/**
* 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_HAZARD_RATE_CURVE_CALCULATION_METHOD;
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.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
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.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapParallelGammaCS01Calculator;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalytic;
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.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.model.credit.CreditInstrumentPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor;
import com.opengamma.financial.security.FinancialSecurity;
/**
*
*/
public class StandardVanillaParallelGammaCS01CDSFunction extends StandardVanillaCS01CDSFunction {
private static final CreditSpreadBumpersNew SPREAD_BUMPER = new CreditSpreadBumpersNew();
public StandardVanillaParallelGammaCS01CDSFunction() {
super(ValueRequirementNames.GAMMA_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) {
final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(
CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
//TODO: Pass this down
//final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));
final double gammaCS01 = parallelGammaCS01(definition, yieldCurve, hazardCurve, analytic, spreadCurveBump, spreadBumpType);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.GAMMA_CS01, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, gammaCS01));
}
public static double parallelGammaCS01(CreditDefaultSwapDefinition definition, ISDACompliantYieldCurve yieldCurve, ISDACompliantCreditCurve hazardCurve,
CDSAnalytic analytic, double spreadCurveBump, SpreadBumpType spreadBumpType) {
final double[] rates = hazardCurve.getR();
final double[] bumpedUpRates = SPREAD_BUMPER.getBumpedCreditSpreads(rates, spreadCurveBump * 1e-4, spreadBumpType);
final double[] bumpedDownRates = SPREAD_BUMPER.getBumpedCreditSpreads(rates, -spreadCurveBump * 1e-4, spreadBumpType);
final ISDACompliantCreditCurve bumpedUpCreditCurve = hazardCurve.withRates(bumpedUpRates);
final ISDACompliantCreditCurve bumpedDownCreditCurve = hazardCurve.withRates(bumpedDownRates);
final double pv = StandardVanillaPresentValueCDSFunction.presentValue(definition, yieldCurve, hazardCurve, analytic);
final double bumpedUpPresentValue = StandardVanillaPresentValueCDSFunction.presentValue(definition, yieldCurve, bumpedUpCreditCurve, analytic);
final double bumpedDownPresentValue = StandardVanillaPresentValueCDSFunction.presentValue(definition, yieldCurve, bumpedDownCreditCurve, analytic);
return (bumpedUpPresentValue - 2 * pv + bumpedDownPresentValue) / (spreadCurveBump * spreadCurveBump);
}
@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 Set<String> bumptype = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE);
if (bumptype == null || bumptype.size() != 1) {
return null;
}
final Set<String> bump = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP);
if (bump == null || bump.size() != 1) {
return null;
}
//final Set<String> hazardRateCurveCalculationMethodNames = constraints.getValues(PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD);
//if (hazardRateCurveCalculationMethodNames == null || hazardRateCurveCalculationMethodNames.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
final String hazardRateCurveCalculationMethod = "ISDA"; //Iterables.getOnlyElement(hazardRateCurveCalculationMethodNames);
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 Set<String> creditSpreadCurveShiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
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) {
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;
}
}