/**
* 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_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.analytics.financial.credit.bumpers.RecoveryRateBumpType;
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.CDSRiskFactors;
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 StandardVanillaRR01CDSFunction extends StandardVanillaCDSFunction {
private static final CDSRiskFactors CALCULATOR = new CDSRiskFactors();
public StandardVanillaRR01CDSFunction() {
super(ValueRequirementNames.RR01);
}
@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 rr01 = getRR01(definition, yieldCurve, properties, hazardCurve, analytic);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.RR01, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, rr01));
}
public static double getRR01(CreditDefaultSwapDefinition definition,
ISDACompliantYieldCurve yieldCurve,
ValueProperties properties, ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic) {
final RecoveryRateBumpType recoveryRateBumpType =
RecoveryRateBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(
CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE)));
if (recoveryRateBumpType != RecoveryRateBumpType.ADDITIVE) {
throw new UnsupportedOperationException("Only Additive rr01 sensitivity supported currently. Got " + recoveryRateBumpType);
}
final Double bump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(
CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP)));
return bump * 1e-4 * definition.getNotional() * CALCULATOR.recoveryRateSensitivity(analytic,
yieldCurve,
hazardCurve);
}
@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> recoveryRateBumps = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP);
if (recoveryRateBumps == null || recoveryRateBumps.size() != 1) {
return null;
}
final Set<String> recoveryRateBumpTypes = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE);
if (recoveryRateBumpTypes == null || recoveryRateBumpTypes.size() != 1) {
return null;
}
final Set<String> cdsPriceTypes = constraints.getValues(CreditInstrumentPropertyNamesAndValues.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
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, "ISDA")
.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;
}
@Override
protected ValueProperties.Builder getCommonResultProperties() {
return createValueProperties()
.withAny(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP)
.withAny(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE)
.withAny(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
}
@Override
protected boolean labelResultWithCurrency() {
return true;
}
}