/** * 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); }