/**
* 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.LinkedHashMap;
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;
/**
*
*/
public class EquityVarianceSwapStaticReplicationDefaults extends DefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(EquityForwardPerEquityDefaults.class);
/** The value requirements for which these defaults are valid */
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.VEGA_QUOTE_MATRIX
};
private final PriorityClass _priority;
private final Map<String, Pair<String, String>> _curvesPerEquity;
private final Map<String, String> _surfacesPerEquity;
public EquityVarianceSwapStaticReplicationDefaults(final String priority, final String... perEquityConfig) {
super(FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY, true);
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(perEquityConfig, "per equity config");
final int n = perEquityConfig.length;
ArgumentChecker.isTrue(n % 4 == 0, "Must have one curve config, discounting curve name and surface name per equity");
_priority = PriorityClass.valueOf(priority);
_curvesPerEquity = new LinkedHashMap<String, Pair<String, String>>();
_surfacesPerEquity = new LinkedHashMap<String, String>();
for (int i = 0; i < perEquityConfig.length; i += 4) {
final String currency = perEquityConfig[i];
final Pair<String, String> pair = Pairs.of(perEquityConfig[i + 1], perEquityConfig[i + 2]);
final String surfaceName = perEquityConfig[i + 3];
_curvesPerEquity.put(currency, pair);
_surfacesPerEquity.put(currency, surfaceName);
}
}
@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 _surfacesPerEquity.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);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE);
}
}
@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 (!_surfacesPerEquity.containsKey(underlyingEquity)) {
s_logger.error("Could not get config for underlying equity " + underlyingEquity + "; should never happen");
return null;
}
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
final String surfaceName = _surfacesPerEquity.get(underlyingEquity);
return Collections.singleton(surfaceName);
}
final Pair<String, String> pair = _curvesPerEquity.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;
}
}