FXOptionBlackPnLSurfaceDefaults.java example

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/**
 * 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.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.InterpolatedDataProperties;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
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 FXOptionBlackPnLSurfaceDefaults extends DefaultPropertyFunction {
  private static final Logger s_logger = LoggerFactory.getLogger(FXOptionBlackPnLSurfaceDefaults.class);
  private final String _interpolatorName;
  private final String _leftExtrapolatorName;
  private final String _rightExtrapolatorName;
  private final Map<Pair<String, String>, String> _surfaceNameByCurrencyPair;

  public FXOptionBlackPnLSurfaceDefaults(final String interpolatorName, final String leftExtrapolatorName, final String rightExtrapolatorName,
      final String... surfaceNameByCurrencyPair) {
    super(ComputationTargetType.POSITION, true);
    ArgumentChecker.notNull(interpolatorName, "interpolator name");
    ArgumentChecker.notNull(leftExtrapolatorName, "left extrapolator name");
    ArgumentChecker.notNull(rightExtrapolatorName, "right extrapolator name");
    ArgumentChecker.notNull(surfaceNameByCurrencyPair, "property values by currency");
    ArgumentChecker.isTrue(surfaceNameByCurrencyPair.length % 3 == 0, "Must have one surface name per currency pair");
    _interpolatorName = interpolatorName;
    _leftExtrapolatorName = leftExtrapolatorName;
    _rightExtrapolatorName = rightExtrapolatorName;
    _surfaceNameByCurrencyPair = new HashMap<Pair<String, String>, String>();
    for (int i = 0; i < surfaceNameByCurrencyPair.length; i += 3) {
      final String firstCurrency = surfaceNameByCurrencyPair[i];
      final String secondCurrency = surfaceNameByCurrencyPair[i + 1];
      ArgumentChecker.isFalse(firstCurrency.equals(secondCurrency), "The two currencies must not be equal; have {} and {}", firstCurrency, secondCurrency);
      final String surfaceName = surfaceNameByCurrencyPair[i + 2];
      _surfaceNameByCurrencyPair.put(Pairs.of(firstCurrency, secondCurrency), surfaceName);
    }
  }

  @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();
    final Pair<String, String> pair = Pairs.of(putCurrency, callCurrency);
    if (_surfaceNameByCurrencyPair.containsKey(pair)) {
      return true;
    }
    return _surfaceNameByCurrencyPair.containsKey(Pairs.of(callCurrency, putCurrency));
  }

  @Override
  protected void getDefaults(final PropertyDefaults defaults) {
    defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SURFACE);
    defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, InterpolatedDataProperties.X_INTERPOLATOR_NAME);
    defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
  }

  @Override
  protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
    if (InterpolatedDataProperties.X_INTERPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_interpolatorName);
    }
    if (InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_leftExtrapolatorName);
    }
    if (InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_rightExtrapolatorName);
    }
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
    final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
    if (ValuePropertyNames.SURFACE.equals(propertyName)) {
      Pair<String, String> pair = Pairs.of(putCurrency, callCurrency);
      if (_surfaceNameByCurrencyPair.containsKey(pair)) {
        return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));
      }
      pair = Pairs.of(callCurrency, putCurrency);
      if (_surfaceNameByCurrencyPair.containsKey(pair)) {
        return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));
      }
      s_logger.error("Could not get surface name for currency pair {}, {}; should never happen", putCurrency, callCurrency);
    }
    return null;

  }

  @Override
  public String getMutualExclusionGroup() {
    return OpenGammaFunctionExclusions.PNL_SERIES;
  }

}