Examples of com.opengamma.util.credit.CreditCurveIdentifier

com.opengamma.util.credit.CreditCurveIdentifier
Stores the date required to uniquely identify a credit curve - the red code, currency, tenor, seniority and restructuring clause

   *
   * @param security
   */
  private static CreditCurveIdentifier getCreditCurveIdentifier(final CreditDefaultSwapSecurity security,
                                                                final String name) {
    final CreditCurveIdentifier curveIdentifier = CreditCurveIdentifier.of(name + security.getReferenceEntity().getValue(),
                                                                           security.getNotional().getCurrency(),
                                                                           security.getDebtSeniority().toString(),
                                                                           security.getRestructuringClause().toString());
    return curveIdentifier;
  }

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  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context,
                                               final ComputationTarget target,
                                               final ValueRequirement desiredValue) {
    final CreditDefaultSwapSecurity cds = (CreditDefaultSwapSecurity) target.getSecurity();
    final CreditCurveIdentifier spreadIdentifier = getSpreadCurveIdentifier(cds);


    final Currency ccy = cds.getNotional().getCurrency();
    final CreditCurveIdentifier isdaIdentifier = getISDACurveIdentifier(cds);


    final String isdaOffset = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_OFFSET);
    if (isdaOffset == null) {
      return null;
    }


    final String isdaCurveDate = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_DATE);
    if (isdaCurveDate == null) {
      return null;
    }


    final String isdaCurveMethod = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_IMPLEMENTATION);
    if (isdaCurveMethod == null) {
      return null;
    }


    if (desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION) == null) {
      return null;
    }


    // isda curve
    final ValueProperties isdaProperties = ValueProperties.builder()
        .with(ValuePropertyNames.CURVE, isdaIdentifier.toString())
        .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
        .with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, isdaOffset)
        .with(ISDAFunctionConstants.ISDA_CURVE_DATE, isdaCurveDate)
        .with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, isdaCurveMethod)
        .get();

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  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final LegacyVanillaCDSSecurity cds = (LegacyVanillaCDSSecurity) target.getSecurity();
    final Currency ccy = cds.getNotional().getCurrency();
    final CreditCurveIdentifier isdaIdentifier = getISDACurveIdentifier(cds);
    final CreditCurveIdentifier spreadIdentifier = getSpreadCurveIdentifier(cds);


    final String isdaOffset = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_OFFSET);
    if (isdaOffset == null) {
      return null;
    }

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   * Get the CreditCurveIdentifier with name appended
   *
   * @param security
   */
  private static CreditCurveIdentifier getCreditCurveIdentifier(final CreditDefaultSwapSecurity security, final String name) {
    final CreditCurveIdentifier curveIdentifier = CreditCurveIdentifier.of(name + security.getReferenceEntity().getValue(), security.getNotional().getCurrency(),
        security.getDebtSeniority().toString(), security.getRestructuringClause().toString());
    return curveIdentifier;
  }

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      }


      @Override
      public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
        final ValueProperties constraints = desiredValue.getConstraints();
        final CreditCurveIdentifier curveId = CreditCurveIdentifier.of(target.toSpecification().getUniqueId());
        final Currency ccy = curveId.getCurrency();
        final ValueProperties properties = ValueProperties.builder()
            .with(ValuePropertyNames.CURVE, curveId.toString()).get();
        final Set<ValueRequirement> requirements = Sets.newHashSetWithExpectedSize(3);
        final ComputationTargetSpecification targetSpec = target.toSpecification();
        requirements.add(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_MARKET_DATA, ComputationTargetSpecification.of(ccy), properties));
        return requirements;
      }

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Related Classes of com.opengamma.util.credit.CreditCurveIdentifier

com.opengamma.financial.analytics.model.credit.BucketedSpreadCurveFunction

com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCDSFunction

com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCreditCurveFunction

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