/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.defaultproperties;
import java.util.Collections;
import java.util.Set;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.forex.option.callspreadblack.FXDigitalCallSpreadBlackFunction;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class FXDigitalCallSpreadBlackDefaults extends DefaultPropertyFunction {
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.FX_CURRENCY_EXPOSURE,
ValueRequirementNames.VALUE_VEGA,
ValueRequirementNames.VALUE_GAMMA,
ValueRequirementNames.VALUE_GAMMA_P,
ValueRequirementNames.VEGA_MATRIX,
ValueRequirementNames.VEGA_QUOTE_MATRIX,
ValueRequirementNames.FX_CURVE_SENSITIVITIES,
ValueRequirementNames.PV01,
ValueRequirementNames.CALL_SPREAD_VALUE_VEGA,
ValueRequirementNames.VALUE_THETA
};
private final String _spread;
/**
* @param spread The spread to use
*/
public FXDigitalCallSpreadBlackDefaults(final String spread) {
super(FinancialSecurityTypes.FX_DIGITAL_OPTION_SECURITY.or(FinancialSecurityTypes.NON_DELIVERABLE_FX_DIGITAL_OPTION_SECURITY), true);
ArgumentChecker.notNull(spread, "spread");
_spread = spread;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, FXDigitalCallSpreadBlackFunction.PROPERTY_CALL_SPREAD_VALUE);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
if (FXDigitalCallSpreadBlackFunction.PROPERTY_CALL_SPREAD_VALUE.equals(propertyName)) {
return Collections.singleton(_spread);
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.FX_DIGITAL_OPTION_CALL_SPREAD_BLACK_DEFAULTS;
}
}