com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedIR01CDSFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedIR01CDSFunction.java

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/**
 * 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 java.util.Collections;
import java.util.Set;

import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.credit.bumpers.InterestRateBumpers;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapBucketedIR01Calculator;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalytic;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.FastCreditCurveBuilder;
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.ISDACompliantYieldCurveBuild;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.InterestRateSensitivityCalculator;
import com.opengamma.analytics.financial.credit.isdayieldcurve.InterestRateBumpType;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionInputs;
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.LocalDateLabelledMatrix1D;
import com.opengamma.financial.analytics.model.credit.CreditFunctionUtils;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;

/**
 * 
 */
public class StandardVanillaBucketedIR01CDSFunction extends StandardVanillaIR01CDSFunction {
    private static final InterestRateSensitivityCalculator CALCULATOR = new InterestRateSensitivityCalculator();

    public StandardVanillaBucketedIR01CDSFunction() {
        super(ValueRequirementNames.BUCKETED_IR01);
    }

    @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 LocalDate[] dates = new LocalDate[yieldCurve.getNumberOfKnots()];

        final double[] ir01 = getBucketedIR01(definition, yieldCurve, valuationDate, properties, hazardCurve,
                analytic, dates);

        //final String[] labels = CreditFunctionUtils.getFormattedBucketedXAxis(dates, valuationDate);
        final LocalDateLabelledMatrix1D ir01Matrix = new LocalDateLabelledMatrix1D(dates, ir01);
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BUCKETED_IR01,
                target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, ir01Matrix));
    }

    public static double[] getBucketedIR01(CreditDefaultSwapDefinition definition,
            ISDACompliantYieldCurve yieldCurve, ZonedDateTime valuationDate, ValueProperties properties,
            ISDACompliantCreditCurve hazardCurve, CDSAnalytic analytic, LocalDate[] dates) {
        final Double interestRateCurveBump = Double.valueOf(Iterables.getOnlyElement(
                properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_INTEREST_RATE_CURVE_BUMP)));
        //final InterestRateBumpType interestRateBumpType = InterestRateBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_INTEREST_RATE_BUMP_TYPE)));
        //final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));

        final double[] ir01 = CALCULATOR.bucketedIR01(analytic, getCoupon(definition), hazardCurve, yieldCurve);
        for (int i = 0; i < ir01.length; i++) {
            ir01[i] *= interestRateCurveBump * definition.getNotional();
            dates[i] = valuationDate.plusDays((long) yieldCurve.getTimeAtIndex(i) * 365).toLocalDate();
        }
        return ir01;
    }

}