Package com.opengamma.financial.credit

Examples of com.opengamma.financial.credit.CdsRecoveryRateIdentifier

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    OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      throw new OpenGammaRuntimeException("Could not get recovery rate");
      //s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
      //recoveryRateObject = 0.4;
    }
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    }
    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) {
    //      return null;
    //    }
    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 String spreadCurveName = Iterables.getOnlyElement(spreadCurveNames);
    final ValueRequirement yieldCurveRequirement = YieldCurveFunctionUtils.getCurveRequirement(currencyTarget, yieldCurveName, yieldCurveCalculationConfigName,
        yieldCurveCalculationMethodName);
    final Set<String> creditSpreadCurveShifts = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT);
    final ValueProperties.Builder spreadCurveProperties = ValueProperties.builder()
        .with(ValuePropertyNames.CURVE, spreadCurveName);
    if (creditSpreadCurveShifts != null) {
      final Set<String> creditSpreadCurveShiftTypes = constraints.getValues(PROPERTY_SPREAD_CURVE_SHIFT_TYPE);
      if (creditSpreadCurveShiftTypes == null || creditSpreadCurveShiftTypes.size() != 1) {
        return null;
      }
      spreadCurveProperties.with(PROPERTY_SPREAD_CURVE_SHIFT, creditSpreadCurveShifts).with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, creditSpreadCurveShiftTypes);
    }
    final ValueRequirement creditSpreadCurveRequirement = new ValueRequirement(ValueRequirementNames.CREDIT_SPREAD_CURVE, ComputationTargetSpecification.NULL, spreadCurveProperties.get());
    final ValueRequirement recoveryRateRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());
    return Sets.newHashSet(yieldCurveRequirement, creditSpreadCurveRequirement, recoveryRateRequirement);
  }
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    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultSwapOptionSecurityConverter converter = new CreditDefaultSwapOptionSecurityConverter(securitySource, holidaySource, regionSource, organizationSource);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    final Object recoveryRateObject = inputs.getValue(new ValueRequirement("PX_LAST", ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      throw new OpenGammaRuntimeException("Could not get recovery rate");
    }
    final double recoveryRate = (Double) recoveryRateObject;
    CreditDefaultSwapOptionDefinition definition = security.accept(converter);
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    //    final String volatilitySurfaceName = Iterables.getOnlyElement(volatilitySurfaceNames);
    //    final ValueProperties volatilityProperties = ValueProperties.builder()
    //        .with(SURFACE, volatilitySurfaceName)
    //        .get();
    //    final ValueRequirement volSurfaceRequirement = new ValueRequirement(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, ComputationTargetSpecification.NULL, volatilityProperties);
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    final ValueRequirement recoveryRateRequirement = new ValueRequirement("PX_LAST", ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());
    return Sets.newHashSet(yieldCurveRequirement, creditSpreadCurveRequirement, hazardRateCurveRequirement, recoveryRateRequirement); //, volSurfaceRequirement);
  }
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    ValueRequirement requirement = desiredValues.iterator().next();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LegacyVanillaCDSSecurity security = (LegacyVanillaCDSSecurity) target.getSecurity();

    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(
        executionContext.getSecuritySource()));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement("PX_LAST",
                                                                     ComputationTargetType.PRIMITIVE,
                                                                     recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      throw new OpenGammaRuntimeException("Could not get recovery rate");
      //s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
      //recoveryRateObject = 0.4;
    }
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                                         cds.getMaturityDate().toLocalDate().withDayOfMonth(20));
    final ValueRequirement cdsSpreadRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
                                                                       ComputationTargetType.PRIMITIVE,
                                                                       ExternalId.of("Tenor", period.toString()));

    final CdsRecoveryRateIdentifier recoveryRateIdentifier = cds.accept(new CreditSecurityToRecoveryRateVisitor(context.getSecuritySource()));
    final ValueRequirement recoveryRateRequirement = new ValueRequirement("PX_LAST",
                                                                          ComputationTargetType.PRIMITIVE,
                                                                          recoveryRateIdentifier.getExternalId());

    return Sets.newHashSet(spreadRequirment, isdaRequirment, cdsSpreadRequirement, recoveryRateRequirement);
  }
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    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition cds = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    cds = cds.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      //throw new OpenGammaRuntimeException("Could not get recovery rate");
      recoveryRateObject = 0.4;
    }
    cds = cds.withRecoveryRate((Double) recoveryRateObject);
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        return null;
      }
      spreadCurveProperties.with(PROPERTY_SPREAD_CURVE_SHIFT, spreadCurveShift).with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, creditSpreadCurveShiftTypes);
    }
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    final ValueRequirement recoveryRateRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());
    final ValueRequirement creditSpreadCurveRequirement = new ValueRequirement(ValueRequirementNames.CREDIT_SPREAD_CURVE, ComputationTargetSpecification.NULL, spreadCurveProperties.get());
    return Sets.newHashSet(yieldCurveRequirement, creditSpreadCurveRequirement, recoveryRateRequirement);
  }
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    final ValueRequirement desiredValue = desiredValues.iterator().next(); // all same constraints

    final String quoteConventionString = desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
    final StandardCDSQuotingConvention quoteConvention = StandardCDSQuotingConvention.parse(quoteConventionString);

    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(
        executionContext.getSecuritySource()));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement("PX_LAST",
                                                                     ComputationTargetType.PRIMITIVE,
                                                                     recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      throw new OpenGammaRuntimeException("Could not get recovery rate");
      //s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
      //recoveryRateObject = 0.4;
    }
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    // get individual spread for this cds (ignore business day adjustment on either)
    final Period period = Period.between(cds.getStartDate().toLocalDate().withDayOfMonth(20), cds.getMaturityDate().toLocalDate().withDayOfMonth(20));
    final ValueRequirement cdsSpreadRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, ExternalId.of("Tenor", period.toString()));

    final CdsRecoveryRateIdentifier recoveryRateIdentifier = cds.accept(new CreditSecurityToRecoveryRateVisitor(context.getSecuritySource()));
    final ValueRequirement recoveryRateRequirement = new ValueRequirement("PX_LAST", ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());

    return Sets.newHashSet(isdaRequirment, spreadRequirment, cdsSpreadRequirement, creditCurveRequirement, pillarRequirment, recoveryRateRequirement);
  }
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Related Classes of com.opengamma.financial.credit.CdsRecoveryRateIdentifier

  • com.opengamma.financial.analytics.model.credit.isda.calibration.ISDACDSHazardRateCurveFunction
  • com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaCDSFunction
  • com.opengamma.financial.analytics.model.credit.isda.cdsoption.ISDACreditDefaultSwapOptionFunction
  • com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCDSFunction
  • com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCreditCurveFunction
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