/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.fixedincome;
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.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.fixedincome.InterestRateInstrumentType;
import com.opengamma.financial.analytics.model.multicurve.MultiCurvePricingFunction;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Dummy function for injecting default curve names into the dependency graph.
* @deprecated These properties are no longer needed when using {@link MultiCurvePricingFunction}
* and related classes.
*/
@Deprecated
public class InterestRateInstrumentDefaultPropertiesFunction extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateInstrumentDefaultPropertiesFunction.class);
private static final String[] s_valueNames = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.PAR_RATE,
ValueRequirementNames.PAR_RATE_CURVE_SENSITIVITY,
ValueRequirementNames.PAR_RATE_PARALLEL_CURVE_SHIFT,
ValueRequirementNames.PV01,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.VALUE_THETA,
ValueRequirementNames.SWAP_PAY_LEG_DETAILS,
ValueRequirementNames.SWAP_RECEIVE_LEG_DETAILS,
ValueRequirementNames.PAY_LEG_PRESENT_VALUE,
ValueRequirementNames.RECEIVE_LEG_PRESENT_VALUE};
private final boolean _includeIRFutures;
private final Map<String, String> _currencyAndCurveConfigNames;
public InterestRateInstrumentDefaultPropertiesFunction(final String includeIRFutures, final String... currencyAndCurveConfigNames) {
super(InterestRateInstrumentType.FIXED_INCOME_INSTRUMENT_TARGET_TYPE, true);
ArgumentChecker.notNull(includeIRFutures, "include IR futures field");
ArgumentChecker.notNull(currencyAndCurveConfigNames, "currency and curve config names");
final int nPairs = currencyAndCurveConfigNames.length;
ArgumentChecker.isTrue(nPairs % 2 == 0, "Must have one curve config name per currency");
_includeIRFutures = Boolean.parseBoolean(includeIRFutures);
_currencyAndCurveConfigNames = new HashMap<>();
for (int i = 0; i < currencyAndCurveConfigNames.length; i += 2) {
_currencyAndCurveConfigNames.put(currencyAndCurveConfigNames[i], currencyAndCurveConfigNames[i + 1]);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
if (!_includeIRFutures && security instanceof InterestRateFutureSecurity) {
return false;
}
final Currency currency = FinancialSecurityUtils.getCurrency(security);
if (currency == null) {
return false;
}
final String currencyName = currency.getCode();
if (!_currencyAndCurveConfigNames.containsKey(currencyName)) {
return false;
}
if (security instanceof SwapSecurity) {
if (!InterestRateInstrumentType.isFixedIncomeInstrumentType(security)) {
return false;
}
final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD
|| type == InterestRateInstrumentType.SWAP_IBOR_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
return true;
}
}
return true;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueName : s_valueNames) {
defaults.addValuePropertyName(valueName, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
final String currencyName = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
final String configName = _currencyAndCurveConfigNames.get(currencyName);
if (configName == null) {
s_logger.error("Could not get config for currency " + currencyName + "; should never happen");
return null;
}
return Collections.singleton(configName);
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.INTEREST_RATE_INSTRUMENT_DEFAULTS;
}
}