/** * 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.option.black; import java.util.Collections; import java.util.Set; import org.apache.commons.lang.Validate; 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.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurityTypes; /** * */ public class FXOneLookBarrierOptionBlackDefaultPropertiesFunction extends DefaultPropertyFunction { private final String _callSpreadFullWidth; private final String _barrierOverhedge; private static final String[] s_valueNames = new String[] { ValueRequirementNames.PRESENT_VALUE, ValueRequirementNames.VALUE_DELTA, ValueRequirementNames.VALUE_GAMMA, ValueRequirementNames.VALUE_VEGA, ValueRequirementNames.VEGA_QUOTE_MATRIX, ValueRequirementNames.VALUE_VANNA, ValueRequirementNames.VALUE_VOMMA }; public FXOneLookBarrierOptionBlackDefaultPropertiesFunction(final String barrierOverhedge, final String callSpreadFullWidth) { super(FinancialSecurityTypes.FX_BARRIER_OPTION_SECURITY, true); Validate.notNull(barrierOverhedge, "No barrierOverhedge name was provided to use as default value."); Validate.notNull(callSpreadFullWidth, "No callSpreadFullWidth name was provided to use as default value."); _barrierOverhedge = barrierOverhedge; _callSpreadFullWidth = callSpreadFullWidth; } @Override protected void getDefaults(PropertyDefaults defaults) { for (final String valueName : s_valueNames) { defaults.addValuePropertyName(valueName, ValuePropertyNames.BINARY_OVERHEDGE); defaults.addValuePropertyName(valueName, ValuePropertyNames.BINARY_SMOOTHING_FULLWIDTH); } } @Override protected Set<String> getDefaultValue(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue, String propertyName) { if (ValuePropertyNames.BINARY_OVERHEDGE.equals(propertyName)) { return Collections.singleton(_barrierOverhedge); } else if (ValuePropertyNames.BINARY_SMOOTHING_FULLWIDTH.equals(propertyName)) { return Collections.singleton(_callSpreadFullWidth); } return null; } }