/** * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.sesame.marketdata.scenarios; import java.util.Map; import java.util.NoSuchElementException; import java.util.Set; import org.joda.beans.Bean; import org.joda.beans.BeanDefinition; import org.joda.beans.ImmutableBean; import org.joda.beans.JodaBeanUtils; import org.joda.beans.MetaProperty; import org.joda.beans.Property; import org.joda.beans.PropertyDefinition; import org.joda.beans.impl.direct.DirectFieldsBeanBuilder; import org.joda.beans.impl.direct.DirectMetaBean; import org.joda.beans.impl.direct.DirectMetaProperty; import org.joda.beans.impl.direct.DirectMetaPropertyMap; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.google.common.collect.ImmutableSortedMap; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.ShiftType; import com.opengamma.financial.analytics.isda.credit.CdsQuote; import com.opengamma.financial.analytics.isda.credit.CreditCurveData; import com.opengamma.financial.analytics.isda.credit.ParSpreadQuote; import com.opengamma.util.time.Tenor; /** * Applies a parallel shift to the spreads used to build the credit curves. * If the resulting shift is negative the values are floored at zero. */ @BeanDefinition public final class CreditCurveParallelShift implements Perturbation, ImmutableBean { /** Logger. */ private static final Logger s_logger = LoggerFactory.getLogger(CreditCurveParallelShift.class); /** * Whether the shift is absolute or relative. */ @PropertyDefinition(validate = "notNull", get = "private") private final ShiftType _shiftType; /** The shifts to apply to the curve values */ @PropertyDefinition(validate = "notNull", get = "private") private final double _shiftAmount; /** * Creates a shift that adds a fixed amount to every market data value. * * @param shiftAmount the amount to add to each market data value * @return a shift that adds a fixed amount to each market data value */ public static CreditCurveParallelShift absolute(double shiftAmount) { return new CreditCurveParallelShift(ShiftType.ABSOLUTE, shiftAmount); } /** * Creates a shift that multiplies every market data value by a fixed factor. * * @param shiftAmount the factor to multiply the values by * @return a shift that multiplies the market data values by a fixed factor */ public static CreditCurveParallelShift relative(double shiftAmount) { return new CreditCurveParallelShift(ShiftType.RELATIVE, shiftAmount); } @Override public CreditCurveData apply(Object marketData, MatchDetails matchDetails) { CreditCurveData input = (CreditCurveData) marketData; CreditCurveData.Builder curveBuilder = CreditCurveData.builder(); ImmutableSortedMap.Builder<Tenor, CdsQuote> quotesBuilder = ImmutableSortedMap.naturalOrder(); ImmutableSortedMap<Tenor, CdsQuote> cdsQuotes = input.getCdsQuotes(); for (Map.Entry<Tenor, CdsQuote> entry : cdsQuotes.entrySet()) { quotesBuilder.put(entry.getKey(), shift(entry.getValue())); } curveBuilder.cdsQuotes(quotesBuilder.build()) .curveConventionLink(input.getCurveConventionLink()) .recoveryRate(input.getRecoveryRate()); return curveBuilder.build(); } @Override public Class<?> getMarketDataType() { return CreditCurveData.class; } @Override public Class<? extends MatchDetails> getMatchDetailsType() { return StandardMatchDetails.NoDetails.class; } @Override public PerturbationTarget getTargetType() { return PerturbationTarget.INPUT; } /** * Shift the CdsQuote, If the resulting shift is negative the values are floored at zero * * @param quote the CdsQuote to shift * @return CdsQuote with a shifted value */ private CdsQuote shift(CdsQuote quote) { if (quote instanceof ParSpreadQuote) { ParSpreadQuote parSpreadQuote = (ParSpreadQuote) quote; double shifted = _shiftType.applyShift(parSpreadQuote.getParSpread(), _shiftAmount); if (shifted < 0) { s_logger.warn("Credit curve scenario shift caused a spread less than zero. " + "Shift type {} of {} on {} results in {}. Shift floored to zero.", _shiftType.toString(), _shiftAmount, quote, shifted); shifted = 0; } return ParSpreadQuote.from(shifted); } else { // TODO extend to include FlatQuoteSpread and PointsUpFrontQuote throw new OpenGammaRuntimeException("Only ParSpreadQuote is supported. Unsupported quote type: " + quote.getClass()); } } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code CreditCurveParallelShift}. * @return the meta-bean, not null */ public static CreditCurveParallelShift.Meta meta() { return CreditCurveParallelShift.Meta.INSTANCE; } static { JodaBeanUtils.registerMetaBean(CreditCurveParallelShift.Meta.INSTANCE); } /** * Returns a builder used to create an instance of the bean. * @return the builder, not null */ public static CreditCurveParallelShift.Builder builder() { return new CreditCurveParallelShift.Builder(); } private CreditCurveParallelShift( ShiftType shiftType, double shiftAmount) { JodaBeanUtils.notNull(shiftType, "shiftType"); JodaBeanUtils.notNull(shiftAmount, "shiftAmount"); this._shiftType = shiftType; this._shiftAmount = shiftAmount; } @Override public CreditCurveParallelShift.Meta metaBean() { return CreditCurveParallelShift.Meta.INSTANCE; } @Override public <R> Property<R> property(String propertyName) { return metaBean().<R>metaProperty(propertyName).createProperty(this); } @Override public Set<String> propertyNames() { return metaBean().metaPropertyMap().keySet(); } //----------------------------------------------------------------------- /** * Gets whether the shift is absolute or relative. * @return the value of the property, not null */ private ShiftType getShiftType() { return _shiftType; } //----------------------------------------------------------------------- /** * Gets the shifts to apply to the curve values * @return the value of the property, not null */ private double getShiftAmount() { return _shiftAmount; } //----------------------------------------------------------------------- /** * Returns a builder that allows this bean to be mutated. * @return the mutable builder, not null */ public Builder toBuilder() { return new Builder(this); } @Override public boolean equals(Object obj) { if (obj == this) { return true; } if (obj != null && obj.getClass() == this.getClass()) { CreditCurveParallelShift other = (CreditCurveParallelShift) obj; return JodaBeanUtils.equal(getShiftType(), other.getShiftType()) && JodaBeanUtils.equal(getShiftAmount(), other.getShiftAmount()); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(getShiftType()); hash = hash * 31 + JodaBeanUtils.hashCode(getShiftAmount()); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(96); buf.append("CreditCurveParallelShift{"); buf.append("shiftType").append('=').append(getShiftType()).append(',').append(' '); buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(getShiftAmount())); buf.append('}'); return buf.toString(); } //----------------------------------------------------------------------- /** * The meta-bean for {@code CreditCurveParallelShift}. */ public static final class Meta extends DirectMetaBean { /** * The singleton instance of the meta-bean. */ static final Meta INSTANCE = new Meta(); /** * The meta-property for the {@code shiftType} property. */ private final MetaProperty<ShiftType> _shiftType = DirectMetaProperty.ofImmutable( this, "shiftType", CreditCurveParallelShift.class, ShiftType.class); /** * The meta-property for the {@code shiftAmount} property. */ private final MetaProperty<Double> _shiftAmount = DirectMetaProperty.ofImmutable( this, "shiftAmount", CreditCurveParallelShift.class, Double.TYPE); /** * The meta-properties. */ private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap( this, null, "shiftType", "shiftAmount"); /** * Restricted constructor. */ private Meta() { } @Override protected MetaProperty<?> metaPropertyGet(String propertyName) { switch (propertyName.hashCode()) { case 893345500: // shiftType return _shiftType; case -1043480710: // shiftAmount return _shiftAmount; } return super.metaPropertyGet(propertyName); } @Override public CreditCurveParallelShift.Builder builder() { return new CreditCurveParallelShift.Builder(); } @Override public Class<? extends CreditCurveParallelShift> beanType() { return CreditCurveParallelShift.class; } @Override public Map<String, MetaProperty<?>> metaPropertyMap() { return _metaPropertyMap$; } //----------------------------------------------------------------------- /** * The meta-property for the {@code shiftType} property. * @return the meta-property, not null */ public MetaProperty<ShiftType> shiftType() { return _shiftType; } /** * The meta-property for the {@code shiftAmount} property. * @return the meta-property, not null */ public MetaProperty<Double> shiftAmount() { return _shiftAmount; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 893345500: // shiftType return ((CreditCurveParallelShift) bean).getShiftType(); case -1043480710: // shiftAmount return ((CreditCurveParallelShift) bean).getShiftAmount(); } return super.propertyGet(bean, propertyName, quiet); } @Override protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) { metaProperty(propertyName); if (quiet) { return; } throw new UnsupportedOperationException("Property cannot be written: " + propertyName); } } //----------------------------------------------------------------------- /** * The bean-builder for {@code CreditCurveParallelShift}. */ public static final class Builder extends DirectFieldsBeanBuilder<CreditCurveParallelShift> { private ShiftType _shiftType; private double _shiftAmount; /** * Restricted constructor. */ private Builder() { } /** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(CreditCurveParallelShift beanToCopy) { this._shiftType = beanToCopy.getShiftType(); this._shiftAmount = beanToCopy.getShiftAmount(); } //----------------------------------------------------------------------- @Override public Object get(String propertyName) { switch (propertyName.hashCode()) { case 893345500: // shiftType return _shiftType; case -1043480710: // shiftAmount return _shiftAmount; default: throw new NoSuchElementException("Unknown property: " + propertyName); } } @Override public Builder set(String propertyName, Object newValue) { switch (propertyName.hashCode()) { case 893345500: // shiftType this._shiftType = (ShiftType) newValue; break; case -1043480710: // shiftAmount this._shiftAmount = (Double) newValue; break; default: throw new NoSuchElementException("Unknown property: " + propertyName); } return this; } @Override public Builder set(MetaProperty<?> property, Object value) { super.set(property, value); return this; } @Override public Builder setString(String propertyName, String value) { setString(meta().metaProperty(propertyName), value); return this; } @Override public Builder setString(MetaProperty<?> property, String value) { super.setString(property, value); return this; } @Override public Builder setAll(Map<String, ? extends Object> propertyValueMap) { super.setAll(propertyValueMap); return this; } @Override public CreditCurveParallelShift build() { return new CreditCurveParallelShift( _shiftType, _shiftAmount); } //----------------------------------------------------------------------- /** * Sets the {@code shiftType} property in the builder. * @param shiftType the new value, not null * @return this, for chaining, not null */ public Builder shiftType(ShiftType shiftType) { JodaBeanUtils.notNull(shiftType, "shiftType"); this._shiftType = shiftType; return this; } /** * Sets the {@code shiftAmount} property in the builder. * @param shiftAmount the new value, not null * @return this, for chaining, not null */ public Builder shiftAmount(double shiftAmount) { JodaBeanUtils.notNull(shiftAmount, "shiftAmount"); this._shiftAmount = shiftAmount; return this; } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(96); buf.append("CreditCurveParallelShift.Builder{"); buf.append("shiftType").append('=').append(JodaBeanUtils.toString(_shiftType)).append(',').append(' '); buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(_shiftAmount)); buf.append('}'); return buf.toString(); } } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }