cdm.event.common.functions.Create_RollPrimitiveInstruction Maven / Gradle / Ivy
package cdm.event.common.functions;
import cdm.base.datetime.AdjustableOrRelativeDate;
import cdm.base.math.QuantityChangeDirectionEnum;
import cdm.base.staticdata.identifier.Identifier;
import cdm.event.common.PrimitiveInstruction;
import cdm.event.common.PrimitiveInstruction.PrimitiveInstructionBuilder;
import cdm.event.common.QuantityChangeInstruction;
import cdm.event.common.Trade;
import cdm.event.common.TradeState;
import cdm.observable.asset.PriceQuantity;
import cdm.product.template.NonTransferableProduct;
import com.google.inject.ImplementedBy;
import com.rosetta.model.lib.functions.ModelObjectValidator;
import com.rosetta.model.lib.functions.RosettaFunction;
import com.rosetta.model.lib.mapper.MapperC;
import com.rosetta.model.lib.mapper.MapperS;
import java.util.ArrayList;
import java.util.Collections;
import java.util.List;
import java.util.Optional;
import javax.inject.Inject;
@ImplementedBy(Create_RollPrimitiveInstruction.Create_RollPrimitiveInstructionDefault.class)
public abstract class Create_RollPrimitiveInstruction implements RosettaFunction {
@Inject protected ModelObjectValidator objectValidator;
// RosettaFunction dependencies
//
@Inject protected Create_RollTermChangeInstruction create_RollTermChangeInstruction;
@Inject protected Create_TerminationInstruction create_TerminationInstruction;
/**
* @param tradeState The original trade to be rolled.
* @param effectiveRollDate The date to close and open a new position.
* @param terminationDate The new termination date.
* @param priceQuantity The price and quantity of the trade to roll into.
* @return instruction
*/
public PrimitiveInstruction evaluate(TradeState tradeState, AdjustableOrRelativeDate effectiveRollDate, AdjustableOrRelativeDate terminationDate, List extends PriceQuantity> priceQuantity) {
PrimitiveInstruction.PrimitiveInstructionBuilder instructionBuilder = doEvaluate(tradeState, effectiveRollDate, terminationDate, priceQuantity);
final PrimitiveInstruction instruction;
if (instructionBuilder == null) {
instruction = null;
} else {
instruction = instructionBuilder.build();
objectValidator.validate(PrimitiveInstruction.class, instruction);
}
return instruction;
}
protected abstract PrimitiveInstruction.PrimitiveInstructionBuilder doEvaluate(TradeState tradeState, AdjustableOrRelativeDate effectiveRollDate, AdjustableOrRelativeDate terminationDate, List extends PriceQuantity> priceQuantity);
public static class Create_RollPrimitiveInstructionDefault extends Create_RollPrimitiveInstruction {
@Override
protected PrimitiveInstruction.PrimitiveInstructionBuilder doEvaluate(TradeState tradeState, AdjustableOrRelativeDate effectiveRollDate, AdjustableOrRelativeDate terminationDate, List extends PriceQuantity> priceQuantity) {
if (priceQuantity == null) {
priceQuantity = Collections.emptyList();
}
PrimitiveInstruction.PrimitiveInstructionBuilder instruction = PrimitiveInstruction.builder();
return assignOutput(instruction, tradeState, effectiveRollDate, terminationDate, priceQuantity);
}
protected PrimitiveInstruction.PrimitiveInstructionBuilder assignOutput(PrimitiveInstruction.PrimitiveInstructionBuilder instruction, TradeState tradeState, AdjustableOrRelativeDate effectiveRollDate, AdjustableOrRelativeDate terminationDate, List extends PriceQuantity> priceQuantity) {
instruction
.getOrCreateSplit()
.setBreakdown(MapperC.of(MapperS.of(create_TerminationInstruction.evaluate(tradeState))).getMulti());
instruction
.getOrCreateSplit()
.addBreakdown(MapperC.of(MapperS.of(PrimitiveInstruction.builder()
.setQuantityChange(QuantityChangeInstruction.builder()
.setChange(new ArrayList(priceQuantity))
.setDirection(QuantityChangeDirectionEnum.REPLACE)
.setLotIdentifier(Collections.emptyList())
.build())
.setTermsChange(create_RollTermChangeInstruction.evaluate(MapperS.of(tradeState).map("getTrade", _tradeState -> _tradeState.getTrade()).map("getProduct", trade -> trade.getProduct()).get(), effectiveRollDate, terminationDate))
.build())).getMulti());
return Optional.ofNullable(instruction)
.map(o -> o.prune())
.orElse(null);
}
}
}
© 2015 - 2025 Weber Informatics LLC | Privacy Policy