/**
* 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.HashMap;
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.ImmutableMap;
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 point 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 CreditCurvePointShift implements Perturbation, ImmutableBean {
/** Logger. */
private static final Logger s_logger = LoggerFactory.getLogger(CreditCurvePointShift.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 = "notEmpty", get = "private")
private final Map<Tenor, Double> _shifts;
/**
* Creates a shift that adds a fixed amount to every market data value.
*
* @param shifts the amount to add to each market data value per Tenor
* @return a shift that adds a fixed amount to each market data value
*/
public static CreditCurvePointShift absolute(Map<Tenor, Double> shifts) {
return new CreditCurvePointShift(ShiftType.ABSOLUTE, shifts);
}
/**
* Creates a shift that multiplies every market data value by a fixed factor.
*
* @param shifts the factor to multiply the values by, per Tenor
* @return a shift that multiplies the market data values by a fixed factor
*/
public static CreditCurvePointShift relative(Map<Tenor, Double> shifts) {
return new CreditCurvePointShift(ShiftType.RELATIVE, shifts);
}
@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();
// all shifts should be available in the input
if (!cdsQuotes.keySet().containsAll(_shifts.keySet())) {
throw new OpenGammaRuntimeException("Input tenors " + cdsQuotes.keySet() + " do not contain all " +
_shifts.keySet() + " scenario shift tenors");
}
for (Map.Entry<Tenor, CdsQuote> entry : cdsQuotes.entrySet()) {
if (_shifts.containsKey(entry.getKey())) {
quotesBuilder.put(entry.getKey(), shift(entry.getValue(), _shifts.get(entry.getKey())));
} else {
quotesBuilder.put(entry.getKey(), 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
* @param shift the shift to apply
* @return CdsQuote with a shifted value
*/
private CdsQuote shift(CdsQuote quote, Double shift) {
if (quote instanceof ParSpreadQuote) {
ParSpreadQuote parSpreadQuote = (ParSpreadQuote) quote;
double shifted = _shiftType.applyShift(parSpreadQuote.getParSpread(), shift);
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(), shift, 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 CreditCurvePointShift}.
* @return the meta-bean, not null
*/
public static CreditCurvePointShift.Meta meta() {
return CreditCurvePointShift.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(CreditCurvePointShift.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static CreditCurvePointShift.Builder builder() {
return new CreditCurvePointShift.Builder();
}
private CreditCurvePointShift(
ShiftType shiftType,
Map<Tenor, Double> shifts) {
JodaBeanUtils.notNull(shiftType, "shiftType");
JodaBeanUtils.notEmpty(shifts, "shifts");
this._shiftType = shiftType;
this._shifts = ImmutableMap.copyOf(shifts);
}
@Override
public CreditCurvePointShift.Meta metaBean() {
return CreditCurvePointShift.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 empty
*/
private Map<Tenor, Double> getShifts() {
return _shifts;
}
//-----------------------------------------------------------------------
/**
* 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()) {
CreditCurvePointShift other = (CreditCurvePointShift) obj;
return JodaBeanUtils.equal(getShiftType(), other.getShiftType()) &&
JodaBeanUtils.equal(getShifts(), other.getShifts());
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(getShiftType());
hash = hash * 31 + JodaBeanUtils.hashCode(getShifts());
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("CreditCurvePointShift{");
buf.append("shiftType").append('=').append(getShiftType()).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(getShifts()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CreditCurvePointShift}.
*/
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", CreditCurvePointShift.class, ShiftType.class);
/**
* The meta-property for the {@code shifts} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<Map<Tenor, Double>> _shifts = DirectMetaProperty.ofImmutable(
this, "shifts", CreditCurvePointShift.class, (Class) Map.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shiftType",
"shifts");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
}
return super.metaPropertyGet(propertyName);
}
@Override
public CreditCurvePointShift.Builder builder() {
return new CreditCurvePointShift.Builder();
}
@Override
public Class<? extends CreditCurvePointShift> beanType() {
return CreditCurvePointShift.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 shifts} property.
* @return the meta-property, not null
*/
public MetaProperty<Map<Tenor, Double>> shifts() {
return _shifts;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return ((CreditCurvePointShift) bean).getShiftType();
case -903338959: // shifts
return ((CreditCurvePointShift) bean).getShifts();
}
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 CreditCurvePointShift}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<CreditCurvePointShift> {
private ShiftType _shiftType;
private Map<Tenor, Double> _shifts = new HashMap<Tenor, Double>();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(CreditCurvePointShift beanToCopy) {
this._shiftType = beanToCopy.getShiftType();
this._shifts = new HashMap<Tenor, Double>(beanToCopy.getShifts());
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
this._shiftType = (ShiftType) newValue;
break;
case -903338959: // shifts
this._shifts = (Map<Tenor, 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 CreditCurvePointShift build() {
return new CreditCurvePointShift(
_shiftType,
_shifts);
}
//-----------------------------------------------------------------------
/**
* 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 shifts} property in the builder.
* @param shifts the new value, not empty
* @return this, for chaining, not null
*/
public Builder shifts(Map<Tenor, Double> shifts) {
JodaBeanUtils.notEmpty(shifts, "shifts");
this._shifts = shifts;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("CreditCurvePointShift.Builder{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(_shiftType)).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(_shifts));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}