/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.curve.forward;
import java.util.Collection;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Maps;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.target.ComputationTargetType;
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.property.DefaultPropertyFunction;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public abstract class FXForwardCurveDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardCurveDefaults.class);
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.FORWARD_CURVE,
ValueRequirementNames.BLACK_VOLATILITY_SURFACE,
ValueRequirementNames.LOCAL_VOLATILITY_SURFACE,
ValueRequirementNames.PURE_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 Map<String, String> _currencyPairToCurveName;
private final Map<String, String> _currencyPairToCurveCalculationMethodName;
public FXForwardCurveDefaults(final ComputationTargetType target, final String... defaultsPerCurrencyPair) {
super(target, true);
ArgumentChecker.notNull(defaultsPerCurrencyPair, "defaults per currency");
final int n = defaultsPerCurrencyPair.length;
ArgumentChecker.isTrue(n % 3 == 0, "Need one forward curve name, forward curve calculation method and surface name per currency pair");
_currencyPairToCurveName = Maps.newLinkedHashMap();
_currencyPairToCurveCalculationMethodName = Maps.newLinkedHashMap();
for (int i = 0; i < n; i += 3) {
final String currencyPair = defaultsPerCurrencyPair[i];
_currencyPairToCurveName.put(currencyPair, defaultsPerCurrencyPair[i + 1]);
_currencyPairToCurveCalculationMethodName.put(currencyPair, defaultsPerCurrencyPair[i + 2]);
}
}
@Override
public abstract boolean canApplyTo(FunctionCompilationContext context, ComputationTarget target);
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE);
defaults.addValuePropertyName(valueRequirement, ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final String currencyPair = getCurrencyPair(target);
final String curveName = _currencyPairToCurveName.get(currencyPair);
if (curveName == null) {
s_logger.error("Could not get curve name for {}; should never happen", target.getValue());
return null;
}
if (ValuePropertyNames.CURVE.equals(propertyName)) {
return Collections.singleton(curveName);
}
if (ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD.equals(propertyName)) {
return Collections.singleton(_currencyPairToCurveCalculationMethodName.get(currencyPair));
}
s_logger.error("Could not find default value for {} in this function", propertyName);
return null;
}
protected Collection<String> getAllCurrencyPairs() {
return _currencyPairToCurveName.keySet();
}
protected abstract String getCurrencyPair(ComputationTarget target);
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.CURVE_DEFAULTS;
}
}