Package com.opengamma.financial.analytics.model.credit

Examples of com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor

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    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR));
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaExecutionContext.getSecuritySource(executionContext));
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    //TODO
    final String curveName = getCurvePrefix() + "_" + spreadCurveName;
    final CurveSpecification curveSpecification = CurveUtils.getCurveSpecification(snapshotClock.instant(), configSource, now, curveName);
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    }
    final Set<String> samplingFunctionNames = constraints.getValues(SAMPLING_FUNCTION);
    if (samplingFunctionNames == null || samplingFunctionNames.size() != 1) {
      return null;
    }
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.add(getBucketedCS01Requirement(security));
    requirements.add(getCreditSpreadCurveHTSRequirement(security, getCurvePrefix() + "_" + spreadCurveName, samplingPeriod));
    final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
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    }
    final Set<String> samplingFunctionNames = constraints.getValues(SAMPLING_FUNCTION);
    if (samplingFunctionNames == null || samplingFunctionNames.size() != 1) {
      return null;
    }
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.add(getBucketedCS01Requirement(security));
    requirements.add(getCreditSpreadCurveHTSRequirement(security, getCurvePrefix() + "_" + spreadCurveName, samplingPeriod));
    final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
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    final Set<String> cdsPriceTypes = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(
        context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String hazardRateCurveCalculationMethod = "ISDA"; //Iterables.getOnlyElement(hazardRateCurveCalculationMethodNames);
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
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    final Set<String> cdsPriceTypes = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(
        context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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    final Set<String> hazardRateCurveCalculationMethodNames = constraints.getValues(PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD);
    if (hazardRateCurveCalculationMethodNames == null || hazardRateCurveCalculationMethodNames.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String hazardRateCurveCalculationMethod = Iterables.getOnlyElement(hazardRateCurveCalculationMethodNames);
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }

    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(
        context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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    final Set<String> cdsPriceTypes = constraints.getValues(PROPERTY_CDS_PRICE_TYPE);
    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(
        context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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    //final Set<String> hazardRateCurveCalculationMethodNames = constraints.getValues(PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD);
    //if (hazardRateCurveCalculationMethodNames == null || hazardRateCurveCalculationMethodNames.size() != 1) {
    //  return null;
    //}
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(
        context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String hazardRateCurveCalculationMethod = "ISDA"; //Iterables.getOnlyElement(hazardRateCurveCalculationMethodNames);
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
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    }
    final Set<String> yieldCurveCalculationMethodNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
    if (yieldCurveCalculationMethodNames == null || yieldCurveCalculationMethodNames.size() != 1) {
      return null;
    }
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
    final CreditDefaultSwapIndexSecurity security = (CreditDefaultSwapIndexSecurity) target.getSecurity();
    final String spreadCurveName = "CDS_INDEX_" + security.accept(identifierVisitor).getUniqueId().getValue();
    //    final Set<String> spreadCurveNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE);
    //    if (spreadCurveNames == null || spreadCurveNames.size() != 1) {
    //      return null;
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Related Classes of com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor

  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDSHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDSOptionHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDXAsSingleNameHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDAHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedCS01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedGammaCS01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaCDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaIR01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaJumpToDefaultCDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaParallelGammaCS01CDSFunction
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