/** * 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.cds; import java.util.Collections; import java.util.HashMap; import java.util.Map; import java.util.Set; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.financial.analytics.OpenGammaFunctionExclusions; import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.util.ArgumentChecker; /** * */ public class StandardVanillaCDSCS01Defaults extends DefaultPropertyFunction { private static final String[] VALUE_REQUIREMENT = new String[] { ValueRequirementNames.CS01, ValueRequirementNames.GAMMA_CS01, }; private final PriorityClass _priority; private final Map<String, String> _currencyToSpreadCurveBump; private final Map<String, String> _currencyToSpreadBumpType; public StandardVanillaCDSCS01Defaults(final String priority, final String... perCurrencyDefaults) { super(FinancialSecurityTypes.STANDARD_VANILLA_CDS_SECURITY .or(FinancialSecurityTypes.LEGACY_VANILLA_CDS_SECURITY) .or(FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_OPTION_SECURITY) .or(FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_INDEX_SECURITY), true); ArgumentChecker.notNull(priority, "priority"); ArgumentChecker.notNull(perCurrencyDefaults, "per currency defaults"); ArgumentChecker.isTrue(perCurrencyDefaults.length % 3 == 0, "Must have one spread curve bump and spread bump type per currency"); _priority = PriorityClass.valueOf(priority); _currencyToSpreadCurveBump = new HashMap<>(); _currencyToSpreadBumpType = new HashMap<>(); for (int i = 0; i < perCurrencyDefaults.length; i += 3) { final String currency = perCurrencyDefaults[i]; _currencyToSpreadCurveBump.put(currency, perCurrencyDefaults[i + 1]); _currencyToSpreadBumpType.put(currency, perCurrencyDefaults[i + 2]); } } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { return _currencyToSpreadCurveBump.containsKey(FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode()); } @Override protected void getDefaults(final PropertyDefaults defaults) { for (final String valueRequirement : VALUE_REQUIREMENT) { defaults.addValuePropertyName(valueRequirement, CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP); defaults.addValuePropertyName(valueRequirement, CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode(); if (CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP.equals(propertyName)) { return Collections.singleton(_currencyToSpreadCurveBump.get(currency)); } if (CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE.equals(propertyName)) { return Collections.singleton(_currencyToSpreadBumpType.get(currency)); } return null; } @Override public PriorityClass getPriority() { return _priority; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.ISDA_COMPLIANT_CS01; } }