Package com.opengamma.financial.security.cds

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

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  @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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    assertNull(ids);
  }

  @Test
  public void testCreditDefaultSwapIndexSecurity() {
    final CreditDefaultSwapIndexSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapIndexSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertNull(ids);
  }

  @Test
  public void testCreditDefaultSwapIndexSecurity() {
    final CreditDefaultSwapIndexSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapIndexSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    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);
    if (yieldCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get 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 CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
    final CreditDefaultSwapIndexSecurity security = (CreditDefaultSwapIndexSecurity) target.getSecurity();
    final String spreadCurveName = "CDS_INDEX_" + security.accept(identifierVisitor).getUniqueId().getValue();
    //    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()));
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    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final CreditDefaultIndexSwapSecurityToProxyConverter converter = new CreditDefaultIndexSwapSecurityToProxyConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapIndexSecurity security = (CreditDefaultSwapIndexSecurity) 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 Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (yieldCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get yield curve");
    }
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Related Classes of com.opengamma.financial.security.cds.CreditDefaultSwapIndexSecurity

  • com.opengamma.financial.aggregation.EntityNameAggregationFunction
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndCurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndRegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndSettlementExchangeExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndTradingExchangeExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityExposureFunctionTest
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