/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.sabrcube.defaultproperties; import java.util.Arrays; import java.util.Collections; import java.util.HashMap; import java.util.List; 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.value.SurfaceAndCubePropertyNames; 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.conversion.SwapSecurityUtils; import com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType; import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.financial.security.swap.SwapSecurity; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Default properties for SABR functions. * @deprecated The functions to which these defaults apply are deprecated. */ @Deprecated public class SABRNoExtrapolationDefaults extends DefaultPropertyFunction { /** The logger */ private static final Logger s_logger = LoggerFactory.getLogger(SABRNoExtrapolationDefaults.class); /** The value requirements for which these defaults apply */ private static final String[] VALUE_REQUIREMENTS = new String[] { ValueRequirementNames.PRESENT_VALUE, ValueRequirementNames.PRESENT_VALUE_CURVE_SENSITIVITY, ValueRequirementNames.PRESENT_VALUE_SABR_ALPHA_SENSITIVITY, ValueRequirementNames.PRESENT_VALUE_SABR_RHO_SENSITIVITY, ValueRequirementNames.PRESENT_VALUE_SABR_NU_SENSITIVITY, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, ValueRequirementNames.VEGA_QUOTE_CUBE }; /** The SABR surface fitting method */ private final String _fittingMethod; /** * A map from currency to (curve config, cube definition, cube specification, forward swap surface definition, * forward swap surface specification) names */ private final Map<String, List<String>> _currencyAndConfigNames; /** * @param fittingMethod The fitting method name, not null * @param currencyAndConfigNames A list of either (currency, curve config, cube) triples or * (currency, cube definition name, cube specification name, forward surface definition name, * forward surface specification name) tuples, not null */ public SABRNoExtrapolationDefaults(final String fittingMethod, final String... currencyAndConfigNames) { super(FinancialSecurityTypes.SWAPTION_SECURITY .or(FinancialSecurityTypes.SWAP_SECURITY) .or(FinancialSecurityTypes.CAP_FLOOR_SECURITY) .or(FinancialSecurityTypes.CAP_FLOOR_CMS_SPREAD_SECURITY), true); ArgumentChecker.notNull(fittingMethod, "fittingMethod"); ArgumentChecker.notNull(currencyAndConfigNames, "currencyAndConfigNames"); _fittingMethod = fittingMethod; final int nConfigs = currencyAndConfigNames.length; _currencyAndConfigNames = new HashMap<>(); boolean oldConfigs = true; ArgumentChecker.isTrue(nConfigs % 3 == 0, "Incorrect number of default arguments"); for (int i = 0; i < nConfigs; i += 3) { // Sets cube definition and specification and forward surface definition and specification names equal // to the argument after the curve config. This will not work correctly all of the time (e.g. if some // of the cube / surface config names could be parsed as a currency ISO. This code is here to maintain // backwards compatibility with code in SABRFunction that did not set these properties explicitly try { Currency.of(currencyAndConfigNames[i]); } catch (final IllegalArgumentException e) { oldConfigs = false; break; } } if (oldConfigs) { for (int i = 0; i < nConfigs; i += 3) { final String cubeAndSurfaceName = currencyAndConfigNames[i + 2]; final List<String> configs = Arrays.asList(currencyAndConfigNames[i + 1], cubeAndSurfaceName, cubeAndSurfaceName, cubeAndSurfaceName, cubeAndSurfaceName); _currencyAndConfigNames.put(currencyAndConfigNames[i], configs); } } else { ArgumentChecker.isTrue(nConfigs % 6 == 0, "Incorrect number of default arguments"); for (int i = 0; i < nConfigs; i += 6) { final List<String> configs = Arrays.asList(currencyAndConfigNames[i + 1], currencyAndConfigNames[i + 2], currencyAndConfigNames[i + 3], currencyAndConfigNames[i + 4], currencyAndConfigNames[i + 5]); _currencyAndConfigNames.put(currencyAndConfigNames[i], configs); } } } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { final Security security = target.getSecurity(); if (security instanceof SwapSecurity) { if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) { return false; } final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType((SwapSecurity) security); if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS) && (type != InterestRateInstrumentType.SWAP_CMS_CMS) && (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) { return false; } } final String currencyName = FinancialSecurityUtils.getCurrency(security).getCode(); return _currencyAndConfigNames.containsKey(currencyName); } @Override protected void getDefaults(final PropertyDefaults defaults) { for (final String valueRequirement : VALUE_REQUIREMENTS) { defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG); defaults.addValuePropertyName(valueRequirement, SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION); defaults.addValuePropertyName(valueRequirement, SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION); defaults.addValuePropertyName(valueRequirement, SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION); defaults.addValuePropertyName(valueRequirement, SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION); defaults.addValuePropertyName(valueRequirement, SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { final String currencyName = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode(); if (!_currencyAndConfigNames.containsKey(currencyName)) { s_logger.error("Could not get configs for currency " + currencyName + "; should never happen"); return null; } if (SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD.equals(propertyName)) { return Collections.singleton(_fittingMethod); } final List<String> configs = _currencyAndConfigNames.get(currencyName); if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) { return Collections.singleton(configs.get(0)); } if (SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION.equals(propertyName)) { return Collections.singleton(configs.get(1)); } if (SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION.equals(propertyName)) { return Collections.singleton(configs.get(2)); } if (SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION.equals(propertyName)) { return Collections.singleton(configs.get(3)); } if (SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION.equals(propertyName)) { return Collections.singleton(configs.get(4)); } return null; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.SABR_FITTING_DEFAULTS; } }