Package com.opengamma.financial.security.cds

Examples of com.opengamma.financial.security.cds.CreditDefaultSwapIndexDefinitionSecurity

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  }

  public static CreditDefaultSwapIndexDefinitionSecurity getCreditDefaultSwapIndexDefinitionSecurity() {
    final CDSIndexTerms terms = CDSIndexTerms.of(Tenor.ONE_YEAR);
    final CDSIndexComponentBundle components = CDSIndexComponentBundle.of(new CreditDefaultSwapIndexComponent("NAME", ExternalId.of("Test", "A"), 1., ExternalId.of("Test", "Bond")));
    final CreditDefaultSwapIndexDefinitionSecurity security = new CreditDefaultSwapIndexDefinitionSecurity("1", "1", "All", USD, 0.02, terms, components);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "1223"));
    return security;
  }
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    public CdsIndexFamilyExtractor(final SecuritySource securitySource) {
      _securitySource = securitySource;
    }

    public String extractOrElse(CreditDefaultSwapIndexSecurity cdsIndex, String alternative) {
      final CreditDefaultSwapIndexDefinitionSecurity underlyingDefinition = (CreditDefaultSwapIndexDefinitionSecurity) _securitySource.getSingle(ExternalIdBundle.of(cdsIndex.getReferenceEntity()));
      String family = underlyingDefinition.getFamily();
      return family != null ? family : alternative;
    }
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      final Organization organisation = _organizationSource.getOrganizationByRedCode(redCode);
      return organisation.getObligor().getObligorShortName();

    } else if (security instanceof CreditDefaultSwapIndexSecurity) {
      final CreditDefaultSwapIndexSecurity cdsIndex = (CreditDefaultSwapIndexSecurity) security;
      final CreditDefaultSwapIndexDefinitionSecurity definition = (CreditDefaultSwapIndexDefinitionSecurity) _securitySource.getSingle(ExternalIdBundle.of(cdsIndex.getReferenceEntity()));
      return definition.getName();
    } else if (security instanceof CreditDefaultSwapSecurity) {
      final AbstractCreditDefaultSwapSecurity cds = (AbstractCreditDefaultSwapSecurity) security;
      final String redCode = cds.getReferenceEntity().getValue();
      final Organization organisation = _organizationSource.getOrganizationByRedCode(redCode);
      if (organisation != null) {
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    assertNull(ids);
  }

  @Test
  public void testCreditDefaultSwapIndexSecurity() {
    final CreditDefaultSwapIndexDefinitionSecurity underlying = ExposureFunctionTestHelper.getCreditDefaultSwapIndexDefinitionSecurity();
    final ExposureFunction exposureFunction = new ContractCategoryExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying));
    final CreditDefaultSwapIndexSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapIndexSecurity();
    final List<ExternalId> ids = security.accept(exposureFunction);
    assertNull(ids);
  }
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    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultIndexSwapSecurityToProxyConverter converter = new CreditDefaultIndexSwapSecurityToProxyConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapIndexSecurity security = (CreditDefaultSwapIndexSecurity) target.getSecurity();
    final CreditDefaultSwapIndexDefinitionSecurity underlyingDefinition = (CreditDefaultSwapIndexDefinitionSecurity) securitySource.getSingle(ExternalIdBundle.of(security.getReferenceEntity()));
    if (underlyingDefinition == null) {
      throw new OpenGammaRuntimeException("Could not get underlying index definition");
    }
    final double recoveryRate = underlyingDefinition.getRecoveryRate();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition definition = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    definition = definition.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    definition = definition.withRecoveryRate(recoveryRate);
    final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
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    final List<CreditDefaultSwapIndexComponent> components = Lists.newArrayList();
    for (CDSIndexComponentBean cdsIndexComponentBean : bean.getComponents()) {
      components.add(cdsIndexComponentBeanToCDSIndexComponent(cdsIndexComponentBean));
    }
   
    final CreditDefaultSwapIndexDefinitionSecurity security = new CreditDefaultSwapIndexDefinitionSecurity(bean.getVersion(),
        bean.getSeries(),
        bean.getFamily().getName(),
        currencyBeanToCurrency(bean.getCurrency()),
        bean.getRecoveryRate(),
        CDSIndexTerms.of(tenors),
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Related Classes of com.opengamma.financial.security.cds.CreditDefaultSwapIndexDefinitionSecurity

  • com.opengamma.financial.aggregation.EntityNameAggregationFunction
  • com.opengamma.financial.aggregation.GICSAggregationFunction$CdsIndexFamilyExtractor
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameFunction
  • com.opengamma.masterdb.security.hibernate.cds.CreditDefaultSwapIndexDefinitionSecurityBeanOperation
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