/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.cds;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import org.threeten.bp.temporal.TemporalAdjuster;
import com.opengamma.analytics.financial.instrument.Convention;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction.NonCompiledInvoker;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.cds.CDSSecurity;
import com.opengamma.util.tuple.DoublesPair;
/**
* Base class for ISDA CDS pricing functions
*
* @author Martin Traverse, Niels Stchedroff (Riskcare)
* @see ISDAApproxCDSPriceHazardCurveFunction
* @see ISDAApproxCDSPriceFlatSpreadFunction
*/
public abstract class ISDAApproxCDSPriceFunction extends NonCompiledInvoker {
protected abstract String getHazardRateStructure();
protected abstract DoublesPair executeImpl(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues);
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.CDS_SECURITY;
}
@Override
protected ValueProperties.Builder createValueProperties() {
return super.createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, ISDAFunctionConstants.ISDA_IMPLEMENTATION_APPROX)
.with(ISDAFunctionConstants.ISDA_HAZARD_RATE_STRUCTURE, getHazardRateStructure());
}
private ValueProperties.Builder createValueProperties(final CDSSecurity security) {
return createValueProperties()
.with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode());
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final CDSSecurity cds = (CDSSecurity) target.getSecurity();
final ValueProperties properties = createValueProperties(cds).get();
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueSpecification cleanPriceSpec = new ValueSpecification(ValueRequirementNames.CLEAN_PRICE, targetSpec, properties);
final ValueSpecification dirtyPriceSpec = new ValueSpecification(ValueRequirementNames.DIRTY_PRICE, targetSpec, properties);
final ValueSpecification presentValueSpec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, targetSpec, properties);
final Set<ValueSpecification> results = new HashSet<ValueSpecification>();
results.add(cleanPriceSpec);
results.add(dirtyPriceSpec);
results.add(presentValueSpec);
return results;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final CDSSecurity cds = (CDSSecurity) target.getSecurity();
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueProperties properties = createValueProperties(cds).get();
final DoublesPair calculationResult = executeImpl(executionContext, inputs, target, desiredValues);
final Double cleanPrice = calculationResult.getFirst();
final Double dirtyPrice = calculationResult.getSecond();
// Pack up the results
final Set<ComputedValue> results = new HashSet<ComputedValue>();
final ComputedValue cleanPriceValue = new ComputedValue(new ValueSpecification(ValueRequirementNames.CLEAN_PRICE, targetSpec, properties), cleanPrice);
final ComputedValue dirtyPriceValue = new ComputedValue(new ValueSpecification(ValueRequirementNames.DIRTY_PRICE, targetSpec, properties), dirtyPrice);
final ComputedValue presentValue = new ComputedValue(new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, targetSpec, properties), cleanPrice);
results.add(cleanPriceValue);
results.add(dirtyPriceValue);
results.add(presentValue);
return results;
}
protected ZonedDateTime findSettlementDate(final ZonedDateTime startDate, final Convention convention) {
final TemporalAdjuster adjuster = convention.getBusinessDayConvention().getTemporalAdjuster(convention.getWorkingDayCalendar());
ZonedDateTime result = startDate;
for (int i = 0, n = convention.getSettlementDays(); i < n; ++i) {
result = result.plusDays(1).with(adjuster);
}
return result;
}
}