/**
* 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 java.util.ArrayList;
import java.util.Arrays;
import java.util.Collection;
import java.util.List;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.credit.creditdefaultswap.StandardCDSQuotingConvention;
import com.opengamma.analytics.financial.credit.isdastandardmodel.CDSQuoteConvention;
import com.opengamma.analytics.financial.credit.isdastandardmodel.MarketQuoteConverter;
import com.opengamma.analytics.financial.credit.isdastandardmodel.ParSpread;
import com.opengamma.analytics.financial.credit.isdastandardmodel.PointsUpFront;
import com.opengamma.analytics.financial.credit.isdastandardmodel.QuotedSpread;
import com.opengamma.analytics.math.curve.NodalTenorDoubleCurve;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.Tenor;
/**
*
*/
public class SpreadCurveFunctions {
//private final static PresentValueCreditDefaultSwap cdsPresentValueCalculator = new PresentValueCreditDefaultSwap();
// private static PresentValueStandardCreditDefaultSwap cdsPresentValueCalculator = new PresentValueStandardCreditDefaultSwap();
private static final Collection<Tenor> BUCKET_TENORS = new ArrayList<>();
private static final double s_tenminus4 = 1e-4;
private static final double s_tenminus2 = 1e-2;
private static MarketQuoteConverter PUF_converter = new MarketQuoteConverter();
static {
BUCKET_TENORS.add(Tenor.SIX_MONTHS);
BUCKET_TENORS.add(Tenor.ONE_YEAR);
BUCKET_TENORS.add(Tenor.TWO_YEARS);
BUCKET_TENORS.add(Tenor.THREE_YEARS);
BUCKET_TENORS.add(Tenor.FOUR_YEARS);
BUCKET_TENORS.add(Tenor.FIVE_YEARS);
BUCKET_TENORS.add(Tenor.SIX_YEARS);
BUCKET_TENORS.add(Tenor.SEVEN_YEARS);
BUCKET_TENORS.add(Tenor.EIGHT_YEARS);
BUCKET_TENORS.add(Tenor.NINE_YEARS);
BUCKET_TENORS.add(Tenor.TEN_YEARS);
BUCKET_TENORS.add(Tenor.of(Period.ofYears(15)));
BUCKET_TENORS.add(Tenor.of(Period.ofYears(20)));
BUCKET_TENORS.add(Tenor.of(Period.ofYears(30)));
}
public static final ZonedDateTime[] getPillarDates(final ZonedDateTime now, final String inputs) {
if (inputs == null || inputs.isEmpty()) {
return getDefaultBuckets(now);
}
final List<ZonedDateTime> dates = new ArrayList<>();
for (final String tenorOrDate : inputs.split(",")) {
if (tenorOrDate.startsWith("P")) { // tenor
final Tenor tenor = Tenor.of(Period.parse(tenorOrDate));
dates.add(IMMDateGenerator.getNextIMMDate(now, tenor));
} else { // date
final LocalDate date = LocalDate.parse(tenorOrDate);
dates.add(date.atStartOfDay(now.getZone()));
}
}
return dates.toArray(new ZonedDateTime[dates.size()]);
}
public static final ZonedDateTime[] getPillarDates(final ZonedDateTime now, final Tenor[] tenors) {
final ZonedDateTime[] dates = new ZonedDateTime[tenors.length];
for (int i = 0; i < tenors.length; i++) {
dates[i] = IMMDateGenerator.getNextIMMDate(now, tenors[i]);
}
return dates;
}
public static final ZonedDateTime[] getDefaultBuckets(final ZonedDateTime now) {
final ZonedDateTime[] dates = new ZonedDateTime[BUCKET_TENORS.size()];
int i = 0;
for (final Tenor tenor : BUCKET_TENORS) {
dates[i++] = IMMDateGenerator.getNextIMMDate(now, tenor);
}
return dates;
}
public static final Tenor[] getBuckets(final String inputs) {
if (inputs == null || inputs.isEmpty()) {
return BUCKET_TENORS.toArray(new Tenor[BUCKET_TENORS.size()]);
}
final List<Tenor> tenors = new ArrayList<>();
for (final String tenorOrDate : inputs.split(",")) {
if (tenorOrDate.startsWith("P")) { // tenor
final Tenor tenor = new Tenor(Period.parse(tenorOrDate));
tenors.add(tenor);
} else { // date
throw new OpenGammaRuntimeException("Unsupported");
}
}
return tenors.toArray(new Tenor[tenors.size()]);
}
/**
* Get spread curve for the given tenors
*
* @param spreadCurve the spread curve
* @param bucketDates the bucket dates
* @param quoteConvention the convention, spread or puf
* @return the spread curve
*/
public static double[] getSpreadCurveNew(final NodalTenorDoubleCurve spreadCurve, final ZonedDateTime[] bucketDates,
final ZonedDateTime startDate, final StandardCDSQuotingConvention quoteConvention) {
ArgumentChecker.notNull(spreadCurve, "spread curve");
ArgumentChecker.notNull(bucketDates, "bucket dates");
ArgumentChecker.isTrue(spreadCurve.size() > 0, "spread curve had no values");
final double[] spreads = new double[bucketDates.length];
// PUF normalised to 1%, spreads to 1 BP
final double multiplier = StandardCDSQuotingConvention.POINTS_UPFRONT.equals(quoteConvention) ? s_tenminus2 : s_tenminus4;
// take spreads from subset of dates that we want
int i = 0;
for (final Tenor tenor : spreadCurve.getXData()) {
final ZonedDateTime bucketDate = startDate.plus(tenor.getPeriod());
final int index = Arrays.binarySearch(bucketDates, bucketDate);
if (index >= 0) {
spreads[i++] = spreadCurve.getYValue(tenor) * multiplier;
}
}
// if spread curve ends before required buckets take last spread entry
for (int j = spreads.length - 1; j >= 0; j--) {
final double lastspread = spreadCurve.getYData()[spreadCurve.getYData().length - 1] * multiplier;
if (spreads[j] == 0) {
spreads[j] = lastspread;
} else {
break;
}
}
return spreads;
}
/**
* Get analytic quote objects for the spread / credit curve.
* If priced cds matures on an IMM date set spreads to quoted otherwise take them as par.
*
* If quoteConvention is SPREAD, set quoted vs. par spread based on IMM maturity
*
* @param pricedCDSMaturity the maturity of the priced cds
* @param values the quotes
* @param quoteConvention the quote convention e.g. SPREAD or PUF
* @param normalise control whether to normalise spreads to fractional vlaues
* @return the cds quote conventions
*/
public static CDSQuoteConvention[] getQuotes(final ZonedDateTime pricedCDSMaturity, final double[] values, final double coupon, final StandardCDSQuotingConvention quoteConvention, final boolean normalise) {
final CDSQuoteConvention[] result = new CDSQuoteConvention[values.length];
// PUF normalised to 1%, spreads to 1 BP
double multiplier = 1;
if (normalise) {
multiplier = StandardCDSQuotingConvention.POINTS_UPFRONT.equals(quoteConvention) ? s_tenminus2 : s_tenminus4;
}
for (int i = 0; i < values.length; i++) {
if (StandardCDSQuotingConvention.SPREAD.equals(quoteConvention)) {
result[i] = IMMDateGenerator.isIMMDate(pricedCDSMaturity) ? new QuotedSpread(coupon * s_tenminus4, values[i] * multiplier) : new ParSpread(values[i] * multiplier);
} else if (StandardCDSQuotingConvention.POINTS_UPFRONT.equals(quoteConvention)) {
result[i] = new PointsUpFront(coupon * s_tenminus4, values[i] * multiplier);
} else {
throw new OpenGammaRuntimeException("Unsupported quote type: " + quoteConvention);
}
}
return result;
}
}