FXDigitalCallSpreadBlackSingleValuedFunction.java

/**
 * 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.callspreadblack;

import static com.opengamma.engine.value.ValuePropertyNames.CALCULATION_METHOD;

import java.util.Set;

import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackSingleValuedFunction;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXDigitalOptionSecurity;

/**
 *
 */
public abstract class FXDigitalCallSpreadBlackSingleValuedFunction extends FXOptionBlackSingleValuedFunction {

  public FXDigitalCallSpreadBlackSingleValuedFunction(final String valueRequirementName) {
    super(valueRequirementName);
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> spreads = constraints.getValues(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    if (spreads == null || spreads.size() != 1) {
      return null;
    }
    return super.getRequirements(context, target, desiredValue);
  }

  @Override
  protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
    final ValueProperties.Builder properties = super.getResultProperties(target)
        .withoutAny(CALCULATION_METHOD)
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.CALL_SPREAD_BLACK_METHOD)
        .withAny(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    return properties;
  }

  @Override
  protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String putCurve, final String putCurveCalculationConfig,
      final String callCurve, final String callCurveCalculationConfig, final CurrencyPair baseQuotePair, final ValueProperties optionalProperties) {
    final ValueProperties.Builder properties = super.getResultProperties(target, putCurve, putCurveCalculationConfig, callCurve, callCurveCalculationConfig,
        baseQuotePair, optionalProperties)
        .withoutAny(CALCULATION_METHOD)
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.CALL_SPREAD_BLACK_METHOD)
        .withAny(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    return properties;
  }

  @Override
  protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
    final String callSpread = desiredValue.getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    final ValueProperties.Builder properties = super.getResultProperties(target, desiredValue, baseQuotePair)
        .withoutAny(CALCULATION_METHOD)
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.CALL_SPREAD_BLACK_METHOD)
        .with(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE, callSpread);
    return properties;
  }

  @Override
  protected String getResultCurrency(final ComputationTarget target, final CurrencyPair baseQuotePair) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    if (security instanceof FXDigitalOptionSecurity) {
      return ((FXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    } else if (security instanceof NonDeliverableFXDigitalOptionSecurity) {
      return ((NonDeliverableFXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    }
    throw new OpenGammaRuntimeException("Can only handle FX digitals and non-deliverable FX digitals; should never happen");
  }
}