Package com.opengamma.financial.security.cds

Examples of com.opengamma.financial.security.cds.CreditDefaultSwapSecurity.accept()

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    OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      throw new OpenGammaRuntimeException("Could not get recovery rate");
      //s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
      //recoveryRateObject = 0.4;
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      throw new OpenGammaRuntimeException("Could not get recovery rate");
      //s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
      //recoveryRateObject = 0.4;
    }
    final double recoveryRate = (Double) recoveryRateObject;
    LegacyVanillaCreditDefaultSwapDefinition definition = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    definition = definition.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    definition = definition.withRecoveryRate(recoveryRate);
    final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (yieldCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get yield curve");
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                                         cds.getMaturityDate().toLocalDate().withDayOfMonth(20));
    final ValueRequirement cdsSpreadRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
                                                                       ComputationTargetType.PRIMITIVE,
                                                                       ExternalId.of("Tenor", period.toString()));

    final CdsRecoveryRateIdentifier recoveryRateIdentifier = cds.accept(new CreditSecurityToRecoveryRateVisitor(context.getSecuritySource()));
    final ValueRequirement recoveryRateRequirement = new ValueRequirement("PX_LAST",
                                                                          ComputationTargetType.PRIMITIVE,
                                                                          recoveryRateIdentifier.getExternalId());

    return Sets.newHashSet(spreadRequirment, isdaRequirment, cdsSpreadRequirement, recoveryRateRequirement);
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    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition cds = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    cds = cds.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      //throw new OpenGammaRuntimeException("Could not get recovery rate");
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    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition cds = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    cds = cds.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      //throw new OpenGammaRuntimeException("Could not get recovery rate");
      recoveryRateObject = 0.4;
    }
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  }

  @Override
  public CreditCurveIdentifier visitCreditDefaultSwapOptionSecurity(final CreditDefaultSwapOptionSecurity security) {
    final CreditDefaultSwapSecurity underlyingSwap = (CreditDefaultSwapSecurity) _securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId())); //TODO version correction?
    return underlyingSwap.accept(this);
  }

  @Override
  public CreditCurveIdentifier visitCreditDefaultSwapIndexSecurity(final CreditDefaultSwapIndexSecurity security) {
    final ExternalId redCode = security.getReferenceEntity();
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  }

  @Override
  public CdsRecoveryRateIdentifier visitCreditDefaultSwapOptionSecurity(final CreditDefaultSwapOptionSecurity security) {
    final CreditDefaultSwapSecurity underlyingSwap = (CreditDefaultSwapSecurity) _securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId())); //TODO version correction?
    return underlyingSwap.accept(this);
  }

}
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