/**
* 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;
}
}