/**
* 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 java.util.Collections;
import java.util.Set;
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.QuotedSpread;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.SpreadSensitivityCalculator;
import com.opengamma.analytics.financial.model.BumpType;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;
/**
*
*/
public class StandardVanillaParallelCS01CDSFunction extends StandardVanillaCS01CDSFunction {
private static final SpreadSensitivityCalculator CALCULATOR = new SpreadSensitivityCalculator();
public StandardVanillaParallelCS01CDSFunction() {
super(ValueRequirementNames.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)));
double cs01 = parallelCS01(definition, yieldCurve, times, marketSpreads, analytic, bump * 1e-4);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.CS01, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, cs01));
}
public static double parallelCS01(CreditDefaultSwapDefinition definition,
ISDACompliantYieldCurve yieldCurve,
ZonedDateTime[] times, double[] marketSpreads, CDSAnalytic analytic, double fracBump) {
double cs01;
if (definition instanceof StandardCreditDefaultSwapDefinition) {
StandardCreditDefaultSwapDefinition cds = (StandardCreditDefaultSwapDefinition) definition;
cs01 = CALCULATOR.parallelCS01(analytic, new QuotedSpread(cds.getQuotedSpread() * 1e-4, getCoupon(cds.getPremiumLegCoupon())), yieldCurve, fracBump);
} else if (definition instanceof LegacyCreditDefaultSwapDefinition) {
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[] pillars = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);
cs01 = CALCULATOR.parallelCS01FromParSpreads(analytic,
((LegacyCreditDefaultSwapDefinition) definition).getParSpread() * 1e-4,
yieldCurve,
pillars,
marketSpreads,
fracBump,
BumpType.ADDITIVE);
} else {
throw new OpenGammaRuntimeException("Unexpected cds type: " + definition.getClass().getSimpleName());
}
return cs01 * definition.getNotional() * 1e-4;
}
}