com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameJumpToDefaultFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameJumpToDefaultFunction.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.cdx;

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.PriceType;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapValueOnDefaultCalculator;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.engine.ComputationTarget;
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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;

/**
 * 
 */
public class ISDACDXAsSingleNameJumpToDefaultFunction extends ISDACDXAsSingleNameFunction {
    private static final ISDACreditDefaultSwapValueOnDefaultCalculator CALCULATOR = new ISDACreditDefaultSwapValueOnDefaultCalculator();

    public ISDACDXAsSingleNameJumpToDefaultFunction() {
        super(ValueRequirementNames.JUMP_TO_DEFAULT);
    }

    @Override
    protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapDefinition definition,
            final ISDADateCurve yieldCurve, final ZonedDateTime[] times, final double[] marketSpreads,
            final ZonedDateTime valuationDate, final ComputationTarget target, final ValueProperties properties,
            final FunctionInputs inputs) {
        final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(
                properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));
        final double jumpToDefault = CALCULATOR.getValueOnDefaultCreditDefaultSwap(valuationDate, definition,
                yieldCurve, times, marketSpreads, priceType);
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.JUMP_TO_DEFAULT,
                target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, jumpToDefault));
    }

    @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(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
        if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
            return null;
        }
        return requirements;
    }

    @Override
    protected ValueProperties.Builder getCommonResultProperties() {
        return createValueProperties().withAny(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
    }

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