/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.futures;
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.core.security.Security;
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.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.EquityFutureSecurity;
import com.opengamma.financial.security.future.EquityIndexDividendFutureSecurity;
import com.opengamma.financial.security.future.IndexFutureSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
*
*/
public class EquityDividendYieldPricingDefaults extends DefaultPropertyFunction {
/** The default values */
private final Map<Currency, Pair<String, String>> _currencyCurveConfigAndDiscountingCurveNames;
/** The priority */
private final PriorityClass _priority;
/** The value requirements for which these defaults apply */
private static final String[] s_valueNames = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.VALUE_DELTA,
ValueRequirementNames.FORWARD,
ValueRequirementNames.SPOT,
ValueRequirementNames.VALUE_RHO,
ValueRequirementNames.PV01,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES
};
/**
* @param priority The priority class of {@link DefaultPropertyFunction} instances, allowing them to be ordered relative to each other. ABOVE_NORMAL, NORMAL, BELOW_NORMAL, LOWEST
* @param currencyCurveConfigAndDiscountingCurveNames Choice of MultiCurveCalculationConfig. e.g. DefaultTwoCurveUSDConfig
*/
public EquityDividendYieldPricingDefaults(final String priority, final String... currencyCurveConfigAndDiscountingCurveNames) {
super(ComputationTargetType.TRADE, true);
ArgumentChecker.notNull(priority, "No priority was provided.");
ArgumentChecker.notNull(currencyCurveConfigAndDiscountingCurveNames, "No curveCalculationConfigName was provided to use as default value.");
_priority = PriorityClass.valueOf(priority);
final int nPairs = currencyCurveConfigAndDiscountingCurveNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and discounting curve name per currency");
_currencyCurveConfigAndDiscountingCurveNames = new HashMap<Currency, 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]);
final Currency ccy = Currency.of(currencyCurveConfigAndDiscountingCurveNames[i]);
_currencyCurveConfigAndDiscountingCurveNames.put(ccy, pair);
}
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueName : s_valueNames) {
defaults.addValuePropertyName(valueName, ValuePropertyNames.CURVE);
defaults.addValuePropertyName(valueName, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final Currency ccy = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(ccy)) {
s_logger.error("Could not get config for currency " + ccy + "; should never happen");
return null;
}
final Pair<String, String> pair = _currencyCurveConfigAndDiscountingCurveNames.get(ccy);
if (ValuePropertyNames.CURVE.equals(propertyName)) {
return Collections.singleton(pair.getSecond());
} else if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(pair.getFirst());
}
return null;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security sec = target.getTrade().getSecurity();
if (!(sec instanceof EquityFutureSecurity || sec instanceof EquityIndexDividendFutureSecurity || sec instanceof IndexFutureSecurity)) {
return false;
}
final Currency ccy = FinancialSecurityUtils.getCurrency(sec);
final boolean applies = _currencyCurveConfigAndDiscountingCurveNames.containsKey(ccy);
return applies;
}
@Override
public PriorityClass getPriority() {
return _priority;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.EQUITY_FUTURE_DEFAULTS;
}
private static final Logger s_logger = LoggerFactory.getLogger(EquityDividendYieldPricingDefaults.class);
}