/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.portfoliotheory;
import java.util.Collections;
import java.util.Set;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class CAPMFromRegressionDefaultPropertiesFunction extends DefaultPropertyFunction {
private static final String[] VALUE_NAMES = new String[] {ValueRequirementNames.CAPM_REGRESSION_ADJUSTED_R_SQUARED,
ValueRequirementNames.CAPM_REGRESSION_ALPHA,
ValueRequirementNames.CAPM_REGRESSION_BETA,
ValueRequirementNames.CAPM_REGRESSION_MEAN_SQUARE_ERROR,
ValueRequirementNames.CAPM_REGRESSION_ALPHA_PVALUES,
ValueRequirementNames.CAPM_REGRESSION_BETA_PVALUES,
ValueRequirementNames.CAPM_REGRESSION_R_SQUARED,
ValueRequirementNames.CAPM_REGRESSION_ALPHA_RESIDUALS,
ValueRequirementNames.CAPM_REGRESSION_BETA_RESIDUALS,
ValueRequirementNames.CAPM_REGRESSION_STANDARD_ERROR_OF_ALPHA,
ValueRequirementNames.CAPM_REGRESSION_STANDARD_ERROR_OF_BETA,
ValueRequirementNames.CAPM_REGRESSION_ALPHA_TSTATS,
ValueRequirementNames.CAPM_REGRESSION_BETA_TSTATS
};
private final String _samplingPeriodName;
private final String _scheduleCalculatorName;
private final String _samplingFunctionName;
private final String _returnCalculatorName;
public CAPMFromRegressionDefaultPropertiesFunction(final String samplingPeriodName, final String scheduleCalculatorName, final String samplingFunctionName,
final String returnCalculatorName, final ComputationTargetType target) {
super(target, true);
ArgumentChecker.notNull(samplingPeriodName, "sampling period name");
ArgumentChecker.notNull(scheduleCalculatorName, "schedule calculator name");
ArgumentChecker.notNull(samplingFunctionName, "sampling function name");
ArgumentChecker.notNull(returnCalculatorName, "return calculator name");
_samplingPeriodName = samplingPeriodName;
_scheduleCalculatorName = scheduleCalculatorName;
_samplingFunctionName = samplingFunctionName;
_returnCalculatorName = returnCalculatorName;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueName : VALUE_NAMES) {
defaults.addValuePropertyName(valueName, ValuePropertyNames.SAMPLING_PERIOD);
defaults.addValuePropertyName(valueName, ValuePropertyNames.SCHEDULE_CALCULATOR);
defaults.addValuePropertyName(valueName, ValuePropertyNames.SAMPLING_FUNCTION);
defaults.addValuePropertyName(valueName, ValuePropertyNames.RETURN_CALCULATOR);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
if (ValuePropertyNames.SAMPLING_PERIOD.equals(propertyName)) {
return Collections.singleton(_samplingPeriodName);
}
if (ValuePropertyNames.SCHEDULE_CALCULATOR.equals(propertyName)) {
return Collections.singleton(_scheduleCalculatorName);
}
if (ValuePropertyNames.SAMPLING_FUNCTION.equals(propertyName)) {
return Collections.singleton(_samplingFunctionName);
}
if (ValuePropertyNames.RETURN_CALCULATOR.equals(propertyName)) {
return Collections.singleton(_returnCalculatorName);
}
return null;
}
}