/**
* 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 StandardVanillaCDSRR01Defaults extends DefaultPropertyFunction {
private static final String[] VALUE_REQUIREMENT = new String[] {
ValueRequirementNames.RR01,
};
private final PriorityClass _priority;
private final Map<String, String> _currencyToRecoveryRateBump;
private final Map<String, String> _currencyToRecoveryBumpType;
public StandardVanillaCDSRR01Defaults(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 recovery rate bump and recovery rate bump type per currency");
_priority = PriorityClass.valueOf(priority);
_currencyToRecoveryRateBump = new HashMap<>();
_currencyToRecoveryBumpType = new HashMap<>();
for (int i = 0; i < perCurrencyDefaults.length; i += 3) {
final String currency = perCurrencyDefaults[i];
_currencyToRecoveryRateBump.put(currency, perCurrencyDefaults[i + 1]);
_currencyToRecoveryBumpType.put(currency, perCurrencyDefaults[i + 2]);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
return _currencyToRecoveryRateBump.containsKey(FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode());
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENT) {
defaults.addValuePropertyName(valueRequirement, CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_CURVE_BUMP);
defaults.addValuePropertyName(valueRequirement, CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_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_RECOVERY_RATE_CURVE_BUMP.equals(propertyName)) {
return Collections.singleton(_currencyToRecoveryRateBump.get(currency));
}
if (CreditInstrumentPropertyNamesAndValues.PROPERTY_RECOVERY_RATE_BUMP_TYPE.equals(propertyName)) {
return Collections.singleton(_currencyToRecoveryBumpType.get(currency));
}
return null;
}
@Override
public PriorityClass getPriority() {
return _priority;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.ISDA_COMPLIANT_RR01;
}
}