/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.futureoption;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Maps;
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.property.DefaultPropertyFunction;
import com.opengamma.financial.property.StaticDefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.ArgumentChecker;
/**
* Populates {@link CommodityFutureOptionFunction} with defaults appropriate for pricing using an interpolated Black lognormal volatility surface.
*/
public class EquityFutureOptionSurfaceCalculationMethodDefaults extends StaticDefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(EquityFutureOptionSurfaceCalculationMethodDefaults.class);
/** Map of currency name to surface calculation method */
private final Map<String, Set<String>> _currencyToSurfaceCalculationMethod;
/** The priority of this set of defaults */
private final PriorityClass _priority;
/** The value requirement names for which these defaults apply */
private static final String[] s_valueNames = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.VEGA_QUOTE_MATRIX,
ValueRequirementNames.VALUE_VEGA,
ValueRequirementNames.IMPLIED_VOLATILITY,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.FORWARD,
ValueRequirementNames.SPOT,
ValueRequirementNames.VALUE_DELTA,
ValueRequirementNames.VALUE_GAMMA,
ValueRequirementNames.VALUE_VOMMA,
ValueRequirementNames.VALUE_VANNA,
ValueRequirementNames.VALUE_RHO,
ValueRequirementNames.VALUE_CARRY_RHO,
ValueRequirementNames.VALUE_THETA,
ValueRequirementNames.VALUE_DUAL_DELTA,
ValueRequirementNames.DELTA,
ValueRequirementNames.GAMMA,
ValueRequirementNames.VOMMA,
ValueRequirementNames.VANNA,
ValueRequirementNames.RHO,
ValueRequirementNames.CARRY_RHO,
ValueRequirementNames.THETA,
ValueRequirementNames.DUAL_DELTA,
ValueRequirementNames.VEGA
};
/**
* @param priority The priority class of {@link DefaultPropertyFunction} instances, allowing them to be ordered relative to each other, not null
* @param perCurrencyConfig Default values of surface calculation method per currency, not null
*/
public EquityFutureOptionSurfaceCalculationMethodDefaults(final String priority, final String... perCurrencyConfig) {
super(FinancialSecurityTypes.EQUITY_INDEX_FUTURE_OPTION_SECURITY, ValuePropertyNames.SURFACE_CALCULATION_METHOD, true, s_valueNames);
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(perCurrencyConfig, "per currency configuration");
_priority = PriorityClass.valueOf(priority);
final int nPairs = perCurrencyConfig.length;
ArgumentChecker.isTrue(nPairs % 2 == 0, "Must have surface calculation method per currency");
_currencyToSurfaceCalculationMethod = Maps.newHashMap();
for (int i = 0; i < perCurrencyConfig.length; i += 2) {
final String currency = perCurrencyConfig[i].toUpperCase();
_currencyToSurfaceCalculationMethod.put(currency, Collections.singleton(perCurrencyConfig[i + 1]));
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getSecurity();
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
return _currencyToSurfaceCalculationMethod.containsKey(currency);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
if (desiredValue.getConstraints().isDefined(ValuePropertyNames.CALCULATION_METHOD)) {
return super.getRequirements(context, target, desiredValue);
} else {
return null;
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
return _currencyToSurfaceCalculationMethod.get(currency);
}
@Override
public PriorityClass getPriority() {
return _priority;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.SURFACE_CALCULATION_METHOD_DEFAULTS;
}
}