com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionRR01Function.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionRR01Function.java

Source

/**
 * 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.bumpers.RecoveryRateBumpType;
import com.opengamma.analytics.financial.credit.creditdefaultswapoption.definition.CreditDefaultSwapOptionDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswapoption.greeks.RecRate01CreditDefaultSwapOption;
import com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueProperties.Builder;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;

/**
 * 
 */
public class ISDACreditDefaultSwapOptionRR01Function extends ISDACreditDefaultSwapOptionFunction {
    private static final RecRate01CreditDefaultSwapOption CALCULATOR = new RecRate01CreditDefaultSwapOption();

    public ISDACreditDefaultSwapOptionRR01Function() {
        super(ValueRequirementNames.RR01);
    }

    @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 recoveryRateCurveBump = Double.valueOf(Iterables.getOnlyElement(
                properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP)));
        final RecoveryRateBumpType recoveryRateBumpType = RecoveryRateBumpType.valueOf(Iterables.getOnlyElement(
                properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE)));
        final double rr01 = CALCULATOR.getRecoveryRate01CreditDefaultSwapOption(valuationTime, definition, vol,
                yieldCurve, hazardRateCurve, calibrationTenors, marketSpreads, recoveryRateCurveBump,
                recoveryRateBumpType);
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.RR01, target.toSpecification(),
                properties);
        return Collections.singleton(new ComputedValue(spec, rr01));
    }

    @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> recoveryRateBumps = constraints
                .getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP);
        if (recoveryRateBumps == null || recoveryRateBumps.size() != 1) {
            return null;
        }
        final Set<String> recoveryRateBumpTypes = constraints
                .getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE);
        if (recoveryRateBumpTypes == null || recoveryRateBumpTypes.size() != 1) {
            return null;
        }
        return requirements;
    }

    @Override
    protected boolean labelResultWithCurrency() {
        return true;
    }

    @Override
    protected Builder getCommonResultProperties() {
        return createValueProperties()
                .withAny(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP)
                .withAny(CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE);
    }

}