/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.black;
import java.util.Collections;
import java.util.Set;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.SwaptionSecurity;
/**
* Provides "Surface" (DEFAULT) and "VolatilityModel" (Black)
* TODO - Remove or refactor this Function. Created for purpose of demonstration.
*/
public class BlackDiscountingSwaptionFunctionDefaults extends DefaultPropertyFunction {
/** The value requirement names that the function applies to */
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.VALUE_VEGA,
ValueRequirementNames.PV01,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.SECURITY_IMPLIED_VOLATILITY,
ValueRequirementNames.BUCKETED_PV01
};
public BlackDiscountingSwaptionFunctionDefaults() {
super(FinancialSecurityTypes.SWAPTION_SECURITY, true);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
return target.getTrade().getSecurity() instanceof SwaptionSecurity;
}
@Override
protected void getDefaults(PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE);
defaults.addValuePropertyName(valueRequirement, SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL);
}
}
@Override
protected Set<String> getDefaultValue(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue, String propertyName) {
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
return Collections.singleton("DEFAULT");
}
if (SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL.equals(propertyName)) {
return Collections.singleton("Black");
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.SWAPTION_BLACK_DEFAULTS;
}
}