@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Set<String> curves = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
final Set<String> curveCalcConfigs =
desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if ((curves == null) || (curves.size() != 1)) {
s_logger.warn("no curve specified");
// Can't support an unbound request; an injection function must be used (or declare all as
// optional and use [PLAT-1771])
return null;
}
if ((curveCalcConfigs == null) || (curveCalcConfigs.size() != 1)) {
s_logger.warn("no curve config specified");
return null;
}
final String curve = curves.iterator().next();
final String curveCalcConfig = curveCalcConfigs.iterator().next();
final Set<ValueRequirement> requirements = Sets.newHashSet();
requirements.add(getCurveRequirement(target, curve, curveCalcConfig));
requirements.add(getCurveSpecRequirement(target, curve));
requirements.addAll(
getSensitivityRequirements(
context.getSecuritySource(), (RawSecurity) target.getSecurity()));
return requirements;
}
@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;
}
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;
}
// 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();
final ValueRequirement isdaRequirment =
new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.CURRENCY,
ccy.getUniqueId(),
isdaProperties);
final String quoteConvention =
desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
if (quoteConvention == null) {
return null;
}
final String bucketTenors =
desiredValue.getConstraint(ISDAFunctionConstants.ISDA_BUCKET_TENORS);
if (bucketTenors == null) {
return null;
}
// market spreads
final ValueProperties spreadProperties =
ValueProperties.builder()
.with(ISDAFunctionConstants.CDS_QUOTE_CONVENTION, quoteConvention)
.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)
.with(ISDAFunctionConstants.ISDA_BUCKET_TENORS, bucketTenors)
.get();
final ValueRequirement spreadRequirment =
new ValueRequirement(
ValueRequirementNames.BUCKETED_SPREADS, target.toSpecification(), spreadProperties);
final ValueRequirement pillarRequirment =
new ValueRequirement(
ValueRequirementNames.PILLAR_SPREADS, target.toSpecification(), spreadProperties);
final ValueRequirement creditCurveRequirement =
new ValueRequirement(
ValueRequirementNames.HAZARD_RATE_CURVE, target.toSpecification(), spreadProperties);
// get individual spread for this cds (ignore business day adjustment on either)
final Period period =
Period.between(
cds.getStartDate().toLocalDate().withDayOfMonth(20),
cds.getMaturityDate().toLocalDate().withDayOfMonth(20));
final ValueRequirement cdsSpreadRequirement =
new ValueRequirement(
MarketDataRequirementNames.MARKET_VALUE,
ComputationTargetType.PRIMITIVE,
ExternalId.of("Tenor", period.toString()));
final CdsRecoveryRateIdentifier recoveryRateIdentifier =
cds.accept(new CreditSecurityToRecoveryRateVisitor(context.getSecuritySource()));
final ValueRequirement recoveryRateRequirement =
new ValueRequirement(
"PX_LAST", ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());
return Sets.newHashSet(
isdaRequirment,
spreadRequirment,
cdsSpreadRequirement,
creditCurveRequirement,
pillarRequirment,
recoveryRateRequirement);
}