com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaParallelCS01CDSFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaParallelCS01CDSFunction.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.Period;
import org.threeten.bp.ZonedDateTime;

import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
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.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.QuotedSpread;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.SpreadSensitivityCalculator;
import com.opengamma.analytics.financial.model.BumpType;
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.model.credit.CreditInstrumentPropertyNamesAndValues;

/**
 * 
 */
public class StandardVanillaParallelCS01CDSFunction extends StandardVanillaCS01CDSFunction {
    private static final SpreadSensitivityCalculator CALCULATOR = new SpreadSensitivityCalculator();

    public StandardVanillaParallelCS01CDSFunction() {
        super(ValueRequirementNames.CS01);
    }

    @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) {
        //TODO: bump type
        Double bump = Double.valueOf(Iterables.getOnlyElement(
                properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
        double cs01 = parallelCS01(definition, yieldCurve, times, marketSpreads, analytic, bump * 1e-4);

        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.CS01, target.toSpecification(),
                properties);
        return Collections.singleton(new ComputedValue(spec, cs01));
    }

    public static double parallelCS01(CreditDefaultSwapDefinition definition, ISDACompliantYieldCurve yieldCurve,
            ZonedDateTime[] times, double[] marketSpreads, CDSAnalytic analytic, double fracBump) {
        double cs01;
        if (definition instanceof StandardCreditDefaultSwapDefinition) {
            StandardCreditDefaultSwapDefinition cds = (StandardCreditDefaultSwapDefinition) definition;
            cs01 = CALCULATOR.parallelCS01(analytic,
                    new QuotedSpread(cds.getQuotedSpread() * 1e-4, getCoupon(cds.getPremiumLegCoupon())),
                    yieldCurve, fracBump);
        } else if (definition instanceof LegacyCreditDefaultSwapDefinition) {
            final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(definition.getRecoveryRate(),
                    definition.getCouponFrequency().getPeriod())
                            .with(definition.getBusinessDayAdjustmentConvention()).with(definition.getCalendar())
                            .with(definition.getStubType())
                            .withAccualDCC(definition.getDayCountFractionConvention());
            Period[] tenors = new Period[times.length];
            for (int i = 0; i < times.length; i++) {
                tenors[i] = Period.between(definition.getStartDate().toLocalDate(), times[i].toLocalDate())
                        .withDays(0);
            }
            CDSAnalytic[] pillars = analyticFactory.makeIMMCDS(definition.getStartDate().toLocalDate(), tenors);
            cs01 = CALCULATOR.parallelCS01FromParSpreads(analytic,
                    ((LegacyCreditDefaultSwapDefinition) definition).getParSpread() * 1e-4, yieldCurve, pillars,
                    marketSpreads, fracBump, BumpType.ADDITIVE);
        } else {
            throw new OpenGammaRuntimeException("Unexpected cds type: " + definition.getClass().getSimpleName());
        }
        return cs01 * definition.getNotional() * 1e-4;
    }

}