/**
* 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.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.model.forex.ForexVisitors;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
*
*/
public class FXForwardDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardDefaults.class);
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.FX_PRESENT_VALUE,
ValueRequirementNames.FX_CURRENCY_EXPOSURE,
ValueRequirementNames.FX_CURVE_SENSITIVITIES,
ValueRequirementNames.PV01,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.VALUE_THETA,
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.FX_FORWARD_POINTS_NODE_SENSITIVITIES
};
private final Map<String, Pair<String, String>> _currencyCurveConfigAndDiscountingCurveNames;
public FXForwardDefaults(final String... currencyCurveConfigAndDiscountingCurveNames) {
super(FinancialSecurityTypes.FX_FORWARD_SECURITY.or(FinancialSecurityTypes.NON_DELIVERABLE_FX_FORWARD_SECURITY), true);
ArgumentChecker.notNull(currencyCurveConfigAndDiscountingCurveNames, "currency and curve config names");
final int nPairs = currencyCurveConfigAndDiscountingCurveNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and discounting curve name per currency");
_currencyCurveConfigAndDiscountingCurveNames = new HashMap<>();
for (int i = 0; i < currencyCurveConfigAndDiscountingCurveNames.length; i += 3) {
final Pair<String, String> pair = Pairs.of(currencyCurveConfigAndDiscountingCurveNames[i + 1], currencyCurveConfigAndDiscountingCurveNames[i + 2]);
_currencyCurveConfigAndDiscountingCurveNames.put(currencyCurveConfigAndDiscountingCurveNames[i], pair);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final FinancialSecurity fxSecurity = (FinancialSecurity) target.getSecurity();
final String payCurrency = fxSecurity.accept(ForexVisitors.getPayCurrencyVisitor()).getCode();
final String receiveCurrency = fxSecurity.accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
return _currencyCurveConfigAndDiscountingCurveNames.containsKey(payCurrency) && _currencyCurveConfigAndDiscountingCurveNames.containsKey(receiveCurrency);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.PAY_CURVE);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.RECEIVE_CURVE);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final String payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor()).getCode();
final String receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(payCurrency)) {
s_logger.error("Could not get config for pay currency " + payCurrency + "; should never happen");
return null;
}
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(receiveCurrency)) {
s_logger.error("Could not get config for receive currency " + receiveCurrency + "; should never happen");
return null;
}
final Pair<String, String> payPair = _currencyCurveConfigAndDiscountingCurveNames.get(payCurrency);
final Pair<String, String> receivePair = _currencyCurveConfigAndDiscountingCurveNames.get(receiveCurrency);
if (ValuePropertyNames.PAY_CURVE.equals(propertyName)) {
return Collections.singleton(payPair.getSecond());
}
if (ValuePropertyNames.RECEIVE_CURVE.equals(propertyName)) {
return Collections.singleton(receivePair.getSecond());
}
if (ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(payPair.getFirst());
}
if (ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(receivePair.getFirst());
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.FX_FORWARD_DEFAULTS;
}
}