/**
* 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.HashMap;
import java.util.Map;
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.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;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
*
*/
public abstract class FXForwardCurveFromYieldCurvesDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardCurveFromYieldCurvesDefaults.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, Pair<String, String>> _currencyCurveConfigAndDiscountingCurveNames;
//TODO there are ordering issues in this class (the currency pair) - it makes an assumption about which is pay and which is receive
public FXForwardCurveFromYieldCurvesDefaults(final ComputationTargetType target, final String... currencyCurveConfigAndDiscountingCurveNames) {
super(target, true);
ArgumentChecker.notNull(currencyCurveConfigAndDiscountingCurveNames, "currency and curve config names");
final int nPairs = currencyCurveConfigAndDiscountingCurveNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and discounting curve name per currency");
_currencyCurveConfigAndDiscountingCurveNames = new HashMap<String, Pair<String, String>>();
for (int i = 0; i < currencyCurveConfigAndDiscountingCurveNames.length; i += 3) {
final Pair<String, String> pair = Pairs.of(currencyCurveConfigAndDiscountingCurveNames[i + 1], currencyCurveConfigAndDiscountingCurveNames[i + 2]);
_currencyCurveConfigAndDiscountingCurveNames.put(currencyCurveConfigAndDiscountingCurveNames[i], pair);
}
}
@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.PAY_CURVE);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.RECEIVE_CURVE);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final String firstCurrency = getFirstCurrency(target);
final String secondCurrency = getSecondCurrency(target);
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(firstCurrency)) {
s_logger.error("Could not get config for currency " + firstCurrency + "; should never happen");
return null;
}
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(secondCurrency)) {
s_logger.error("Could not get config for currency " + secondCurrency + "; should never happen");
return null;
}
final Pair<String, String> payPair = _currencyCurveConfigAndDiscountingCurveNames.get(firstCurrency);
final Pair<String, String> receivePair = _currencyCurveConfigAndDiscountingCurveNames.get(secondCurrency);
if (ValuePropertyNames.PAY_CURVE.equals(propertyName)) {
return Collections.singleton(payPair.getSecond());
}
if (ValuePropertyNames.RECEIVE_CURVE.equals(propertyName)) {
return Collections.singleton(receivePair.getSecond());
}
if (ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(payPair.getFirst());
}
if (ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(receivePair.getFirst());
}
s_logger.error("Could not get default value for {}", propertyName);
return null;
}
protected Collection<String> getTargets() {
return _currencyCurveConfigAndDiscountingCurveNames.keySet();
}
protected abstract String getFirstCurrency(ComputationTarget target);
protected abstract String getSecondCurrency(ComputationTarget target);
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.CURVE_DEFAULTS;
}
}