/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.credit.isda.cds;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_SHIFT;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_SHIFT_TYPE;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_CONFIG;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyCreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.standard.StandardCreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalytic;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalyticFactory;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantCreditCurve;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantYieldCurve;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.SpreadSensitivityCalculator;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
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.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.LocalDateLabelledMatrix1D;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor;
import com.opengamma.financial.security.FinancialSecurity;
/**
*
*/
public class StandardVanillaBucketedCS01CDSFunction extends StandardVanillaCS01CDSFunction {
private static final SpreadSensitivityCalculator CALCULATOR = new SpreadSensitivityCalculator();
public StandardVanillaBucketedCS01CDSFunction() {
super(ValueRequirementNames.BUCKETED_CS01);
}
@Override
protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapDefinition definition,
final ISDACompliantYieldCurve yieldCurve,
final ZonedDateTime[] times,
final double[] marketSpreads,
final ZonedDateTime valuationDate,
final ComputationTarget target,
final ValueProperties properties,
final FunctionInputs inputs,
ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic) {
//TODO: bump type
Double bump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
final LocalDateLabelledMatrix1D cs01Matrix = getBucketedCS01(definition, yieldCurve, times, hazardCurve, analytic, bump * 1e-4);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BUCKETED_CS01, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, cs01Matrix));
}
public static LocalDateLabelledMatrix1D getBucketedCS01(CreditDefaultSwapDefinition definition,
ISDACompliantYieldCurve yieldCurve,
ZonedDateTime[] times,
ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic, double bump) {
final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(definition.getRecoveryRate(), definition.getCouponFrequency().getPeriod())
.with(definition.getBusinessDayAdjustmentConvention())
.with(definition.getCalendar()).with(definition.getStubType())
.withAccualDCC(definition.getDayCountFractionConvention());
Period[] tenors = new Period[times.length];
for (int i = 0; i < times.length; i++) {
tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate()).withDays(0);
}
CDSAnalytic[] buckets = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);
double[] cs01Values;
if (definition instanceof StandardCreditDefaultSwapDefinition) {
StandardCreditDefaultSwapDefinition cds = (StandardCreditDefaultSwapDefinition) definition;
cs01Values = CALCULATOR.bucketedCS01FromCreditCurve(analytic, getCoupon(definition), buckets, yieldCurve, hazardCurve, bump);
} else if (definition instanceof LegacyCreditDefaultSwapDefinition) {
LegacyCreditDefaultSwapDefinition cds = (LegacyCreditDefaultSwapDefinition) definition;
cs01Values = CALCULATOR.bucketedCS01FromCreditCurve(analytic, getCoupon(definition), buckets, yieldCurve, hazardCurve, bump);
} else {
throw new OpenGammaRuntimeException("Unknown cds type " + definition.getClass().getSimpleName());
}
final int n = times.length;
final LocalDate[] dates = new LocalDate[n];
for (int i = 0; i < n; i++) {
dates[i] = times[i].toLocalDate();
cs01Values[i] *= 1e-4 * definition.getNotional();
}
return new LocalDateLabelledMatrix1D(dates, cs01Values);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
final ValueProperties constraints = desiredValue.getConstraints();
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
//TODO: remove hardcoding
final String hazardRateCurveCalculationMethod = "ISDA";
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);
final Set<String> creditSpreadCurveShifts = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT);
final ValueProperties.Builder hazardRateCurveProperties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, spreadCurveName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, hazardRateCurveCalculationMethod)
.with(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG, yieldCurveCalculationConfig)
.with(PROPERTY_YIELD_CURVE_CALCULATION_METHOD, yieldCurveCalculationMethod)
.with(PROPERTY_YIELD_CURVE, yieldCurveName);
if (creditSpreadCurveShifts != null) {
final Set<String> creditSpreadCurveShiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
hazardRateCurveProperties.with(PROPERTY_SPREAD_CURVE_SHIFT, creditSpreadCurveShifts).with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, creditSpreadCurveShiftTypes);
}
final ValueRequirement hazardRateCurveRequirement = new ValueRequirement(ValueRequirementNames.HAZARD_RATE_CURVE, target.toSpecification(), hazardRateCurveProperties.get());
requirements.add(hazardRateCurveRequirement);
return requirements;
}
}