/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.sesame.credit.market;
import com.opengamma.financial.analytics.isda.credit.CreditCurveDataKey;
import com.opengamma.financial.analytics.isda.credit.CreditDefaultSwapType;
import com.opengamma.financial.security.credit.IndexCDSSecurity;
import com.opengamma.sesame.Environment;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.result.Result;
/**
* Default implementation of {@link IndexCdsMarketDataResolverFn}. Derives
* a {@link CreditCurveDataKey} from a given {@link IndexCDSSecurity} to be
* used for resolving market data.
*/
public class DefaultIndexCdsMarketDataResolverFn implements IndexCdsMarketDataResolverFn {
private final CreditKeyMapperFn _creditKeyMapperFn;
/**
* Creates an instance of the function.
*
* @param creditKeyMapperFn credit key mapper function to use
* inferring restructuring clauses on standard CDSs.
*/
public DefaultIndexCdsMarketDataResolverFn(CreditKeyMapperFn creditKeyMapperFn) {
_creditKeyMapperFn = ArgumentChecker.notNull(creditKeyMapperFn, "creditKeyMapperFn");
}
@Override
public Result<CreditCurveDataKey> resolve(Environment env, IndexCDSSecurity security) {
Currency currency = security.getNotional().getCurrency();
String referenceEntity = security.getUnderlyingIndex().resolve().getName();
CreditCurveDataKey key = CreditCurveDataKey.builder()
.currency(currency)
.curveName(referenceEntity)
.cdsType(CreditDefaultSwapType.INDEX)
.build();
return _creditKeyMapperFn.getMapping(key);
}
}