference date and an integer offset, the n'th subsequent option <p>
     * The format is prefix + postfix <p>
     * e.g. S U3 Comdty
     * <p>
     * @param futureOptionNumber n'th future following curve date, not null
     * @param curveDate date of future validity; valuation date, not null
     * @return the id of the Bloomberg ticker
     */
    public ExternalId getInstrument(final Number futureNumber, final LocalDate curveDate) {
        ArgumentChecker.notNull(futureNumber, "futureOptionNumber");
        ArgumentChecker.notNull(curveDate, "curve date");
        final StringBuffer ticker = new StringBuffer();
        ticker.append(getFuturePrefix());
        final ExchangeTradedInstrumentExpiryCalculator expiryRule = getExpiryRuleCalculator();
        final LocalDate expiryDate = expiryRule.getExpiryMonth(futureNumber.intValue(), curveDate);
        final String expiryCode = BloombergFutureUtils.getShortExpiryCode(expiryDate);
        ticker.append(expiryCode);
        ticker.append(" ");
        ticker.append(getPostfix());
        return ExternalId.of(getTickerScheme(), ticker.toString());
    }

    public String getFuturePrefix() {
        return _futurePrefix;
    }

    public String getPostfix() {
        return _postfix;
    }

    @Override
    public String getTickerScheme() {
        return _tickerScheme;
    }

    @Override
    public String getDataFieldName() {
        return _dataFieldName;
    }

    @Override
    public int hashCode() {
        return getFuturePrefix().hashCode() + getPostfix().hashCode() + getDataFieldName().hashCode();
    }

    @Override
    public boolean equals(final Object obj) {
        if (obj == null) {
            return false;
        }
        if (!(obj instanceof BloombergCommodityFuturePriceCurveInstrumentProvider)) {
            return false;
        }
        final BloombergCommodityFuturePriceCurveInstrumentProvider other = (BloombergCommodityFuturePriceCurveInstrumentProvider) obj;
        return getFuturePrefix().equals(other.getFuturePrefix()) && getPostfix().equals(other.getPostfix())
                && getDataFieldName().equals(other.getDataFieldName());
    }

    @Override
    public ExchangeTradedInstrumentExpiryCalculator getExpiryRuleCalculator() {
        final ExchangeTradedInstrumentExpiryCalculator expiryRule = EXPIRY_RULES.get(getFuturePrefix());
        if (expiryRule == null) {
            throw new OpenGammaRuntimeException("No expiry rule has been setup for " + getFuturePrefix()
                    + ". Determine week and day pattern and add to EXPIRY_RULES.");
        }
        return expiryRule;
    }
}