/** * 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); } }