/** * 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.LocalVolatilitySurfacePropertyNamesAndValues; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.util.ArgumentChecker; /** * */ public class LocalVolatilitySurfaceDefaults extends DefaultPropertyFunction { private static final Logger s_logger = LoggerFactory.getLogger(LocalVolatilitySurfaceDefaults.class); private static final String[] VALUE_REQUIREMENTS = new String[] { ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, 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.PRESENT_VALUE, ValueRequirementNames.FX_PRESENT_VALUE, ValueRequirementNames.IMPLIED_VOLATILITY, ValueRequirementNames.GRID_DUAL_DELTA, ValueRequirementNames.GRID_DUAL_GAMMA, ValueRequirementNames.GRID_FORWARD_DELTA, ValueRequirementNames.GRID_FORWARD_GAMMA, ValueRequirementNames.GRID_FORWARD_VEGA, ValueRequirementNames.GRID_FORWARD_VANNA, ValueRequirementNames.GRID_FORWARD_VOMMA, ValueRequirementNames.GRID_IMPLIED_VOLATILITY, ValueRequirementNames.GRID_PRESENT_VALUE }; private final String _eps; public LocalVolatilitySurfaceDefaults(final String eps) { super(ComputationTargetType.CURRENCY .or(ComputationTargetType.UNORDERED_CURRENCY_PAIR) .or(FinancialSecurityTypes.FX_OPTION_SECURITY) .or(FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY), true); ArgumentChecker.notNull(eps, "eps"); _eps = eps; } @Override protected void getDefaults(final PropertyDefaults defaults) { for (final String valueRequirement : VALUE_REQUIREMENTS) { defaults.addValuePropertyName(valueRequirement, LocalVolatilitySurfacePropertyNamesAndValues.PROPERTY_DERIVATIVE_EPS); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { if (LocalVolatilitySurfacePropertyNamesAndValues.PROPERTY_DERIVATIVE_EPS.equals(propertyName)) { return Collections.singleton(_eps); } s_logger.error("Could not get default value for {}", propertyName); return null; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.LOCAL_VOLATILITY_SURFACE_DEFAULTS; } }