/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.pnl; import java.util.Collections; import java.util.Set; import com.opengamma.core.security.Security; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.target.ComputationTargetType; 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.property.DefaultPropertyFunction; import com.opengamma.financial.security.cds.CreditDefaultSwapIndexSecurity; import com.opengamma.financial.security.cds.LegacyCDSSecurity; import com.opengamma.financial.security.cds.StandardCDSSecurity; import com.opengamma.financial.security.option.CreditDefaultSwapOptionSecurity; import com.opengamma.util.ArgumentChecker; /** * */ public class CreditInstrumentCS01PnLDefaults extends DefaultPropertyFunction { private final String _samplingPeriod; private final String _scheduleCalculator; private final String _samplingFunction; public CreditInstrumentCS01PnLDefaults(final String samplingPeriod, final String scheduleCalculator, final String samplingFunction) { super(ComputationTargetType.POSITION, true); ArgumentChecker.notNull(samplingPeriod, "sampling period"); ArgumentChecker.notNull(scheduleCalculator, "schedule calculator"); ArgumentChecker.notNull(samplingFunction, "sampling function"); _samplingPeriod = samplingPeriod; _scheduleCalculator = scheduleCalculator; _samplingFunction = samplingFunction; } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { final Security security = target.getPosition().getSecurity(); return security instanceof StandardCDSSecurity || security instanceof LegacyCDSSecurity || security instanceof CreditDefaultSwapOptionSecurity || security instanceof CreditDefaultSwapIndexSecurity; } @Override protected void getDefaults(final PropertyDefaults defaults) { defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SAMPLING_PERIOD); defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SCHEDULE_CALCULATOR); defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SAMPLING_FUNCTION); } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { if (ValuePropertyNames.SAMPLING_PERIOD.equals(propertyName)) { return Collections.singleton(_samplingPeriod); } if (ValuePropertyNames.SCHEDULE_CALCULATOR.equals(propertyName)) { return Collections.singleton(_scheduleCalculator); } if (ValuePropertyNames.SAMPLING_FUNCTION.equals(propertyName)) { return Collections.singleton(_samplingFunction); } return null; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.PNL_SERIES; } }