/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.credit.ISDAYieldCurveAndHazardRateCurveProvider;
import com.opengamma.analytics.financial.credit.ISDAYieldCurveAndSpreadsProvider;
import com.opengamma.analytics.financial.credit.PriceType;
import com.opengamma.analytics.financial.credit.bumpers.CreditSpreadBumpersNew;
import com.opengamma.analytics.financial.credit.bumpers.SpreadBumpType;
import com.opengamma.analytics.financial.credit.calibratehazardratecurve.ISDAHazardRateCurveCalculator;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isda.ISDACreditDefaultSwapPVCalculator;
import com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.analytics.financial.credit.marketdatachecker.SpreadTermStructureDataChecker;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class ISDACreditDefaultSwapBucketedCS01Calculator {
private static final CreditSpreadBumpersNew SPREAD_BUMPER = new CreditSpreadBumpersNew();
private static final ISDAHazardRateCurveCalculator HAZARD_RATE_CALCULATOR = new ISDAHazardRateCurveCalculator();
private static final ISDACreditDefaultSwapPVCalculator PV_CALCULATOR = new ISDACreditDefaultSwapPVCalculator();
private static final SpreadTermStructureDataChecker DATA_CHECKER = new SpreadTermStructureDataChecker();
public double[] getCS01BucketedCreditDefaultSwap(final ZonedDateTime valuationDate, final CreditDefaultSwapDefinition cds, final ISDADateCurve yieldCurve,
final ZonedDateTime[] marketTenors, final double[] marketSpreads, final double spreadBump, final SpreadBumpType spreadBumpType, final PriceType priceType) {
ArgumentChecker.notNull(valuationDate, "Valuation date");
ArgumentChecker.notNull(cds, "LegacyCreditDefaultSwapDefinition");
ArgumentChecker.notNull(yieldCurve, "YieldCurve");
ArgumentChecker.notNull(marketTenors, "Market tenors");
ArgumentChecker.notNull(marketSpreads, "Market spreads");
ArgumentChecker.notNull(spreadBumpType, "Spread bump type");
ArgumentChecker.notNull(priceType, "price type");
ArgumentChecker.notNegative(spreadBump, "Spread bump");
DATA_CHECKER.checkSpreadData(valuationDate, marketTenors, marketSpreads);
final int nSpreads = marketSpreads.length;
final double[] bucketedCS01 = new double[nSpreads];
ISDAYieldCurveAndSpreadsProvider calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, marketSpreads, yieldCurve);
HazardRateCurve hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
ISDAYieldCurveAndHazardRateCurveProvider curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
final double presentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
// Loop through and bump each of the spreads at each tenor
for (int m = 0; m < nSpreads; m++) {
// Calculate the bumped spreads vector
final double[] bumpedMarketSpreads = SPREAD_BUMPER.getBumpedCreditSpreads(marketSpreads, m, spreadBump, spreadBumpType);
// Calculate the bumped CDS PV
calibrationData = new ISDAYieldCurveAndSpreadsProvider(marketTenors, bumpedMarketSpreads, yieldCurve);
hazardRateCurve = HAZARD_RATE_CALCULATOR.calibrateHazardRateCurve(cds, calibrationData, valuationDate);
curveProvider = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
final double bumpedPresentValue = PV_CALCULATOR.getPresentValue(cds, curveProvider, valuationDate, priceType);
// Compute the CS01 for this tenor
bucketedCS01[m] = (bumpedPresentValue - presentValue) / spreadBump;
}
return bucketedCS01;
}
}