/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.equity.varianceswap; import java.util.Collections; import java.util.HashMap; import java.util.Map; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.opengamma.core.security.Security; 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.equity.EquitySecurityUtils; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.financial.security.equity.EquityVarianceSwapSecurity; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.tuple.Pair; import com.opengamma.util.tuple.Pairs; /** * Defaults function for forward values for equity variance swap securities */ public class EquityForwardPerExchangeDefaults extends DefaultPropertyFunction { /** The logger */ private static final Logger s_logger = LoggerFactory.getLogger(EquityForwardPerExchangeDefaults.class); /** The value requirements for which these defaults are valid */ private static final String[] VALUE_REQUIREMENTS = new String[] { ValueRequirementNames.FORWARD }; /** The priority of these defaults */ private final PriorityClass _priority; /** The default values */ private final Map<String, Pair<String, String>> _equityCurveConfigAndDiscountingCurveNames; /** * @param priority The priority of these defaults, not null * @param equityCurveConfigAndDiscountingCurveNames The per-equity curve configuration and discounting curve names, not null */ public EquityForwardPerExchangeDefaults(final String priority, final String... equityCurveConfigAndDiscountingCurveNames) { super(FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY, true); ArgumentChecker.notNull(priority, "priority"); ArgumentChecker.notNull(equityCurveConfigAndDiscountingCurveNames, "equity and curve config names"); final int nPairs = equityCurveConfigAndDiscountingCurveNames.length; ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and discounting curve name per equity"); _priority = PriorityClass.valueOf(priority); _equityCurveConfigAndDiscountingCurveNames = new HashMap<>(); for (int i = 0; i < equityCurveConfigAndDiscountingCurveNames.length; i += 3) { final Pair<String, String> pair = Pairs.of(equityCurveConfigAndDiscountingCurveNames[i + 1], equityCurveConfigAndDiscountingCurveNames[i + 2]); _equityCurveConfigAndDiscountingCurveNames.put(equityCurveConfigAndDiscountingCurveNames[i], pair); } } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { final Security security = target.getSecurity(); final EquityVarianceSwapSecurity varianceSwap = (EquityVarianceSwapSecurity) security; final String underlyingEquity = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(varianceSwap); return _equityCurveConfigAndDiscountingCurveNames.containsKey(underlyingEquity); } @Override protected void getDefaults(final PropertyDefaults defaults) { for (final String valueRequirement : VALUE_REQUIREMENTS) { defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE); defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { final EquityVarianceSwapSecurity varianceSwap = (EquityVarianceSwapSecurity) target.getSecurity(); final String underlyingEquity = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(varianceSwap); if (!_equityCurveConfigAndDiscountingCurveNames.containsKey(underlyingEquity)) { s_logger.error("Could not get config for equity " + underlyingEquity + "; should never happen"); return null; } final Pair<String, String> pair = _equityCurveConfigAndDiscountingCurveNames.get(underlyingEquity); if (ValuePropertyNames.CURVE.equals(propertyName)) { return Collections.singleton(pair.getFirst()); } if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) { return Collections.singleton(pair.getSecond()); } return null; } @Override public PriorityClass getPriority() { return _priority; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.EQUITY_VARIANCE_SWAP_DEFAULTS; } }