/**
* 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;
}
}