/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.defaultproperties;
import java.util.Collections;
import java.util.HashMap;
import java.util.Map;
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.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.UnorderedCurrencyPair;
/**
*
*/
public class FXForwardForwardPointsDefaults extends DefaultPropertyFunction {
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.FX_PRESENT_VALUE,
ValueRequirementNames.FX_CURRENCY_EXPOSURE,
ValueRequirementNames.FX_CURVE_SENSITIVITIES,
ValueRequirementNames.PV01,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.VALUE_THETA,
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.FX_FORWARD_POINTS_NODE_SENSITIVITIES,
ValueRequirementNames.PNL_SERIES
};
private final Map<UnorderedCurrencyPair, String> _currencyPairToForwardCurveNames;
public FXForwardForwardPointsDefaults(final String... currencyPairToForwardCurveNames) {
super(FinancialSecurityTypes.FX_FORWARD_SECURITY.or(FinancialSecurityTypes.NON_DELIVERABLE_FX_FORWARD_SECURITY), true);
ArgumentChecker.notNull(currencyPairToForwardCurveNames, "currency pair to forward curve names");
final int n = currencyPairToForwardCurveNames.length;
ArgumentChecker.isTrue(n % 3 == 0, "Must have one forward curve name per currency pair");
_currencyPairToForwardCurveNames = new HashMap<>();
for (int i = 0; i < currencyPairToForwardCurveNames.length; i += 3) {
final UnorderedCurrencyPair pair = UnorderedCurrencyPair.of(Currency.of(currencyPairToForwardCurveNames[i]), Currency.of(currencyPairToForwardCurveNames[i + 1]));
_currencyPairToForwardCurveNames.put(pair, currencyPairToForwardCurveNames[i + 2]);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final FinancialSecurity fxSecurity = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = fxSecurity.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = fxSecurity.accept(ForexVisitors.getReceiveCurrencyVisitor());
return _currencyPairToForwardCurveNames.containsKey(UnorderedCurrencyPair.of(payCurrency, receiveCurrency));
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.FORWARD_CURVE_NAME);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final String calculationMethod = desiredValue.getConstraint(ValuePropertyNames.CALCULATION_METHOD);
if (!CalculationPropertyNamesAndValues.FORWARD_POINTS.equals(calculationMethod)) {
return null;
}
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
if (ValuePropertyNames.FORWARD_CURVE_NAME.equals(propertyName)) {
return Collections.singleton(_currencyPairToForwardCurveNames.get(UnorderedCurrencyPair.of(payCurrency, receiveCurrency)));
}
return null;
}
//
// @Override
// public String getMutualExclusionGroup() {
// return OpenGammaFunctionExclusions.FX_FORWARD_DEFAULTS;
// }
}