/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.volatility.local.defaultproperties;
import java.util.Collections;
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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.volatility.local.PDEPropertyNamesAndValues;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class BackwardPDEDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(BackwardPDEDefaults.class);
private static final String[] VALUE_REQUIREMENT_NAMES = new String[] {
ValueRequirementNames.FORWARD_DELTA,
ValueRequirementNames.DUAL_DELTA,
ValueRequirementNames.DUAL_GAMMA,
ValueRequirementNames.FORWARD_GAMMA,
ValueRequirementNames.FOREX_DOMESTIC_PRICE,
ValueRequirementNames.FOREX_PV_QUOTES,
ValueRequirementNames.FORWARD_VEGA,
ValueRequirementNames.FORWARD_VOMMA,
ValueRequirementNames.FORWARD_VANNA,
ValueRequirementNames.IMPLIED_VOLATILITY
};
private final String _theta;
private final String _nTimeSteps;
private final String _nSpaceSteps;
private final String _timeStepBunching;
private final String _spaceStepBunching;
private final String _maxMoneynessScale;
private final String _spaceDirectionInterpolator;
public BackwardPDEDefaults(final String theta, final String nTimeSteps, final String nSpaceSteps, final String timeStepBunching, final String spaceStepBunching,
final String maxMoneynessScale, final String spaceDirectionInterpolator) {
super(ComputationTargetType.SECURITY, true);
ArgumentChecker.notNull(theta, "theta");
ArgumentChecker.notNull(nTimeSteps, "number of time steps");
ArgumentChecker.notNull(nSpaceSteps, "number of space steps");
ArgumentChecker.notNull(timeStepBunching, "time step bunching");
ArgumentChecker.notNull(spaceStepBunching, "space step bunching");
ArgumentChecker.notNull(maxMoneynessScale, "max moneyness scale");
ArgumentChecker.notNull(spaceDirectionInterpolator, "space direction interpolator");
_theta = theta;
_nTimeSteps = nTimeSteps;
_nSpaceSteps = nSpaceSteps;
_timeStepBunching = timeStepBunching;
_spaceStepBunching = spaceStepBunching;
_maxMoneynessScale = maxMoneynessScale;
_spaceDirectionInterpolator = spaceDirectionInterpolator;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENT_NAMES) {
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_MAX_MONEYNESS);
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_NUMBER_SPACE_STEPS);
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_NUMBER_TIME_STEPS);
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_SPACE_DIRECTION_INTERPOLATOR);
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_SPACE_STEPS_BUNCHING);
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_THETA);
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_TIME_STEP_BUNCHING);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
if (PDEPropertyNamesAndValues.PROPERTY_MAX_MONEYNESS.equals(propertyName)) {
return Collections.singleton(_maxMoneynessScale);
}
if (PDEPropertyNamesAndValues.PROPERTY_NUMBER_SPACE_STEPS.equals(propertyName)) {
return Collections.singleton(_nSpaceSteps);
}
if (PDEPropertyNamesAndValues.PROPERTY_NUMBER_TIME_STEPS.equals(propertyName)) {
return Collections.singleton(_nTimeSteps);
}
if (PDEPropertyNamesAndValues.PROPERTY_SPACE_DIRECTION_INTERPOLATOR.equals(propertyName)) {
return Collections.singleton(_spaceDirectionInterpolator);
}
if (PDEPropertyNamesAndValues.PROPERTY_SPACE_STEPS_BUNCHING.equals(propertyName)) {
return Collections.singleton(_spaceStepBunching);
}
if (PDEPropertyNamesAndValues.PROPERTY_THETA.equals(propertyName)) {
return Collections.singleton(_theta);
}
if (PDEPropertyNamesAndValues.PROPERTY_TIME_STEP_BUNCHING.equals(propertyName)) {
return Collections.singleton(_timeStepBunching);
}
s_logger.error("Could not get default value for {}", propertyName);
return null;
}
protected String[] getValueRequirementNames() {
return VALUE_REQUIREMENT_NAMES;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.PDE_DEFAULTS;
}
}