/**
* 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.analytics.financial.credit.RestructuringClause;
import com.opengamma.core.legalentity.SeniorityLevel;
import com.opengamma.financial.analytics.isda.credit.CreditCurveDataKey;
import com.opengamma.financial.analytics.isda.credit.CreditDefaultSwapType;
import com.opengamma.financial.security.credit.LegacyCDSSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.sesame.Environment;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.result.Result;
/**
* Resolves a credit key for {@link LegacyCDSSecurity}s. Since legacy CDSs explicitly define
* key fields (i.e. reference entity, currency, seniority and restructuring clause) so
* key construction is a simple case of copying fields over to the key object.
*/
public class DefaultLegacyCdsMarketDataResolverFn implements LegacyCdsMarketDataResolverFn {
private final CreditKeyMapperFn _creditKeyMapperFn;
/**
* Creates an instance.
*
* @param creditKeyMapperFn
*/
public DefaultLegacyCdsMarketDataResolverFn(CreditKeyMapperFn creditKeyMapperFn) {
_creditKeyMapperFn = ArgumentChecker.notNull(creditKeyMapperFn, "creditKeyMapperFn");
}
@Override
public Result<CreditCurveDataKey> resolve(Environment env, LegacyCDSSecurity security) {
ExternalId referenceEntity = security.getReferenceEntity();
SeniorityLevel seniority = security.getSeniority();
RestructuringClause restructuringClause = security.getRestructuringClause();
Currency currency = security.getNotional().getCurrency();
CreditCurveDataKey key = CreditCurveDataKey.builder()
.currency(currency)
.curveName(referenceEntity.getValue())
.seniority(seniority)
.restructuring(restructuringClause)
.cdsType(CreditDefaultSwapType.SINGLE_NAME)
.build();
return _creditKeyMapperFn.getMapping(key);
}
}