/**
* 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.cdx;
import static com.opengamma.engine.value.ValuePropertyNames.CALCULATION_METHOD;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.CDX_AS_SINGLE_NAME_ISDA;
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 java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.legacy.LegacyVanillaCreditDefaultSwapDefinition;
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.math.curve.NodalObjectsCurve;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.organization.OrganizationSource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.CreditDefaultIndexSwapSecurityToProxyConverter;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.credit.CreditFunctionUtils;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor;
import com.opengamma.financial.analytics.model.credit.CreditSecurityToRecoveryRateVisitor;
import com.opengamma.financial.analytics.model.credit.IMMDateGenerator;
import com.opengamma.financial.convention.HolidaySourceCalendarAdapter;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.credit.CdsRecoveryRateIdentifier;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.cds.CreditDefaultSwapIndexDefinitionSecurity;
import com.opengamma.financial.security.cds.CreditDefaultSwapIndexSecurity;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.ParallelArrayBinarySort;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.time.Tenor;
/**
*
*/
//TODO rename to make clear that these functions use the ISDA methodology (specifically, for effective dates)
public abstract class ISDACDXAsSingleNameFunction extends AbstractFunction.NonCompiledInvoker {
private static final BusinessDayConvention FOLLOWING = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private final String[] _valueRequirements;
public ISDACDXAsSingleNameFunction(final String... valueRequirements) {
ArgumentChecker.notNull(valueRequirements, "value requirements");
_valueRequirements = valueRequirements;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
final CreditDefaultIndexSwapSecurityToProxyConverter converter = new CreditDefaultIndexSwapSecurityToProxyConverter(holidaySource, regionSource, organizationSource);
final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
final CreditDefaultSwapIndexSecurity security = (CreditDefaultSwapIndexSecurity) target.getSecurity();
final CreditDefaultSwapIndexDefinitionSecurity underlyingDefinition = (CreditDefaultSwapIndexDefinitionSecurity) securitySource.getSingle(ExternalIdBundle.of(security.getReferenceEntity()));
if (underlyingDefinition == null) {
throw new OpenGammaRuntimeException("Could not get underlying index definition");
}
final double recoveryRate = underlyingDefinition.getRecoveryRate();
final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
LegacyVanillaCreditDefaultSwapDefinition definition = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
definition = definition.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
definition = definition.withRecoveryRate(recoveryRate);
final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (yieldCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get yield curve");
}
final Object spreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
if (spreadCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get credit spread curve");
}
final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) yieldCurveObject;
final NodalObjectsCurve<?, ?> spreadCurve = (NodalObjectsCurve<?, ?>) spreadCurveObject;
final Tenor[] tenors = CreditFunctionUtils.getTenors(spreadCurve.getXData());
final Double[] marketSpreadObjects = CreditFunctionUtils.getSpreads(spreadCurve.getYData());
ParallelArrayBinarySort.parallelBinarySort(tenors, marketSpreadObjects);
final int n = tenors.length;
final ZonedDateTime[] times = new ZonedDateTime[n];
final double[] marketSpreads = new double[n];
for (int i = 0; i < n; i++) {
times[i] = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
}
ISDACompliantCreditCurve hazardCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(0, definition.getCouponFrequency().getPeriod())
.with(definition.getBusinessDayAdjustmentConvention())
.with(definition.getCalendar()).with(definition.getStubType())
.withAccualDCC(definition.getDayCountFractionConvention());
final CDSAnalytic pricingCDS = analyticFactory.makeCDS(definition.getStartDate().toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
.with(ValuePropertyNames.FUNCTION, getUniqueId())
.get();
return getComputedValue(definition, yieldCurve, times, marketSpreads, valuationTime, target, properties, inputs, hazardCurve, pricingCDS);
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_INDEX_SECURITY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = ValueProperties.all();
final Set<ValueSpecification> results = new HashSet<>();
for (final String valueRequirement : _valueRequirements) {
results.add(new ValueSpecification(valueRequirement, target.toSpecification(), properties));
}
return results;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
//TODO add check for calculation method = ISDA
final Set<String> yieldCurveNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE);
if (yieldCurveNames == null || yieldCurveNames.size() != 1) {
return null;
}
final Set<String> yieldCurveCalculationConfigNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
if (yieldCurveCalculationConfigNames == null || yieldCurveCalculationConfigNames.size() != 1) {
return null;
}
final Set<String> yieldCurveCalculationMethodNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
if (yieldCurveCalculationMethodNames == null || yieldCurveCalculationMethodNames.size() != 1) {
return null;
}
final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
final CreditDefaultSwapIndexSecurity security = (CreditDefaultSwapIndexSecurity) target.getSecurity();
final String spreadCurveName = "CDS_INDEX_" + security.accept(identifierVisitor).getUniqueId().getValue();
// final Set<String> spreadCurveNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE);
// if (spreadCurveNames == null || spreadCurveNames.size() != 1) {
// return null;
// }
final ComputationTargetSpecification currencyTarget = ComputationTargetSpecification.of(FinancialSecurityUtils.getCurrency(target.getSecurity()));
final String yieldCurveName = Iterables.getOnlyElement(yieldCurveNames);
final String yieldCurveCalculationConfigName = Iterables.getOnlyElement(yieldCurveCalculationConfigNames);
final String yieldCurveCalculationMethodName = Iterables.getOnlyElement(yieldCurveCalculationMethodNames);
// final String spreadCurveName = Iterables.getOnlyElement(spreadCurveNames);
final ValueRequirement yieldCurveRequirement = YieldCurveFunctionUtils.getCurveRequirement(currencyTarget, yieldCurveName, yieldCurveCalculationConfigName,
yieldCurveCalculationMethodName);
final Set<String> creditSpreadCurveShifts = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT);
final ValueProperties.Builder spreadCurveProperties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, spreadCurveName);
if (creditSpreadCurveShifts != null) {
final Set<String> creditSpreadCurveShiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
if (creditSpreadCurveShiftTypes == null || creditSpreadCurveShiftTypes.size() != 1) {
return null;
}
spreadCurveProperties.with(PROPERTY_SPREAD_CURVE_SHIFT, creditSpreadCurveShifts).with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, creditSpreadCurveShiftTypes);
}
final ValueRequirement creditSpreadCurveRequirement = new ValueRequirement(ValueRequirementNames.CREDIT_SPREAD_CURVE, ComputationTargetSpecification.NULL, spreadCurveProperties.get());
return Sets.newHashSet(yieldCurveRequirement, creditSpreadCurveRequirement);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueProperties.Builder propertiesBuilder = getCommonResultProperties();
propertiesBuilder.with(CALCULATION_METHOD, CDX_AS_SINGLE_NAME_ISDA);
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification spec = entry.getKey();
final ValueProperties.Builder inputPropertiesBuilder = spec.getProperties().copy();
inputPropertiesBuilder.withoutAny(ValuePropertyNames.FUNCTION);
if (spec.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE);
propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_CONFIG, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD);
} else if (spec.getValueName().equals(ValueRequirementNames.CREDIT_SPREAD_CURVE)) {
propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE);
}
if (!inputPropertiesBuilder.get().isEmpty()) {
for (final String propertyName : inputPropertiesBuilder.get().getProperties()) {
propertiesBuilder.with(propertyName, inputPropertiesBuilder.get().getValues(propertyName));
}
}
}
if (labelResultWithCurrency()) {
propertiesBuilder.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode());
}
final ValueProperties properties = propertiesBuilder.get();
final ComputationTargetSpecification targetSpec = target.toSpecification();
final Set<ValueSpecification> results = new HashSet<>();
for (final String valueRequirement : _valueRequirements) {
results.add(new ValueSpecification(valueRequirement, targetSpec, properties));
}
return results;
}
protected abstract Set<ComputedValue> getComputedValue(CreditDefaultSwapDefinition definition,
ISDACompliantYieldCurve yieldCurve,
ZonedDateTime[] times,
double[] marketSpreads,
ZonedDateTime valuationTime,
ComputationTarget target,
ValueProperties properties,
FunctionInputs inputs,
ISDACompliantCreditCurve hazardCurve,
CDSAnalytic analytic);
protected abstract ValueProperties.Builder getCommonResultProperties();
protected abstract boolean labelResultWithCurrency();
}