/**
* 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.isda.calibration;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_SHIFT;
import static com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_SHIFT_TYPE;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
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.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.cds.ISDAFunctionConstants;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
/**
*
*/
public abstract class ISDAHazardRateCurveFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = ValueProperties.all();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.HAZARD_RATE_CURVE, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> yieldCurveNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE);
if (yieldCurveNames == null || yieldCurveNames.size() != 1) {
return null;
}
final Set<String> yieldCurveCalculationConfigNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
if (yieldCurveCalculationConfigNames == null || yieldCurveCalculationConfigNames.size() != 1) {
return null;
}
final Set<String> yieldCurveCalculationMethodNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
if (yieldCurveCalculationMethodNames == null || yieldCurveCalculationMethodNames.size() != 1) {
return null;
}
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final ComputationTargetSpecification currencyTarget = ComputationTargetSpecification.of(FinancialSecurityUtils.getCurrency(target.getSecurity()));
final String yieldCurveName = Iterables.getOnlyElement(yieldCurveNames);
final String yieldCurveCalculationConfigName = Iterables.getOnlyElement(yieldCurveCalculationConfigNames);
final String yieldCurveCalculationMethodName = Iterables.getOnlyElement(yieldCurveCalculationMethodNames);
final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
final ValueRequirement yieldCurveRequirement = YieldCurveFunctionUtils.getCurveRequirement(currencyTarget, yieldCurveName, yieldCurveCalculationConfigName,
yieldCurveCalculationMethodName);
final ValueProperties.Builder spreadCurveProperties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, spreadCurveName);
final Set<String> spreadCurveShift = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT);
if (spreadCurveShift != null && !spreadCurveShift.isEmpty()) {
final Set<String> creditSpreadCurveShiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
if (creditSpreadCurveShiftTypes == null || creditSpreadCurveShiftTypes.size() != 1) {
return null;
}
spreadCurveProperties.with(PROPERTY_SPREAD_CURVE_SHIFT, spreadCurveShift).with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, creditSpreadCurveShiftTypes);
}
final ValueRequirement creditSpreadCurveRequirement = new ValueRequirement(ValueRequirementNames.CREDIT_SPREAD_CURVE, ComputationTargetSpecification.NULL, spreadCurveProperties.get());
return Sets.newHashSet(yieldCurveRequirement, creditSpreadCurveRequirement);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueProperties.Builder propertiesBuilder = createValueProperties()
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME);
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification spec = entry.getKey();
final ValueProperties.Builder inputPropertiesBuilder = spec.getProperties().copy();
inputPropertiesBuilder.withoutAny(ValuePropertyNames.FUNCTION);
if (spec.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE);
propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_CONFIG, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
propertiesBuilder.with(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD);
} else if (spec.getValueName().equals(ValueRequirementNames.CREDIT_SPREAD_CURVE)) {
propertiesBuilder.with(ValuePropertyNames.CURVE, inputPropertiesBuilder.get().getValues(ValuePropertyNames.CURVE));
inputPropertiesBuilder.withoutAny(ValuePropertyNames.CURVE);
}
final ValueProperties inputProperties = inputPropertiesBuilder.get();
if (!inputProperties.isEmpty()) {
for (final String propertyName : inputProperties.getProperties()) {
propertiesBuilder.with(propertyName, inputProperties.getValues(propertyName));
}
}
}
final ValueProperties properties = propertiesBuilder.get();
final ComputationTargetSpecification targetSpec = target.toSpecification();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.HAZARD_RATE_CURVE, targetSpec, properties));
}
}