ISDAHazardRateCurveFunction.java example

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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.calibration;

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 com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.cds.ISDAFunctionConstants;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;

/**
 * 
 */
public abstract class ISDAHazardRateCurveFunction extends AbstractFunction.NonCompiledInvoker {

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

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> yieldCurveNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE);
    if (yieldCurveNames == null || yieldCurveNames.size() != 1) {
      return null;
    }
    final Set<String> yieldCurveCalculationConfigNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    if (yieldCurveCalculationConfigNames == null || yieldCurveCalculationConfigNames.size() != 1) {
      return null;
    }
    final Set<String> yieldCurveCalculationMethodNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
    if (yieldCurveCalculationMethodNames == null || yieldCurveCalculationMethodNames.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ComputationTargetSpecification currencyTarget = ComputationTargetSpecification.of(FinancialSecurityUtils.getCurrency(target.getSecurity()));
    final String yieldCurveName = Iterables.getOnlyElement(yieldCurveNames);
    final String yieldCurveCalculationConfigName = Iterables.getOnlyElement(yieldCurveCalculationConfigNames);
    final String yieldCurveCalculationMethodName = Iterables.getOnlyElement(yieldCurveCalculationMethodNames);
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    final ValueRequirement yieldCurveRequirement = YieldCurveFunctionUtils.getCurveRequirement(currencyTarget, yieldCurveName, yieldCurveCalculationConfigName,
        yieldCurveCalculationMethodName);

    final ValueProperties.Builder spreadCurveProperties = ValueProperties.builder()
        .with(ValuePropertyNames.CURVE, spreadCurveName);
    final Set<String> spreadCurveShift = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT);
    if (spreadCurveShift != null && !spreadCurveShift.isEmpty()) {
      final Set<String> creditSpreadCurveShiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
      if (creditSpreadCurveShiftTypes == null || creditSpreadCurveShiftTypes.size() != 1) {
        return null;
      }
      spreadCurveProperties.with(PROPERTY_SPREAD_CURVE_SHIFT, spreadCurveShift).with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, creditSpreadCurveShiftTypes);
    }
    final ValueRequirement creditSpreadCurveRequirement = new ValueRequirement(ValueRequirementNames.CREDIT_SPREAD_CURVE, ComputationTargetSpecification.NULL, spreadCurveProperties.get());
    return Sets.newHashSet(yieldCurveRequirement, creditSpreadCurveRequirement);
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    final ValueProperties.Builder propertiesBuilder = createValueProperties()
        .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME);
    for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
      final ValueSpecification spec = entry.getKey();
      final ValueProperties.Builder inputPropertiesBuilder = spec.getProperties().copy();
      inputPropertiesBuilder.withoutAny(ValuePropertyNames.FUNCTION);
      if (spec.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
        propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE));
        inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE);
        propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_CONFIG, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
        inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
        propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD));
        inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD);
      } else if (spec.getValueName().equals(ValueRequirementNames.CREDIT_SPREAD_CURVE)) {
        propertiesBuilder.with(ValuePropertyNames.CURVE, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE));
        inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE);
      }
      final ValueProperties inputProperties = inputPropertiesBuilder.get();
      if (!inputProperties.isEmpty()) {
        for (final String propertyName : inputProperties.getProperties()) {
          propertiesBuilder.with(propertyName, inputProperties.getValues(propertyName));
        }
      }
    }
    final ValueProperties properties = propertiesBuilder.get();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    return Collections.singleton(new ValueSpecification(ValueRequirementNames.HAZARD_RATE_CURVE, targetSpec, properties));
  }

}