/**
* Copyright (C) 2012 - 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.HashMap;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.option.FXBarrierOptionSecurity;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXDigitalOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXOptionSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
*
*/
public class FXOptionBlackPnLCurveDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXOptionBlackPnLCurveDefaults.class);
private final Map<String, Pair<String, String>> _currencyCurveConfigAndDiscountingCurveNames;
public FXOptionBlackPnLCurveDefaults(final String... currencyCurveConfigAndDiscountingCurveNames) {
super(ComputationTargetType.POSITION, true);
ArgumentChecker.notNull(currencyCurveConfigAndDiscountingCurveNames, "property values by currency");
ArgumentChecker.isTrue(currencyCurveConfigAndDiscountingCurveNames.length % 3 == 0, "Must have a curve calculation configuration name and curve name per currency");
_currencyCurveConfigAndDiscountingCurveNames = new HashMap<String, Pair<String, String>>();
for (int i = 0; i < currencyCurveConfigAndDiscountingCurveNames.length; i += 3) {
final Pair<String, String> pair = Pairs.of(currencyCurveConfigAndDiscountingCurveNames[i + 1], currencyCurveConfigAndDiscountingCurveNames[i + 2]);
_currencyCurveConfigAndDiscountingCurveNames.put(currencyCurveConfigAndDiscountingCurveNames[i], pair);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
if (!(target.getPosition().getSecurity() instanceof FinancialSecurity)) {
return false;
}
final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
final boolean isFXOption = (security instanceof FXOptionSecurity
|| security instanceof FXBarrierOptionSecurity
|| security instanceof FXDigitalOptionSecurity
|| security instanceof NonDeliverableFXOptionSecurity
|| security instanceof NonDeliverableFXDigitalOptionSecurity);
if (!isFXOption) {
return false;
}
final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
return (_currencyCurveConfigAndDiscountingCurveNames.containsKey(putCurrency) && _currencyCurveConfigAndDiscountingCurveNames.containsKey(callCurrency));
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, FXOptionBlackFunction.PUT_CURVE);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, FXOptionBlackFunction.CALL_CURVE);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG);
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(putCurrency)) {
s_logger.error("Could not get config for put currency " + putCurrency + "; should never happen");
return null;
}
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(callCurrency)) {
s_logger.error("Could not get config for call currency " + callCurrency + "; should never happen");
return null;
}
final String putCurveConfig, callCurveConfig, putCurve, callCurve;
final Pair<String, String> firstCurrencyValues = _currencyCurveConfigAndDiscountingCurveNames.get(putCurrency);
putCurveConfig = firstCurrencyValues.getFirst();
putCurve = firstCurrencyValues.getSecond();
final Pair<String, String> secondCurrencyValues = _currencyCurveConfigAndDiscountingCurveNames.get(callCurrency);
callCurveConfig = secondCurrencyValues.getFirst();
callCurve = secondCurrencyValues.getSecond();
if (FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(putCurveConfig);
}
if (FXOptionBlackFunction.PUT_CURVE.equals(propertyName)) {
return Collections.singleton(putCurve);
}
if (FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(callCurveConfig);
}
if (FXOptionBlackFunction.CALL_CURVE.equals(propertyName)) {
return Collections.singleton(callCurve);
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.CURVE_DEFAULTS;
}
}