/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.horizon; import java.util.Arrays; 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.model.irfutureoption.InterestRateFutureOptionBlackDefaults; import com.opengamma.util.ArgumentChecker; /** * */ public class InterestRateFutureOptionBlackThetaDefaults extends InterestRateFutureOptionBlackDefaults { private final String _defaultNumberOfDays; public InterestRateFutureOptionBlackThetaDefaults(final String... daysCurrencyCurveConfigAndSurfaceNames) { super(Arrays.copyOfRange(daysCurrencyCurveConfigAndSurfaceNames, 1, daysCurrencyCurveConfigAndSurfaceNames.length)); ArgumentChecker.isTrue((daysCurrencyCurveConfigAndSurfaceNames.length - 1) % 3 == 0, "Input array must begin with a number of days then follow with one curve config and surface name per currency"); _defaultNumberOfDays = daysCurrencyCurveConfigAndSurfaceNames[0]; } @Override protected void getDefaults(final PropertyDefaults defaults) { super.getDefaults(defaults); defaults.addValuePropertyName(ValueRequirementNames.VALUE_THETA, ThetaPropertyNamesAndValues.PROPERTY_DAYS_TO_MOVE_FORWARD); defaults.addValuePropertyName(ValueRequirementNames.POSITION_THETA, ThetaPropertyNamesAndValues.PROPERTY_DAYS_TO_MOVE_FORWARD); } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { if (ThetaPropertyNamesAndValues.PROPERTY_DAYS_TO_MOVE_FORWARD.equals(propertyName)) { return Collections.singleton(_defaultNumberOfDays); } return super.getDefaultValue(context, target, desiredValue, propertyName); } }