/**
* 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.cdsoption;
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.SpreadBumpType;
import com.opengamma.analytics.financial.credit.creditdefaultswapoption.definition.CreditDefaultSwapOptionDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswapoption.greeks.GammaCreditDefaultSwapOption;
import com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.engine.ComputationTarget;
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 ISDACreditDefaultSwapOptionParallelGammaCS01Function extends ISDACreditDefaultSwapOptionCS01Function {
private static final GammaCreditDefaultSwapOption CALCULATOR = new GammaCreditDefaultSwapOption();
public ISDACreditDefaultSwapOptionParallelGammaCS01Function() {
super(ValueRequirementNames.GAMMA_CS01);
}
@Override
protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
final ComputationTarget target, final ValueProperties properties) {
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)));
final double gammaCS01 = CALCULATOR.getGammaParallelShiftCreditDefaultSwapOption(valuationTime, definition, vol, yieldCurve, hazardRateCurve, calibrationTenors, marketSpreads,
spreadCurveBump, spreadBumpType);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.GAMMA_CS01, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, gammaCS01));
}
}