/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.curve; import static com.opengamma.engine.value.ValueRequirementNames.HULL_WHITE_ONE_FACTOR_PARAMETERS; import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_HULL_WHITE_CURRENCY; import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_HULL_WHITE_PARAMETERS; import java.util.Collections; import java.util.Set; import com.google.common.collect.Iterables; import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.AbstractFunction; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.function.FunctionExecutionContext; import com.opengamma.engine.function.FunctionInputs; import com.opengamma.engine.target.ComputationTargetType; import com.opengamma.engine.value.ComputedValue; import com.opengamma.engine.value.ValueProperties; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.util.async.AsynchronousExecution; import com.opengamma.util.money.Currency; /** * Function that supplies hard-coded Hull-White one factor parameters. Used for testing only. */ public class HardCodedHullWhiteOneFactorParametersFunction extends AbstractFunction.NonCompiledInvoker { /** The name of this configuration */ private static final String CONFIG_NAME = "Test"; /** Hard-coded Hull-White one factor parameters */ private static final HullWhiteOneFactorPiecewiseConstantParameters CONSTANT_PARAMETERS = new HullWhiteOneFactorPiecewiseConstantParameters(0.02, new double[] {0.01}, new double[0]); @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) throws AsynchronousExecution { final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy().get(); final ValueSpecification spec = new ValueSpecification(HULL_WHITE_ONE_FACTOR_PARAMETERS, target.toSpecification(), properties); return Collections.singleton(new ComputedValue(spec, CONSTANT_PARAMETERS)); } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.CURRENCY; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final String currency = ((Currency) target.getValue()).getCode(); final ValueProperties properties = createValueProperties() .with(PROPERTY_HULL_WHITE_PARAMETERS, CONFIG_NAME) .with(PROPERTY_HULL_WHITE_CURRENCY, currency) .get(); return Collections.singleton(new ValueSpecification(HULL_WHITE_ONE_FACTOR_PARAMETERS, target.toSpecification(), properties)); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { return Collections.emptySet(); } }