/**
* 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.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CALCULATION_CONFIG;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CALCULATION_METHOD;
import static com.opengamma.engine.value.ValuePropertyNames.FUNCTION;
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;
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;
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.Map;
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.BuySellProtection;
import com.opengamma.analytics.financial.credit.creditdefaultswap.StandardCDSCoupon;
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.AnalyticCDSPricer;
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.PointsUpFrontConverter;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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;
import com.opengamma.financial.security.FinancialSecurityUtils;
/**
*
*/
public class ISDACDXAsSingleNamePresentValueFunction extends ISDACDXAsSingleNameFunction {
private static final AnalyticCDSPricer PRICER = new AnalyticCDSPricer();
private static final PointsUpFrontConverter POINTS_UP_FRONT_CONVERTER = new PointsUpFrontConverter();
public ISDACDXAsSingleNamePresentValueFunction() {
super(ValueRequirementNames.PRESENT_VALUE);
}
@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 Object hazardRateCurveObject = inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
if (hazardRateCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get hazard rate curve");
}
final ISDACompliantCreditCurve hazardRateCurve = (ISDACompliantCreditCurve) hazardRateCurveObject;
final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(definition.getRecoveryRate(), definition.getCouponFrequency().getPeriod())
.with(definition.getBusinessDayAdjustmentConvention())
.with(definition.getCalendar()).with(definition.getStubType())
.withAccualDCC(definition.getDayCountFractionConvention());
double pv;
final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationDate.toLocalDate(), definition.getEffectiveDate().toLocalDate(), definition.getMaturityDate().toLocalDate());
if (definition instanceof LegacyCreditDefaultSwapDefinition) {
pv = PRICER.pv(pricingCDS, yieldCurve, hazardRateCurve, ((LegacyCreditDefaultSwapDefinition) definition).getParSpread()) * definition.getNotional();
} else if (definition instanceof StandardCreditDefaultSwapDefinition) {
pv = POINTS_UP_FRONT_CONVERTER.quotedSpreadToPUF(pricingCDS,
getCoupon(((StandardCreditDefaultSwapDefinition) definition).getPremiumLegCoupon()),
yieldCurve,
((StandardCreditDefaultSwapDefinition) definition).getQuotedSpread()) * definition.getNotional();
} else {
throw new OpenGammaRuntimeException("Unexpected cds type: " + definition.getClass().getSimpleName());
}
// SELL protection reverses directions of legs
pv = (definition.getBuySellProtection() == BuySellProtection.SELL) ? -pv : pv;
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, pv));
}
private double getCoupon(final StandardCDSCoupon coupon) {
switch (coupon) {
case _25bps:
return 0.0025;
case _100bps:
return 0.01;
case _125bps:
return 0.025;
case _300bps:
return 0.03;
case _500bps:
return 0.05;
case _750bps:
return 0.07;
case _1000bps:
return 0.1;
default:
throw new OpenGammaRuntimeException("Unknown coupon amount: " + coupon.name());
}
}
@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> 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 = "CDS_INDEX_" + security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
//TODO shouldn't need all of the yield curve properties
final String hazardRateCurveCalculationMethod = 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 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) {
final Set<String> creditSpreadCurveShiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
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
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueProperties.Builder propertiesBuilder = getCommonResultProperties();
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification spec = entry.getKey();
final ValueProperties.Builder inputPropertiesBuilder = spec.getProperties().copy();
inputPropertiesBuilder.withoutAny(FUNCTION);
final String valueName = spec.getValueName();
if (valueName.equals(ValueRequirementNames.YIELD_CURVE)) {
propertiesBuilder.with(PROPERTY_YIELD_CURVE, inputPropertiesBuilder.get().getValues(CURVE));
inputPropertiesBuilder.withoutAny(CURVE);
propertiesBuilder.with(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG, inputPropertiesBuilder.get().getValues(CURVE_CALCULATION_CONFIG));
inputPropertiesBuilder.withoutAny(CURVE_CALCULATION_CONFIG);
propertiesBuilder.with(PROPERTY_YIELD_CURVE_CALCULATION_METHOD, inputPropertiesBuilder.get().getValues(CURVE_CALCULATION_METHOD));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD);
} else if (valueName.equals(ValueRequirementNames.CREDIT_SPREAD_CURVE)) {
propertiesBuilder.with(PROPERTY_SPREAD_CURVE, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE);
} else if (valueName.equals(ValueRequirementNames.HAZARD_RATE_CURVE)) {
propertiesBuilder.with(PROPERTY_HAZARD_RATE_CURVE, inputPropertiesBuilder.get().getValues(CURVE));
inputPropertiesBuilder.withoutAny(CURVE);
propertiesBuilder.with(PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD, inputPropertiesBuilder.get().getValues(CURVE_CALCULATION_METHOD));
inputPropertiesBuilder.withoutAny(CURVE_CALCULATION_METHOD);
inputPropertiesBuilder.withoutAny(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
inputPropertiesBuilder.withoutAny(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
inputPropertiesBuilder.withoutAny(PROPERTY_YIELD_CURVE);
}
final ValueProperties inputProperties = inputPropertiesBuilder.get();
if (!inputProperties.isEmpty()) {
for (final String propertyName : inputProperties.getProperties()) {
propertiesBuilder.with(propertyName, inputProperties.getValues(propertyName));
}
}
}
if (labelResultWithCurrency()) {
propertiesBuilder.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode());
}
final ValueProperties properties = propertiesBuilder.get();
final ComputationTargetSpecification targetSpec = target.toSpecification();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, targetSpec, properties));
}
@Override
protected ValueProperties.Builder getCommonResultProperties() {
return createValueProperties()
.withAny(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
}
@Override
protected boolean labelResultWithCurrency() {
return true;
}
}