com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionParallelIR01Function.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionParallelIR01Function.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.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.creditdefaultswapoption.definition.CreditDefaultSwapOptionDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswapoption.greeks.IR01CreditDefaultSwapOption;
import com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.InterestRateBumpType;
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 ISDACreditDefaultSwapOptionParallelIR01Function extends ISDACreditDefaultSwapOptionIR01Function {
    private static final IR01CreditDefaultSwapOption CALCULATOR = new IR01CreditDefaultSwapOption();

    public ISDACreditDefaultSwapOptionParallelIR01Function() {
        super(ValueRequirementNames.IR01);
    }

    @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 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 double ir01 = CALCULATOR.getIR01ParallelShiftCreditDefaultSwap(valuationTime, definition, vol, yieldCurve, calibrationTenors, marketSpreads, interestRateCurveBump,
        //        interestRateBumpType);
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.IR01, target.toSpecification(),
                properties);
        return Collections.singleton(new ComputedValue(spec, 0));
    }

}