Package com.opengamma.financial.analytics.model.credit

Examples of com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor

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    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }

    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = "CDS_INDEX_" + security.accept(new CreditSecurityToIdentifierVisitor(
        OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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    final Set<String> cdsPriceTypes = constraints.getValues(PROPERTY_CDS_PRICE_TYPE);
    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(
        OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    //TODO: remove hardcoding
    final String hazardRateCurveCalculationMethod = "ISDA";
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
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    final Set<String> yieldCurveCalculationMethodNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
    if (yieldCurveCalculationMethodNames == null || yieldCurveCalculationMethodNames.size() != 1) {
      return null;
    }
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(securitySource);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    //    final Set<String> spreadCurveNames = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE);
    //    if (spreadCurveNames == null || spreadCurveNames.size() != 1) {
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    //    final Set<String> volatilitySurfaceNames = constraints.getValues(SURFACE);
    //    if (volatilitySurfaceNames == null || volatilitySurfaceNames.size() != 1) {
    //      return null;
    //    }
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(securitySource);
    final CreditDefaultSwapOptionSecurity security = (CreditDefaultSwapOptionSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    //TODO need to handle surface data as well
    final ComputationTargetSpecification currencyTarget = ComputationTargetSpecification.of(FinancialSecurityUtils.getCurrency(target.getSecurity()));
    final String yieldCurveName = Iterables.getOnlyElement(yieldCurveNames);
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    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 = "CDS_INDEX_" + security.accept(identifierVisitor).getUniqueId().getValue();
    final ValueRequirement yieldCurveRequirement = YieldCurveFunctionUtils.getCurveRequirement(currencyTarget, yieldCurveName, yieldCurveCalculationConfigName,
        yieldCurveCalculationMethodName);

    final ValueProperties.Builder spreadCurveProperties = ValueProperties.builder()
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    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()
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    //final Set<String> hazardRateCurveCalculationMethodNames = constraints.getValues(PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD);
    //if (hazardRateCurveCalculationMethodNames == null || hazardRateCurveCalculationMethodNames.size() != 1) {
    //  return null;
    //}
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = "CDS_INDEX_" + security.accept(new CreditSecurityToIdentifierVisitor(
        OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    //TODO: remove hardcoding
    final String hazardRateCurveCalculationMethod = "ISDA"; //Iterables.getOnlyElement(hazardRateCurveCalculationMethodNames);
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
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    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()
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    final Set<String> cdsPriceTypes = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = "CDS_INDEX_" + security.accept(new CreditSecurityToIdentifierVisitor(
        OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    //TODO: remove hardcoding
    final String hazardRateCurveCalculationMethod = "ISDA"; //Iterables.getOnlyElement(hazardRateCurveCalculationMethodNames);
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
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    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }

    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = "CDS_INDEX_" + security.accept(new CreditSecurityToIdentifierVisitor(
        OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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Related Classes of com.opengamma.financial.analytics.model.credit.CreditSecurityToIdentifierVisitor

  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDSHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDSOptionHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDXAsSingleNameHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDAHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedCS01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedGammaCS01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaCDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaIR01CDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaJumpToDefaultCDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaParallelGammaCS01CDSFunction
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