/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.equity; import java.util.Collections; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.google.common.collect.ImmutableSet; import com.opengamma.core.id.ExternalSchemes; 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.analytics.model.curve.forward.ForwardCurveValuePropertyNames; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.id.ExternalId; import com.opengamma.id.ExternalIdentifiable; import com.opengamma.id.ExternalScheme; import com.opengamma.util.ArgumentChecker; /** * Populates {@link EquityForwardCurveFunction} with default properties */ public class EquityForwardCurveYieldCurveImpliedDefaults extends DefaultPropertyFunction { /** The logger */ private static final Logger s_logger = LoggerFactory.getLogger(EquityForwardCurveYieldCurveImpliedDefaults.class); /** The value requirements for which these defaults apply */ private static final String[] VALUE_REQUIREMENTS = new String[] { ValueRequirementNames.FORWARD_CURVE, ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA }; /** The priority of this set of defaults */ private final PriorityClass _priority; /** The defaults to apply */ private final String _currency; private final String _curveName; private final String _curveCalculationConfig; private final String _dividendType; /** The possible schemes of the primitive target */ /** The supported schemes */ private static final Set<ExternalScheme> s_validSchemes = ImmutableSet.of(ExternalSchemes.BLOOMBERG_TICKER, ExternalSchemes.BLOOMBERG_TICKER_WEAK, ExternalSchemes.ACTIVFEED_TICKER); /** * @param priority The priority, not null * @param defaultArray The default values, not null: currency, */ public EquityForwardCurveYieldCurveImpliedDefaults(final String priority, final String... defaultArray) { super(ComputationTargetType.PRIMITIVE, true); // // [PLAT-2286]: change to correct type; should this be SECURITY? ArgumentChecker.notNull(priority, "priority"); ArgumentChecker.notNull(defaultArray, "per currency config"); final int n = defaultArray.length; ArgumentChecker.isTrue(n == 4, "Must have 4 defaults: currency, curve, curve config, dividend type"); _priority = PriorityClass.valueOf(priority); _currency = defaultArray[0]; _curveName = defaultArray[1]; _curveCalculationConfig = defaultArray[2]; _dividendType = defaultArray[3]; ArgumentChecker.isTrue(_dividendType.equals(ValuePropertyNames.DIVIDEND_TYPE_CONTINUOUS) || _dividendType.equals(ValuePropertyNames.DIVIDEND_TYPE_DISCRETE), "4th String in defaultArray must be either Discrete or Continuous"); } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { if (target.getValue() instanceof ExternalIdentifiable) { final ExternalId identifier = ((ExternalIdentifiable) target.getValue()).getExternalId(); return s_validSchemes.contains(identifier.getScheme()); } return false; } @Override protected void getDefaults(final PropertyDefaults defaults) { // Properties For all ValueRequirement's for (final String valueRequirement : VALUE_REQUIREMENTS) { defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CURRENCY); defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG); } // Properties specific to FORWARD_CURVE defaults.addValuePropertyName(ValueRequirementNames.FORWARD_CURVE, ValuePropertyNames.CURVE); defaults.addValuePropertyName(ValueRequirementNames.FORWARD_CURVE, ValuePropertyNames.DIVIDEND_TYPE); // Properties specific to STANDARD_VOLATILITY_SURFACE_DATA defaults.addValuePropertyName(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, ValuePropertyNames.DISCOUNTING_CURVE_NAME); defaults.addValuePropertyName(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, ValuePropertyNames.FORWARD_CURVE_NAME); defaults.addValuePropertyName(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD); } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { switch (propertyName) { case ValuePropertyNames.CURVE_CURRENCY: return Collections.singleton(_currency); case ValuePropertyNames.CURVE_CALCULATION_CONFIG: return Collections.singleton(_curveCalculationConfig); case ValuePropertyNames.CURVE: return Collections.singleton(_curveName); case ValuePropertyNames.DIVIDEND_TYPE: return Collections.singleton(_dividendType); case ValuePropertyNames.DISCOUNTING_CURVE_NAME: return Collections.singleton(_curveName); case ValuePropertyNames.FORWARD_CURVE_NAME: return Collections.singleton(_curveName); case ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD: return Collections.singleton(ForwardCurveValuePropertyNames.PROPERTY_YIELD_CURVE_IMPLIED_METHOD); default: s_logger.error("Could not find default value for {} in this function", propertyName); return null; } } @Override public PriorityClass getPriority() { return _priority; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.EQUITY_FORWARD_CURVE_DEFAULTS; } }