/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.credit.isda.cdsoption;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.credit.bumpers.SpreadBumpType;
import com.opengamma.analytics.financial.credit.creditdefaultswapoption.definition.CreditDefaultSwapOptionDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswapoption.greeks.CS01CreditDefaultSwapOption;
import com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.LocalDateLabelledMatrix1D;
import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues;
/**
*
*/
public class ISDACreditDefaultSwapOptionBucketedCS01Function extends ISDACreditDefaultSwapOptionCS01Function {
private static final CS01CreditDefaultSwapOption CALCULATOR = new CS01CreditDefaultSwapOption();
public ISDACreditDefaultSwapOptionBucketedCS01Function() {
super(ValueRequirementNames.BUCKETED_CS01);
}
@Override
protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapOptionDefinition definition, final ISDADateCurve yieldCurve, final double vol,
final ZonedDateTime[] calibrationTenors, final double[] marketSpreads, final HazardRateCurve hazardRateCurve, final ZonedDateTime valuationTime,
final ComputationTarget target, final ValueProperties properties) {
final Double spreadCurveBump = Double.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_CURVE_BUMP)));
final SpreadBumpType spreadBumpType = SpreadBumpType.valueOf(Iterables.getOnlyElement(properties.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_SPREAD_BUMP_TYPE)));
final double[] cs01 = CALCULATOR.getCS01BucketedCreditDefaultSwapOption(valuationTime, definition, vol, yieldCurve, hazardRateCurve, calibrationTenors, marketSpreads, spreadCurveBump,
spreadBumpType);
final int n = calibrationTenors.length;
final LocalDate[] dates = new LocalDate[n];
for (int i = 0; i < n; i++) {
dates[i] = calibrationTenors[i].toLocalDate();
}
final LocalDateLabelledMatrix1D cs01Matrix = new LocalDateLabelledMatrix1D(dates, cs01);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BUCKETED_CS01, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, cs01Matrix));
}
}