Package com.opengamma.financial.security.cds

Examples of com.opengamma.financial.security.cds.LegacyVanillaCDSSecurity.accept()

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    ValueRequirement requirement = desiredValues.iterator().next();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LegacyVanillaCDSSecurity security = (LegacyVanillaCDSSecurity) target.getSecurity();

    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(
        executionContext.getSecuritySource()));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement("PX_LAST",
                                                                     ComputationTargetType.PRIMITIVE,
                                                                     recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
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    }
    final CDSAnalyticVisitor pricingVisitor = new CDSAnalyticVisitor(now.toLocalDate(),
                                                                     _holidaySource,
                                                                     _regionSource,
                                                                     recoveryRate);
    final CDSAnalytic pricingCDS = security.accept(pricingVisitor);
    final CDSQuoteConvention quote = SpreadCurveFunctions.getQuotes(security.getMaturityDate(),
                                                                    new double[]{cdsQuoteDouble},
                                                                    security.getParSpread(),
                                                                    quoteConvention,
                                                                    true)[0];
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                                                                       _holidaySource,
                                                                       _regionSource,
                                                                       security.getStartDate().toLocalDate(),
                                                                       pillarDates[i].toLocalDate(),
                                                                       recoveryRate);
        creditAnalytics[i] = security.accept(curveVisitor);
      }
      creditCurve = CREDIT_CURVE_BUILDER.calibrateCreditCurve(pricingCDS, quotedSpread, yieldCurve);

    } else {
      // non IMM date - pillars set to fixed set
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        final CDSAnalyticVisitor curveVisitor = new CDSAnalyticVisitor(now.toLocalDate(),
                                                                       _holidaySource,
                                                                       _regionSource,
                                                                       security.getStartDate().toLocalDate(),
                                                                       pillarDates[i].toLocalDate(), recoveryRate);
        creditAnalytics[i] = security.accept(curveVisitor);
      }
      creditCurve = CREDIT_CURVE_BUILDER.calibrateCreditCurve(creditAnalytics, quotes, yieldCurve);
    }

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    final ValueRequirement desiredValue = desiredValues.iterator().next(); // all same constraints

    final String quoteConventionString = desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
    final StandardCDSQuotingConvention quoteConvention = StandardCDSQuotingConvention.parse(quoteConventionString);

    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(
        executionContext.getSecuritySource()));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement("PX_LAST",
                                                                     ComputationTargetType.PRIMITIVE,
                                                                     recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
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    //security.setStartDate(now); // needed for curve instruments
    final CDSAnalytic[] bucketCDSs = new CDSAnalytic[bucketDates.length];
    for (int i = 0; i < bucketCDSs.length; i++) {
      //security.setMaturityDate(bucketDates[i]);
      final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, security.getStartDate().toLocalDate(), bucketDates[i].toLocalDate(), recoveryRate);
      bucketCDSs[i] = security.accept(visitor);
    }

    final ZonedDateTime[] pillarDates = SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
    final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
    for (int i = 0; i < pillarCDSs.length; i++) {
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    final ZonedDateTime[] pillarDates = SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
    final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
    for (int i = 0; i < pillarCDSs.length; i++) {
      //security.setMaturityDate(bucketDates[i]);
      final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, security.getStartDate().toLocalDate(), pillarDates[i].toLocalDate(), recoveryRate);
      pillarCDSs[i] = security.accept(visitor);
    }

    final ISDACompliantCreditCurve creditCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    if (creditCurve == null) {
      throw new OpenGammaRuntimeException("Couldnt get credit curve");
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      throw new OpenGammaRuntimeException("Couldnt get credit curve");
    }

    //final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
    final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
    final CDSAnalytic analytic = security.accept(visitor);
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
    if (cdsQuoteDouble == null) {
      throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
    }
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    // 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);
  }
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        adjustMaturityDate,
        notional,
        includeAccruedPremium,
        protectionStart,
        parSpread);
    return cds.accept(_converter);
  }
}
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