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

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Here is the source code for com.opengamma.financial.analytics.volatility.surface.BloombergIRFuturePriceCurveInstrumentProvider.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.text.DecimalFormat;

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

import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.financial.convention.ExchangeTradedInstrumentExpiryCalculator;
import com.opengamma.financial.convention.IRFutureAndFutureOptionExpiryCalculator;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalScheme;

/**
 *  Provider of Interest Rate Future Instrument ID's.
 *  Tied closely to BloombergIRFutureInstrumentProviderUtils.
 */
public class BloombergIRFuturePriceCurveInstrumentProvider implements FuturePriceCurveInstrumentProvider<Number> {

    private static final DecimalFormat FORMATTER = new DecimalFormat("##.###");
    static {
        FORMATTER.setMinimumFractionDigits(3);
    }

    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 ED, ER, IR (See WIR in BBG)
     * @param postfix Generally, "Comdty" 
     * @param dataFieldName Expecting MarketDataRequirementNames.MARKET_VALUE
     * @param tickerScheme Expecting BLOOMBERG_TICKER_WEAK or BLOOMBERG_TICKER
     */
    public BloombergIRFuturePriceCurveInstrumentProvider(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 ED, ER, IR (See WIR in BBG)
     * @param postfix Generally, "Comdty" 
     * @param dataFieldName Expecting MarketDataRequirementNames.MARKET_PRICE 
     */
    public BloombergIRFuturePriceCurveInstrumentProvider(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 ExternalID for Bloomberg ticker, eg EDZ3 Comdty,
     * given a reference date and an integer offset, the n'th subsequent future
     * The format is _futurePrefix + month + year + _postfix
     * <p>
     * Note that midcurve options are written on underlying futures that expire some number of quarters after the option's expiry.
     * The logic of this is based on the _futurePrefix.
     * <p>
     * @param futureNumber n'th future following curve date
     * @param curveDate date of curve validity; valuation date
     */
    public ExternalId getInstrument(final Number futureNumber, final LocalDate curveDate) {
        final StringBuffer ticker = new StringBuffer();
        ticker.append(_futurePrefix);

        // nQuartersDelay is used to handle mid-curve options
        int nQuartersDelay = 0;
        if ("0R".equals(_futurePrefix)) {
            nQuartersDelay = 4;
        }
        ticker.append(BloombergFutureUtils.getQuarterlyExpiryCodeForFutures(_futurePrefix,
                futureNumber.intValue() + nQuartersDelay, curveDate));
        ticker.append(" ");
        ticker.append(_postfix);
        return ExternalId.of(ExternalScheme.of(_tickerScheme), 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 BloombergIRFuturePriceCurveInstrumentProvider)) {
            return false;
        }
        final BloombergIRFuturePriceCurveInstrumentProvider other = (BloombergIRFuturePriceCurveInstrumentProvider) obj;
        return getFuturePrefix().equals(other.getFuturePrefix()) && getPostfix().equals(other.getPostfix())
                && getDataFieldName().equals(other.getDataFieldName());
    }

    @Override
    public ExchangeTradedInstrumentExpiryCalculator getExpiryRuleCalculator() {
        return IRFutureAndFutureOptionExpiryCalculator.getInstance();
    }
}