/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.pnl;
import java.util.Collections;
import java.util.HashMap;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.core.security.Security;
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.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
*
*/
public class FXForwardPnLDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardPnLDefaults.class);
private final String _start;
private final String _end;
private final String _scheduleCalculator;
private final String _samplingFunction;
private final Map<String, Pair<String, String>> _currencyCurveConfigAndDiscountingCurveNames;
public FXForwardPnLDefaults(final String start, final String end, final String scheduleCalculator,
final String samplingFunction, final String... currencyCurveConfigAndDiscountingCurveNames) {
super(ComputationTargetType.POSITION, true);
ArgumentChecker.notNull(start, "start");
ArgumentChecker.notNull(end, "end");
ArgumentChecker.notNull(scheduleCalculator, "schedule calculator");
ArgumentChecker.notNull(samplingFunction, "sampling function");
_start = start;
_end = end;
_scheduleCalculator = scheduleCalculator;
_samplingFunction = samplingFunction;
ArgumentChecker.notNull(currencyCurveConfigAndDiscountingCurveNames, "currency and curve config names");
final int nPairs = currencyCurveConfigAndDiscountingCurveNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and discounting curve name per currency");
_currencyCurveConfigAndDiscountingCurveNames = new HashMap<>();
for (int i = 0; i < currencyCurveConfigAndDiscountingCurveNames.length; i += 3) {
final Pair<String, String> pair = Pairs.of(currencyCurveConfigAndDiscountingCurveNames[i + 1], currencyCurveConfigAndDiscountingCurveNames[i + 2]);
_currencyCurveConfigAndDiscountingCurveNames.put(currencyCurveConfigAndDiscountingCurveNames[i], pair);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getPosition().getSecurity();
if (!(security instanceof FXForwardSecurity || security instanceof NonDeliverableFXForwardSecurity)) {
return false;
}
final FinancialSecurity fxSecurity = (FinancialSecurity) security;
final String payCurrency = fxSecurity.accept(ForexVisitors.getPayCurrencyVisitor()).getCode();
final String receiveCurrency = fxSecurity.accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
return _currencyCurveConfigAndDiscountingCurveNames.containsKey(payCurrency) && _currencyCurveConfigAndDiscountingCurveNames.containsKey(receiveCurrency);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String requirementName : new String[] {ValueRequirementNames.PNL_SERIES, ValueRequirementNames.YIELD_CURVE_PNL_SERIES, ValueRequirementNames.YIELD_CURVE_HISTORICAL_TIME_SERIES}) {
defaults.addValuePropertyName(requirementName, ValuePropertyNames.PAY_CURVE);
defaults.addValuePropertyName(requirementName, ValuePropertyNames.RECEIVE_CURVE);
defaults.addValuePropertyName(requirementName, ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(requirementName, ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(requirementName, HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
defaults.addValuePropertyName(requirementName, HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY);
defaults.addValuePropertyName(requirementName, ValuePropertyNames.SCHEDULE_CALCULATOR);
defaults.addValuePropertyName(requirementName, ValuePropertyNames.SAMPLING_FUNCTION);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
if (HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY.equals(propertyName)) {
return Collections.singleton(_start);
}
if (HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY.equals(propertyName)) {
return Collections.singleton(_end);
}
if (ValuePropertyNames.SCHEDULE_CALCULATOR.equals(propertyName)) {
return Collections.singleton(_scheduleCalculator);
}
if (ValuePropertyNames.SAMPLING_FUNCTION.equals(propertyName)) {
return Collections.singleton(_samplingFunction);
}
final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
final String payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor()).getCode();
final String receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(payCurrency)) {
s_logger.error("Could not get config for pay currency " + payCurrency + "; should never happen");
return null;
}
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(receiveCurrency)) {
s_logger.error("Could not get config for receive currency " + receiveCurrency + "; should never happen");
return null;
}
final Pair<String, String> payPair = _currencyCurveConfigAndDiscountingCurveNames.get(payCurrency);
final Pair<String, String> receivePair = _currencyCurveConfigAndDiscountingCurveNames.get(receiveCurrency);
if (ValuePropertyNames.PAY_CURVE.equals(propertyName)) {
return Collections.singleton(payPair.getSecond());
}
if (ValuePropertyNames.RECEIVE_CURVE.equals(propertyName)) {
return Collections.singleton(receivePair.getSecond());
}
if (ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(payPair.getFirst());
}
if (ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(receivePair.getFirst());
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.PNL_SERIES;
}
}