/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.irfutureoption;
import java.util.Collections;
import java.util.HashMap;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.core.position.Trade;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.target.ComputationTargetType;
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.security.FinancialSecurityUtils;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
* Adds {@link ValuePropertyNames#SURFACE} and {@link ValuePropertyNames#CURVE_CALCULATION_CONFIG} to the available
* {@link ValueRequirement}'s produced by {@link InterestRateFutureOptionBlackFunction}. The properties apply
* for interest rate future option {@link Trade}s.
* @deprecated The functions for which these defaults apply are deprecated
*/
@Deprecated
public class InterestRateFutureOptionBlackDefaults extends DefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureOptionBlackDefaults.class);
/** The value requirement names for which these defaults apply */
private static final String[] s_valueRequirements = new String[] {
ValueRequirementNames.PNL,
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.DELTA,
ValueRequirementNames.GAMMA,
ValueRequirementNames.VEGA,
ValueRequirementNames.THETA,
ValueRequirementNames.POSITION_DELTA,
ValueRequirementNames.POSITION_GAMMA,
ValueRequirementNames.POSITION_VEGA,
ValueRequirementNames.POSITION_THETA,
ValueRequirementNames.POSITION_RHO,
ValueRequirementNames.POSITION_WEIGHTED_VEGA,
ValueRequirementNames.VALUE_DELTA,
ValueRequirementNames.VALUE_GAMMA,
ValueRequirementNames.VALUE_VEGA,
ValueRequirementNames.VALUE_THETA,
ValueRequirementNames.PV01,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.IMPLIED_VOLATILITY,
ValueRequirementNames.SECURITY_MODEL_PRICE,
ValueRequirementNames.UNDERLYING_MODEL_PRICE,
ValueRequirementNames.DAILY_PRICE,
ValueRequirementNames.FORWARD,
ValueRequirementNames.VALUE_GAMMA_P
};
/**
* This map from currency to curve configuration and surface names
* may be accessed and set from child classes.
*/
private HashMap<String, Pair<String, String>> _currencyCurveConfigAndSurfaceNames;
/**
* Requires a list of (currency, curve configuration name, surface name) triples.
* @param currencyCurveConfigAndSurfaceNames A list of (currency, curve configuration name, surface name) triples, not null
* @throws IllegalArgumentException If each currency does not have a curve configuration name and surface name
*/
public InterestRateFutureOptionBlackDefaults(final String... currencyCurveConfigAndSurfaceNames) {
super(ComputationTargetType.TRADE, true);
ArgumentChecker.notNull(currencyCurveConfigAndSurfaceNames, "currency, curve config and surface names");
final int nPairs = currencyCurveConfigAndSurfaceNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config name per currency");
_currencyCurveConfigAndSurfaceNames = new HashMap<>();
for (int i = 0; i < currencyCurveConfigAndSurfaceNames.length; i += 3) {
final Pair<String, String> pair = Pairs.of(currencyCurveConfigAndSurfaceNames[i + 1], currencyCurveConfigAndSurfaceNames[i + 2]);
_currencyCurveConfigAndSurfaceNames.put(currencyCurveConfigAndSurfaceNames[i], pair);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
if (!(target.getTrade().getSecurity() instanceof IRFutureOptionSecurity)) {
return false;
}
final IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) target.getTrade().getSecurity();
final String currency = irFutureOption.getCurrency().getCode();
return _currencyCurveConfigAndSurfaceNames.containsKey(currency);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : s_valueRequirements) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE);
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 String currencyName = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode();
if (!_currencyCurveConfigAndSurfaceNames.containsKey(currencyName)) {
s_logger.error("Could not config and surface names for currency " + currencyName + "; should never happen");
return null;
}
final Pair<String, String> pair = _currencyCurveConfigAndSurfaceNames.get(currencyName);
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(pair.getFirst());
}
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
return Collections.singleton(pair.getSecond());
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.FUTURE_OPTION_BLACK;
}
/**
* Gets the per-currency defaults.
* @return The per-currency defaults
*/
protected HashMap<String, Pair<String, String>> getCurrencyCurveConfigAndSurfaceNames() {
return _currencyCurveConfigAndSurfaceNames;
}
/**
* Sets the per-currency defaults.
* @param currencyCurveConfigAndSurfaceNames The default values, not null
*/
protected void setCurrencyCurveConfigAndSurfaceNames(final HashMap<String, Pair<String, String>> currencyCurveConfigAndSurfaceNames) {
ArgumentChecker.notNull(currencyCurveConfigAndSurfaceNames, "currency, curve config and surface names");
_currencyCurveConfigAndSurfaceNames = currencyCurveConfigAndSurfaceNames;
}
/**
* Gets the logger.
* @return The logger
*/
public static Logger getsLogger() {
return s_logger;
}
/**
* Gets the value requirements.
* @return The value requirements
*/
public static String[] getsValuerequirements() {
return s_valueRequirements;
}
}