/**
* Copyright (C) 2009 - 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.Collections;
import java.util.HashSet;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.credit.cds.ISDACurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.Curve;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
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.util.async.AsynchronousExecution;
/**
* Build an ISDA-style discount curve for use with the ISDA CDS price functions.
*
* Currently this is a simple map function that translates the existing OpenGamma curves
* in to ISDA format. A more correct implementation would pull data from Markit and build
* the curve replicating ISDA functionality.
*
* @author Martin Traverse, Niels Stchedroff (Riskcare)
* @see ISDAApproxCDSPriceFunction
* @see ISDAApproxCDSPriceFlatSpreadFunction
*/
public class ISDAApproxDiscountCurveFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.add(new ValueRequirement(
ValueRequirementNames.YIELD_CURVE, target.toSpecification(),
ValueProperties
.with("Curve", "SECONDARY")
.with("FundingCurve", "SECONDARY")
.with("ForwardCurve", "SECONDARY")
.with("CurveCalculationMethod", "ParRate")
.get()));
return requirements;
}
protected ValueProperties.Builder createValueProperties() {
return super.createValueProperties().with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME);
}
@Override
public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), createValueProperties().get()));
}
@Override
public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final YieldCurve sourceCurve = (YieldCurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (sourceCurve == null) {
throw new OpenGammaRuntimeException("Could not get source discount curve to translate for ISDA");
}
final Curve<Double, Double> curveData = sourceCurve.getCurve();
final ISDACurve isdaCurve = ISDACurve.fromBoxed(sourceCurve.getName(), curveData.getXData(), curveData.getYData(), 0.0);
ComputedValue result = new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), createValueProperties().get()), isdaCurve);
return Collections.singleton(result);
}
}