com.opengamma.financial.analytics.model.credit.ISDACreditSpreadCurveShiftFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.credit.ISDACreditSpreadCurveShiftFunction.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;

import static com.opengamma.engine.value.ValuePropertyNames.FUNCTION;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.ADDITIVE_SPREAD_CURVE_SHIFT;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.MULTIPLICATIVE_SPREAD_CURVE_SHIFT;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_SHIFT;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_SHIFT_TYPE;

import java.util.Collections;
import java.util.Map;
import java.util.Set;

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.math.curve.NodalObjectsCurve;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
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.util.async.AsynchronousExecution;
import com.opengamma.util.time.Tenor;

/**
 * 
 */
public class ISDACreditSpreadCurveShiftFunction extends AbstractFunction.NonCompiledInvoker {
    private static final Logger s_logger = LoggerFactory.getLogger(ISDACreditSpreadCurveFunction.class);
    private static final String PREFIX = "Shifted ";

    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
            final ComputationTarget target, final Set<ValueRequirement> desiredValues)
            throws AsynchronousExecution {
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueSpecification input = Iterables.getOnlyElement(inputs.getAllValues()).getSpecification();
        final Object creditSpreadCurveObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE);
        if (creditSpreadCurveObject == null) {
            throw new OpenGammaRuntimeException("Could not get credit spread curve");
        }
        @SuppressWarnings("unchecked")
        final NodalObjectsCurve<Tenor, Double> creditSpreadCurve = (NodalObjectsCurve<Tenor, Double>) creditSpreadCurveObject;
        final String shiftProperty = desiredValue.getConstraint(PROPERTY_SPREAD_CURVE_SHIFT);
        final String shiftTypeProperty = desiredValue.getConstraint(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
        final double shift = Double.parseDouble(shiftProperty);
        final Tenor[] xs = creditSpreadCurve.getXData();
        final Double[] ys = creditSpreadCurve.getYData();
        final Double[] shiftedYs = new Double[ys.length];
        switch (shiftTypeProperty) {
        case ADDITIVE_SPREAD_CURVE_SHIFT:
            for (int i = 0; i < ys.length; i++) {
                shiftedYs[i] = ys[i] + shift;
            }
            break;
        case MULTIPLICATIVE_SPREAD_CURVE_SHIFT:
            for (int i = 0; i < ys.length; i++) {
                shiftedYs[i] = ys[i] * (1 + shift / 100.);
            }
            break;
        default:
            throw new OpenGammaRuntimeException("Spread curve shift type not recognised" + shiftTypeProperty);
        }
        final String name = PREFIX + creditSpreadCurve.getName();
        final NodalObjectsCurve<Tenor, Double> shiftedCurve = NodalObjectsCurve.from(xs, shiftedYs, name);
        final ValueProperties properties = createValueProperties(input)
                .with(PROPERTY_SPREAD_CURVE_SHIFT, shiftProperty)
                .with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, shiftTypeProperty).get();
        return Collections.singleton(new ComputedValue(
                new ValueSpecification(input.getValueName(), input.getTargetSpecification(), properties),
                shiftedCurve));
    }

    @Override
    public ComputationTargetType getTargetType() {
        return ComputationTargetType.NULL;
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target) {
        return Collections.singleton(new ValueSpecification(ValueRequirementNames.CREDIT_SPREAD_CURVE,
                target.toSpecification(), ValueProperties.all()));
    }

    @Override
    public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context,
            final ComputationTarget target, final ValueRequirement desiredValue) {
        final ValueProperties constraints = desiredValue.getConstraints();
        final Set<String> shifts = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT);
        if (shifts == null || shifts.isEmpty()) {
            return null;
        }
        final Set<String> shiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
        if (shiftTypes == null || shiftTypes.isEmpty()) {
            return null;
        }
        final String shiftType = Iterables.getOnlyElement(shiftTypes);
        if (!(shiftType.equals(ADDITIVE_SPREAD_CURVE_SHIFT)
                || shiftType.equals(MULTIPLICATIVE_SPREAD_CURVE_SHIFT))) {
            s_logger.error("Spread curve shift type {} not recognised", shiftType);
            return null;
        }
        final ValueProperties properties = constraints.copy().withoutAny(PROPERTY_SPREAD_CURVE_SHIFT)
                .withoutAny(PROPERTY_SPREAD_CURVE_SHIFT_TYPE).get();
        return Collections
                .singleton(new ValueRequirement(desiredValue.getValueName(), target.toSpecification(), properties));
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
        final ValueSpecification input = Iterables.getOnlyElement(inputs.keySet());
        final ValueProperties properties = createValueProperties(input).withAny(PROPERTY_SPREAD_CURVE_SHIFT)
                .withAny(PROPERTY_SPREAD_CURVE_SHIFT_TYPE).get();
        return Collections.singleton(
                new ValueSpecification(input.getValueName(), input.getTargetSpecification(), properties));
    }

    private ValueProperties.Builder createValueProperties(final ValueSpecification input) {
        return input.getProperties().copy().withoutAny(FUNCTION).with(FUNCTION, getUniqueId());
    }

}