com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameParallelCS01Function.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameParallelCS01Function.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.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;
import com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaParallelCS01CDSFunction;

/**
 * 
 */
public class ISDACDXAsSingleNameParallelCS01Function extends ISDACDXAsSingleNameCS01Function {
    private static final SpreadSensitivityCalculator CALCULATOR = new SpreadSensitivityCalculator();

    public ISDACDXAsSingleNameParallelCS01Function() {
        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 = StandardVanillaParallelCS01CDSFunction.parallelCS01(definition, yieldCurve, times,
                marketSpreads, analytic, bump * 1e-4);
        //final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
        //final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
        //final PriceType priceType = PriceType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE)));
        //final double cs01 = CALCULATOR.getCS01ParallelShiftCreditDefaultSwap(valuationDate, definition, yieldCurve, times, marketSpreads, spreadCurveBump,
        //    spreadBumpType, priceType);
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.CS01, target.toSpecification(),
                properties);
        return Collections.singleton(new ComputedValue(spec, cs01));
    }

}