/** * 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.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; /** * */ public class InterestRateFutureOptionHestonDefaults extends DefaultPropertyFunction { private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureOptionBlackDefaults.class); private static final String[] s_valueRequirements = new String[] { ValueRequirementNames.PRESENT_VALUE, }; private final HashMap<String, Pair<String, String>> _currencyCurveConfigAndSurfaceNames; public InterestRateFutureOptionHestonDefaults(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 a curve config and surface 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.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 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.INTEREST_RATE_FUTURE_OPTION_HESTON; } }