/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.fixedincome; 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.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.fixedincome.InterestRateInstrumentType; import com.opengamma.financial.analytics.model.multicurve.MultiCurvePricingFunction; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurity; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.financial.security.future.InterestRateFutureSecurity; import com.opengamma.financial.security.swap.SwapSecurity; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Dummy function for injecting default curve names into the dependency graph. * @deprecated These properties are no longer needed when using {@link MultiCurvePricingFunction} * and related classes. */ @Deprecated public class InterestRateInstrumentDefaultPropertiesFunction extends DefaultPropertyFunction { private static final Logger s_logger = LoggerFactory.getLogger(InterestRateInstrumentDefaultPropertiesFunction.class); private static final String[] s_valueNames = new String[] { ValueRequirementNames.PRESENT_VALUE, ValueRequirementNames.PAR_RATE, ValueRequirementNames.PAR_RATE_CURVE_SENSITIVITY, ValueRequirementNames.PAR_RATE_PARALLEL_CURVE_SHIFT, ValueRequirementNames.PV01, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, ValueRequirementNames.VALUE_THETA, ValueRequirementNames.SWAP_PAY_LEG_DETAILS, ValueRequirementNames.SWAP_RECEIVE_LEG_DETAILS, ValueRequirementNames.PAY_LEG_PRESENT_VALUE, ValueRequirementNames.RECEIVE_LEG_PRESENT_VALUE}; private final boolean _includeIRFutures; private final Map<String, String> _currencyAndCurveConfigNames; public InterestRateInstrumentDefaultPropertiesFunction(final String includeIRFutures, final String... currencyAndCurveConfigNames) { super(InterestRateInstrumentType.FIXED_INCOME_INSTRUMENT_TARGET_TYPE, true); ArgumentChecker.notNull(includeIRFutures, "include IR futures field"); ArgumentChecker.notNull(currencyAndCurveConfigNames, "currency and curve config names"); final int nPairs = currencyAndCurveConfigNames.length; ArgumentChecker.isTrue(nPairs % 2 == 0, "Must have one curve config name per currency"); _includeIRFutures = Boolean.parseBoolean(includeIRFutures); _currencyAndCurveConfigNames = new HashMap<>(); for (int i = 0; i < currencyAndCurveConfigNames.length; i += 2) { _currencyAndCurveConfigNames.put(currencyAndCurveConfigNames[i], currencyAndCurveConfigNames[i + 1]); } } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { final FinancialSecurity security = (FinancialSecurity) target.getSecurity(); if (!_includeIRFutures && security instanceof InterestRateFutureSecurity) { return false; } final Currency currency = FinancialSecurityUtils.getCurrency(security); if (currency == null) { return false; } final String currencyName = currency.getCode(); if (!_currencyAndCurveConfigNames.containsKey(currencyName)) { return false; } if (security instanceof SwapSecurity) { if (!InterestRateInstrumentType.isFixedIncomeInstrumentType(security)) { return false; } final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(security); if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD || type == InterestRateInstrumentType.SWAP_IBOR_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_OIS) { return true; } } return true; } @Override protected void getDefaults(final PropertyDefaults defaults) { for (final String valueName : s_valueNames) { defaults.addValuePropertyName(valueName, ValuePropertyNames.CURVE_CALCULATION_CONFIG); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) { final String currencyName = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode(); final String configName = _currencyAndCurveConfigNames.get(currencyName); if (configName == null) { s_logger.error("Could not get config for currency " + currencyName + "; should never happen"); return null; } return Collections.singleton(configName); } return null; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.INTEREST_RATE_INSTRUMENT_DEFAULTS; } }