Package com.opengamma.financial.analytics.model.credit.isda.cdx

Source Code of com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameBucketedIR01Function

/**
* 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.cdx;

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.InterestRateBumpers;
import com.opengamma.analytics.financial.credit.creditdefaultswap.definition.vanilla.CreditDefaultSwapDefinition;
import com.opengamma.analytics.financial.credit.creditdefaultswap.greeks.vanilla.isda.ISDACreditDefaultSwapBucketedIR01Calculator;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.CDSAnalytic;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantCreditCurve;
import com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantYieldCurve;
import com.opengamma.analytics.financial.credit.isdayieldcurve.InterestRateBumpType;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionInputs;
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;
import com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaBucketedIR01CDSFunction;
import com.opengamma.financial.analytics.model.credit.isda.cds.StandardVanillaPresentValueCDSFunction;

/**
*
*/
public class ISDACDXAsSingleNameBucketedIR01Function extends ISDACDXAsSingleNameIR01Function {

  public ISDACDXAsSingleNameBucketedIR01Function() {
    super(ValueRequirementNames.BUCKETED_IR01);
  }

  @Override
  protected Set<ComputedValue> getComputedValue(final CreditDefaultSwapDefinition definition,
                                                final ISDACompliantYieldCurve yieldCurve,
                                                final ZonedDateTime[] times,
                                                final double[] marketSpreads,
                                                final ZonedDateTime valuationDate,
                                                final ComputationTarget target,
                                                final ValueProperties properties,
                                                final FunctionInputs inputs,
                                                ISDACompliantCreditCurve hazardCurve,
                                                CDSAnalytic analytic) {
    final LocalDate[] dates = new LocalDate[yieldCurve.getNumberOfKnots()];

    final double[] ir01 = StandardVanillaBucketedIR01CDSFunction.getBucketedIR01(definition, yieldCurve, valuationDate, properties, hazardCurve, analytic, dates);
    //final String[] labels = CreditFunctionUtils.getFormattedBucketedXAxis(dates, valuationDate);
    final LocalDateLabelledMatrix1D ir01Matrix = new LocalDateLabelledMatrix1D(dates, ir01);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BUCKETED_IR01, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, ir01Matrix));
  }

}
TOP

Related Classes of com.opengamma.financial.analytics.model.credit.isda.cdx.ISDACDXAsSingleNameBucketedIR01Function

TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.