/**
* 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.isdanew;
import java.util.Collection;
import java.util.Collections;
import java.util.HashSet;
import java.util.Set;
import java.util.concurrent.atomic.AtomicLong;
import org.apache.commons.lang.ArrayUtils;
import org.threeten.bp.Period;
import org.threeten.bp.ZoneId;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.credit.BuySellProtection;
import com.opengamma.analytics.financial.credit.creditdefaultswap.StandardCDSQuotingConvention;
import com.opengamma.analytics.financial.credit.isdastandardmodel.AnalyticCDSPricer;
import com.opengamma.analytics.financial.credit.isdastandardmodel.CDSAnalytic;
import com.opengamma.analytics.financial.credit.isdastandardmodel.CDSQuoteConvention;
import com.opengamma.analytics.financial.credit.isdastandardmodel.FiniteDifferenceSpreadSensitivityCalculator;
import com.opengamma.analytics.financial.credit.isdastandardmodel.IMMDateLogic;
import com.opengamma.analytics.financial.credit.isdastandardmodel.ISDACompliantCreditCurve;
import com.opengamma.analytics.financial.credit.isdastandardmodel.ISDACompliantYieldCurve;
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.financial.model.BumpType;
import com.opengamma.analytics.math.curve.NodalTenorDoubleCurve;
import com.opengamma.core.AbstractSourceWithExternalBundle;
import com.opengamma.core.change.ChangeManager;
import com.opengamma.core.change.DummyChangeManager;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.Region;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction.NonCompiledInvoker;
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.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.TenorLabelledMatrix1D;
import com.opengamma.financial.analytics.model.cds.ISDAFunctionConstants;
import com.opengamma.financial.analytics.model.credit.CreditSecurityToRecoveryRateVisitor;
import com.opengamma.financial.analytics.model.credit.SpreadCurveFunctions;
import com.opengamma.financial.credit.CdsRecoveryRateIdentifier;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.cds.CreditDefaultSwapSecurity;
import com.opengamma.financial.security.cds.LegacyVanillaCDSSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.id.ObjectId;
import com.opengamma.id.UniqueId;
import com.opengamma.id.VersionCorrection;
import com.opengamma.master.region.ManageableRegion;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.credit.CreditCurveIdentifier;
import com.opengamma.util.i18n.Country;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
//TODO Check bucketed cs01 in desired outputs before calcing as expensive
/**
* Abstract class for cds functions that require ISDA and spread curves.
*/
public class ISDACompliantCDSFunction extends NonCompiledInvoker {
private final String[] _valueRequirements = new String[] {ValueRequirementNames.ACCRUED_DAYS, ValueRequirementNames.ACCRUED_PREMIUM,
ValueRequirementNames.POINTS_UPFRONT, ValueRequirementNames.CLEAN_PRESENT_VALUE, ValueRequirementNames.DIRTY_PRESENT_VALUE, ValueRequirementNames.CLEAN_PRICE,
ValueRequirementNames.QUOTED_SPREAD, ValueRequirementNames.UPFRONT_AMOUNT, ValueRequirementNames.BUCKETED_CS01, ValueRequirementNames.PARALLEL_CS01, ValueRequirementNames.PRINCIPAL};
public static double ONE_BPS = 1e-4; // fractional 1 BPS
private HolidaySource _holidaySource; //OpenGammaCompilationContext.getHolidaySource(context);
private RegionSource _regionSource;
private static final MarketQuoteConverter POINTS_UP_FRONT_CONVERTER = new MarketQuoteConverter();
protected static final AnalyticCDSPricer PRICER = new AnalyticCDSPricer();
public static final FiniteDifferenceSpreadSensitivityCalculator CALCULATOR = new FiniteDifferenceSpreadSensitivityCalculator();
@Override
public void init(final FunctionCompilationContext context) {
// using hardcoded region and calendar for now
_holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
_regionSource = new TestRegionSource(getTestRegion()); //OpenGammaCompilationContext.getRegionSource(context);
//_converter = new CreditDefaultSwapSecurityConverterDeprecated(holidaySource, regionSource);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
final ValueRequirement requirement = desiredValues.iterator().next();
final ValueProperties properties = requirement.getConstraints().copy().get();
final LegacyVanillaCDSSecurity security = (LegacyVanillaCDSSecurity) target.getSecurity();
//LegacyVanillaCreditDefaultSwapDefinition cds = _converter.visitLegacyVanillaCDSSecurity(security);
final ValueRequirement desiredValue = desiredValues.iterator().next(); // all same constraints
final String quoteConventionString = desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
final StandardCDSQuotingConvention quoteConvention = StandardCDSQuotingConvention.parse(quoteConventionString);
final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(
executionContext.getSecuritySource()));
Object recoveryRateObject = inputs.getValue(new ValueRequirement("PX_LAST",
ComputationTargetType.PRIMITIVE,
recoveryRateIdentifier.getExternalId()));
if (recoveryRateObject == null) {
throw new OpenGammaRuntimeException("Could not get recovery rate");
//s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
//recoveryRateObject = 0.4;
}
final double recoveryRate = (Double) recoveryRateObject;
// get the isda curve
final Object isdaObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (isdaObject == null) {
throw new OpenGammaRuntimeException("Couldn't get isda curve");
}
final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) isdaObject;
// spreads
NodalTenorDoubleCurve spreadObject = (NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.BUCKETED_SPREADS);
if (spreadObject == null) {
throw new OpenGammaRuntimeException("Unable to get spreads");
}
final double[] spreads = ArrayUtils.toPrimitive(spreadObject.getYData());
//final String pillarString = IMMDateGenerator.isIMMDate(security.getMaturityDate()) ? requirement.getConstraint(ISDAFunctionConstants.ISDA_BUCKET_TENORS) : ISDACompliantCreditCurveFunction.NON_IMM_PILLAR_TENORS;
final ZonedDateTime[] bucketDates = SpreadCurveFunctions.getPillarDates(now, spreadObject.getXData());
final CDSQuoteConvention[] quotes = SpreadCurveFunctions.getQuotes(security.getMaturityDate(), spreads, security.getParSpread(), quoteConvention, false);
// spreads
NodalTenorDoubleCurve pillarObject = (NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.PILLAR_SPREADS);
if (pillarObject == null) {
throw new OpenGammaRuntimeException("Unable to get pillars");
}
// CDS analytics for credit curve (possible performance improvement if earlier result obtained)
//final LegacyVanillaCreditDefaultSwapDefinition curveCDS = cds.withStartDate(now);
//security.setStartDate(now); // needed for curve instruments
final CDSAnalytic[] bucketCDSs = new CDSAnalytic[bucketDates.length];
for (int i = 0; i < bucketCDSs.length; i++) {
//security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, security.getStartDate().toLocalDate(), bucketDates[i].toLocalDate(), recoveryRate);
bucketCDSs[i] = security.accept(visitor);
}
final ZonedDateTime[] pillarDates = SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
for (int i = 0; i < pillarCDSs.length; i++) {
//security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, security.getStartDate().toLocalDate(), pillarDates[i].toLocalDate(), recoveryRate);
pillarCDSs[i] = security.accept(visitor);
}
final ISDACompliantCreditCurve creditCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
if (creditCurve == null) {
throw new OpenGammaRuntimeException("Couldnt get credit curve");
}
//final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
final CDSAnalytic analytic = security.accept(visitor);
final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
// final String term = new Tenor(Period.between(security.getStartDate().toLocalDate(), security.getMaturityDate().toLocalDate())).getPeriod().toString();
// final Double cdsQuoteDouble = (Double) inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
// ComputationTargetType.PRIMITIVE, ExternalId.of("Tenor", term)));
final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
if (cdsQuoteDouble == null) {
throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
}
final CDSQuoteConvention quote = SpreadCurveFunctions.getQuotes(security.getMaturityDate(), new double[] {cdsQuoteDouble}, security.getParSpread(), quoteConvention, true)[0];
boolean isNonIMMFAndFromPUF = !IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate()) && quote instanceof PointsUpFront;
boolean isNonIMMAndFromSpread = !IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate()) && (quote instanceof QuotedSpread || quote instanceof ParSpread);
int buySellPremiumFactor = security.isBuy() ? -1 : 1;
final double notional = security.getNotional().getAmount();
final double coupon = security.getParSpread() * ONE_BPS;
final PointsUpFront puf = getPointsUpfront(quote, buySellProtection, yieldCurve, analytic, creditCurve);
final double accruedPremiumPrim = isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccruedPremium(coupon);
// final double accruedPremium = isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccruedPremium(coupon) * notional * buySellPremiumFactor;
final double accruedPremium = isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : accruedPremiumPrim * notional * buySellPremiumFactor;
final int accruedDays = isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccuredDays();
final double quotedSpread = getQuotedSpread(quote, puf, buySellProtection, yieldCurve, analytic).getQuotedSpread();
final double upfrontAmount = isNonIMMAndFromSpread ? 0 : getUpfrontAmount(analytic, puf, notional, accruedPremiumPrim, buySellProtection);
final double cleanPV = puf.getPointsUpFront() * notional;
final double principal = isNonIMMAndFromSpread ? 0 : cleanPV;
final double cleanPrice = getCleanPrice(puf);
final TenorLabelledMatrix1D bucketedCS01 = getBucketedCS01(analytic, bucketCDSs, spreadObject.getXData(), quote, notional, yieldCurve, creditCurve);
final double parallelCS01 = getParallelCS01(quote, analytic, yieldCurve, notional, pillarCDSs, ArrayUtils.toPrimitive(pillarObject.getYData()));
final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(_valueRequirements.length);
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.ACCRUED_PREMIUM, target.toSpecification(), properties), accruedPremium));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.ACCRUED_DAYS, target.toSpecification(), properties), accruedDays));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.QUOTED_SPREAD, target.toSpecification(), properties), quotedSpread / ONE_BPS));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.UPFRONT_AMOUNT, target.toSpecification(), properties), upfrontAmount));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.DIRTY_PRESENT_VALUE, target.toSpecification(), properties), upfrontAmount));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.CLEAN_PRESENT_VALUE, target.toSpecification(), properties), cleanPV));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.PRINCIPAL, target.toSpecification(), properties), principal));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.CLEAN_PRICE, target.toSpecification(), properties), cleanPrice));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.BUCKETED_CS01, target.toSpecification(), properties), bucketedCS01));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.PARALLEL_CS01, target.toSpecification(), properties), parallelCS01));
results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.POINTS_UPFRONT, target.toSpecification(), properties), puf.getPointsUpFront()));
return results;
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.LEGACY_VANILLA_CDS_SECURITY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final Set<ValueSpecification> specs = new HashSet<>();
final ValueProperties properties = createValueProperties()
.withAny(ISDAFunctionConstants.ISDA_CURVE_OFFSET)
.withAny(ISDAFunctionConstants.ISDA_CURVE_DATE)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, ISDAFunctionConstants.ISDA_IMPLEMENTATION_NEW)
.withAny(ISDAFunctionConstants.CDS_QUOTE_CONVENTION)
.withAny(ISDAFunctionConstants.ISDA_BUCKET_TENORS)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
.get();
for (final String value : _valueRequirements) {
specs.add(new ValueSpecification(value, target.toSpecification(), properties));
}
return specs;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final LegacyVanillaCDSSecurity cds = (LegacyVanillaCDSSecurity) target.getSecurity();
final Currency ccy = cds.getNotional().getCurrency();
final CreditCurveIdentifier isdaIdentifier = getISDACurveIdentifier(cds);
final CreditCurveIdentifier spreadIdentifier = getSpreadCurveIdentifier(cds);
final String isdaOffset = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_OFFSET);
if (isdaOffset == null) {
return null;
}
final String isdaCurveDate = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_DATE);
if (isdaCurveDate == null) {
return null;
}
final String isdaCurveMethod = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_IMPLEMENTATION);
if (isdaCurveMethod == null) {
return null;
}
// isda curve
final ValueProperties isdaProperties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, isdaIdentifier.toString())
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
.with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, isdaOffset)
.with(ISDAFunctionConstants.ISDA_CURVE_DATE, isdaCurveDate)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, isdaCurveMethod)
.get();
final ValueRequirement isdaRequirment = new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetType.CURRENCY, ccy.getUniqueId(), isdaProperties);
final String quoteConvention = desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
if (quoteConvention == null) {
return null;
}
final String bucketTenors = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_BUCKET_TENORS);
if (bucketTenors == null) {
return null;
}
//market spreads
final ValueProperties spreadProperties = ValueProperties.builder()
.with(ISDAFunctionConstants.CDS_QUOTE_CONVENTION, quoteConvention)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
.with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, isdaOffset)
.with(ISDAFunctionConstants.ISDA_CURVE_DATE, isdaCurveDate)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, isdaCurveMethod)
.with(ISDAFunctionConstants.ISDA_BUCKET_TENORS, bucketTenors)
.get();
final ValueRequirement spreadRequirment = new ValueRequirement(ValueRequirementNames.BUCKETED_SPREADS, target.toSpecification(), spreadProperties);
final ValueRequirement pillarRequirment = new ValueRequirement(ValueRequirementNames.PILLAR_SPREADS, target.toSpecification(), spreadProperties);
final ValueRequirement creditCurveRequirement = new ValueRequirement(ValueRequirementNames.HAZARD_RATE_CURVE, target.toSpecification(), spreadProperties);
// get individual spread for this cds (ignore business day adjustment on either)
final Period period = Period.between(cds.getStartDate().toLocalDate().withDayOfMonth(20), cds.getMaturityDate().toLocalDate().withDayOfMonth(20));
final ValueRequirement cdsSpreadRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, ExternalId.of("Tenor", period.toString()));
final CdsRecoveryRateIdentifier recoveryRateIdentifier = cds.accept(new CreditSecurityToRecoveryRateVisitor(context.getSecuritySource()));
final ValueRequirement recoveryRateRequirement = new ValueRequirement("PX_LAST", ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());
return Sets.newHashSet(isdaRequirment, spreadRequirment, cdsSpreadRequirement, creditCurveRequirement, pillarRequirment, recoveryRateRequirement);
}
@Override
public boolean canHandleMissingInputs() {
return true;
}
@Override
public boolean canHandleMissingRequirements() {
return true;
}
public static CreditCurveIdentifier getSpreadCurveIdentifier(final CreditDefaultSwapSecurity cds) {
return getCreditCurveIdentifier(cds, "");
}
public static CreditCurveIdentifier getISDACurveIdentifier(final CreditDefaultSwapSecurity cds) {
return getCreditCurveIdentifier(cds, "ISDA_");
}
/**
* Get the CreditCurveIdentifier with name appended
*
* @param security
*/
private static CreditCurveIdentifier getCreditCurveIdentifier(final CreditDefaultSwapSecurity security, final String name) {
final CreditCurveIdentifier curveIdentifier = CreditCurveIdentifier.of(name + security.getReferenceEntity().getValue(), security.getNotional().getCurrency(),
security.getDebtSeniority().toString(), security.getRestructuringClause().toString());
return curveIdentifier;
}
public PointsUpFront getPointsUpfront(CDSQuoteConvention quote, BuySellProtection buySellProtection, ISDACompliantYieldCurve yieldCurve, CDSAnalytic analytic, ISDACompliantCreditCurve creditCurve) {
double puf = 0.0;
if (quote instanceof PointsUpFront) {
return (PointsUpFront) quote;
} else if (quote instanceof QuotedSpread) {
puf = POINTS_UP_FRONT_CONVERTER.quotedSpreadToPUF(analytic,
quote.getCoupon(),
yieldCurve,
((QuotedSpread) quote).getQuotedSpread());
} else if (quote instanceof ParSpread) {
puf = PRICER.pv(analytic, yieldCurve, creditCurve, ((ParSpread) quote).getCoupon());
} else {
throw new OpenGammaRuntimeException("Unknown quote type " + quote);
}
// SELL protection reverses directions of legs
puf = (buySellProtection == BuySellProtection.SELL) ? -puf : puf;
return new PointsUpFront(quote.getCoupon(), puf);
}
public static QuotedSpread getQuotedSpread(CDSQuoteConvention quote, PointsUpFront puf, BuySellProtection buySellProtection, ISDACompliantYieldCurve yieldCurve, CDSAnalytic analytic) {
double quotedSpread;
if (quote instanceof QuotedSpread) {
return (QuotedSpread) quote;
} else {
quotedSpread = POINTS_UP_FRONT_CONVERTER.pufToQuotedSpread(analytic, puf.getCoupon(), yieldCurve, puf.getPointsUpFront());
}
// SELL protection reverses directions of legs
quotedSpread = (buySellProtection == BuySellProtection.SELL) ? -quotedSpread : quotedSpread;
return new QuotedSpread(quote.getCoupon(), quotedSpread);
}
public double getUpfrontAmount(final CDSAnalytic analytic, final PointsUpFront puf, final double notional, final double accPremiumPrim, final BuySellProtection buySellProtection) {
// upfront amount is defined as dirty PV
double cash = (puf.getPointsUpFront() - accPremiumPrim) * notional;
// SELL protection reverses directions of legs
return (buySellProtection == BuySellProtection.SELL) ? -cash : cash;
}
public double getCleanPrice(final PointsUpFront puf) {
return 100.0 * (1 - puf.getPointsUpFront());
}
public TenorLabelledMatrix1D getBucketedCS01(CDSAnalytic analytic, CDSAnalytic[] buckets, Tenor[] tenors, CDSQuoteConvention quote, double notional, ISDACompliantYieldCurve yieldCurve, ISDACompliantCreditCurve creditCurve) {
//TODO: Check quote.getCoupon() is spread value for IMM & 0.01 (or 0.05) for non IMM
double[] cs01Values;
if (quote instanceof ParSpread) {
cs01Values = CALCULATOR.bucketedCS01FromCreditCurve(analytic, quote.getCoupon(), buckets, yieldCurve, creditCurve, ONE_BPS);
} else if (quote instanceof PointsUpFront) {
cs01Values = CALCULATOR.bucketedCS01FromPUF(analytic, (PointsUpFront) quote, yieldCurve, buckets, ONE_BPS);
} else {
cs01Values = CALCULATOR.bucketedCS01FromCreditCurve(analytic, quote.getCoupon()/*coupon * ONE_BPS*/, buckets, yieldCurve, creditCurve, ONE_BPS);
}
for (int i = 0; i < cs01Values.length; i++) {
cs01Values[i] *= notional * ONE_BPS;
}
return new TenorLabelledMatrix1D(tenors, cs01Values);
}
public double getParallelCS01(CDSQuoteConvention quote, CDSAnalytic analytic, ISDACompliantYieldCurve yieldCurve, double notional, CDSAnalytic[] pillars, double[] pillarSpreads) {
double cs01;
if (quote instanceof ParSpread) {
cs01 = CALCULATOR.parallelCS01FromParSpreads(analytic,
quote.getCoupon(), // ParSpread
yieldCurve,
pillars,
pillarSpreads,
ONE_BPS,
BumpType.ADDITIVE);
} else {
cs01 = CALCULATOR.parallelCS01(analytic, quote, yieldCurve, ONE_BPS);
}
return Double.valueOf(cs01 * notional * ONE_BPS);
}
public static ManageableRegion getTestRegion() {
final ManageableRegion region = new ManageableRegion();
region.setUniqueId(UniqueId.parse("Dummy~region"));
region.setName("United States");
region.setCurrency(Currency.USD);
region.setCountry(Country.US);
region.setTimeZone(ZoneId.of("America/New_York"));
region.setExternalIdBundle(ExternalIdBundle.of(ExternalId.parse("dummy~region")));
return region;
}
/** test region */
public final class TestRegionSource extends AbstractSourceWithExternalBundle<Region> implements RegionSource {
private final AtomicLong _count = new AtomicLong(0);
private final Region _testRegion;
private TestRegionSource(final Region testRegion) {
_testRegion = testRegion;
}
private TestRegionSource() {
_testRegion = getTestRegion();
}
@Override
public Collection<Region> get(final ExternalIdBundle bundle, final VersionCorrection versionCorrection) {
_count.getAndIncrement();
Collection<Region> result = Collections.emptyList();
if (_testRegion.getExternalIdBundle().equals(bundle) && versionCorrection.equals(VersionCorrection.LATEST)) {
result = Collections.singleton((Region) getTestRegion());
}
return result;
}
@Override
public Region get(final ObjectId objectId, final VersionCorrection versionCorrection) {
_count.getAndIncrement();
Region result = null;
if (_testRegion.getUniqueId().getObjectId().equals(objectId) && versionCorrection.equals(VersionCorrection.LATEST)) {
result = _testRegion;
}
return result;
}
@Override
public Region get(final UniqueId uniqueId) {
_count.getAndIncrement();
Region result = null;
if (_testRegion.getUniqueId().equals(uniqueId)) {
result = _testRegion;
}
return result;
}
@Override
public Region getHighestLevelRegion(final ExternalIdBundle bundle) {
_count.getAndIncrement();
Region result = null;
if (_testRegion.getExternalIdBundle().equals(bundle)) {
result = _testRegion;
}
return result;
}
@Override
public Region getHighestLevelRegion(final ExternalId externalId) {
_count.getAndIncrement();
Region result = null;
if (_testRegion.getExternalIdBundle().contains(externalId)) {
result = _testRegion;
}
return result;
}
/**
* Gets the count.
*
* @return the count
*/
public AtomicLong getCount() {
return _count;
}
@Override
public ChangeManager changeManager() {
return DummyChangeManager.INSTANCE;
}
}
}