/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.credit.isda; import java.util.Collections; import java.util.HashMap; import java.util.Map; import java.util.Set; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.financial.analytics.OpenGammaFunctionExclusions; import com.opengamma.financial.analytics.model.credit.CreditInstrumentPropertyNamesAndValues; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.util.ArgumentChecker; /** * */ public class ISDAHazardRateCurveDefaults extends DefaultPropertyFunction { private static final String[] VALUE_REQUIREMENTS = new String[] { ValueRequirementNames.CS01, ValueRequirementNames.BUCKETED_CS01, ValueRequirementNames.GAMMA_CS01, ValueRequirementNames.BUCKETED_GAMMA_CS01, ValueRequirementNames.RR01, ValueRequirementNames.IR01, ValueRequirementNames.BUCKETED_IR01, ValueRequirementNames.JUMP_TO_DEFAULT, ValueRequirementNames.PRESENT_VALUE, ValueRequirementNames.VALUE_VEGA, ValueRequirementNames.PAR_SPREAD, ValueRequirementNames.HEDGE_NOTIONAL, ValueRequirementNames.NET_MARKET_VALUE }; private final PriorityClass _priority; //private final Map<String, String> _currencyToHazardRateCurveName; private final Map<String, String> _currencyToHazardRateCurveCalculationMethodName; public ISDAHazardRateCurveDefaults(final String priority, final String... perCurrencyDefaults) { super(FinancialSecurityTypes.STANDARD_VANILLA_CDS_SECURITY .or(FinancialSecurityTypes.LEGACY_VANILLA_CDS_SECURITY) .or(FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_OPTION_SECURITY) .or(FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_INDEX_SECURITY), true); ArgumentChecker.notNull(priority, "priority"); ArgumentChecker.notNull(perCurrencyDefaults, "per currency defaults"); ArgumentChecker.isTrue(perCurrencyDefaults.length % 2 == 0, "must have one hazard rate curve calculation method name per currency"); _priority = PriorityClass.valueOf(priority); // _currencyToHazardRateCurveName = new HashMap<>(); _currencyToHazardRateCurveCalculationMethodName = new HashMap<>(); for (int i = 0; i < perCurrencyDefaults.length; i += 2) { final String currency = perCurrencyDefaults[i]; _currencyToHazardRateCurveCalculationMethodName.put(currency, perCurrencyDefaults[i + 1]); } } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode(); return _currencyToHazardRateCurveCalculationMethodName.containsKey(currency); } @Override protected void getDefaults(final PropertyDefaults defaults) { for (final String valueRequirement : VALUE_REQUIREMENTS) { //defaults.addValuePropertyName(valueRequirement, CreditInstrumentPropertyNamesAndValues.PROPERTY_HAZARD_RATE_CURVE); defaults.addValuePropertyName(valueRequirement, CreditInstrumentPropertyNamesAndValues.PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode(); // if (CreditInstrumentPropertyNamesAndValues.PROPERTY_HAZARD_RATE_CURVE.equals(propertyName)) { // return Collections.singleton(_currencyToHazardRateCurveName.get(currency)); // } if (CreditInstrumentPropertyNamesAndValues.PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD.equals(propertyName)) { return Collections.singleton(_currencyToHazardRateCurveCalculationMethodName.get(currency)); } return null; } @Override public PriorityClass getPriority() { return _priority; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.ISDA_COMPLIANT_HAZARD_CURVE_DEFAULTS; } }