/**
* 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 --------------------------
}