SABRRightExtrapolationVegaDefaults.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.sabrcube.defaultproperties;

import java.util.Collections;
import java.util.Set;

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.model.InterpolatedDataProperties;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.ArgumentChecker;

/**
 * Default function for SABR vega calculations.
 * @deprecated The functions for which these defaults apply are deprecated
 */
@Deprecated
public class SABRRightExtrapolationVegaDefaults extends SABRRightExtrapolationDefaults {
  private final String _xInterpolator;
  private final String _xLeftExtrapolator;
  private final String _xRightExtrapolator;
  private final String _yInterpolator;
  private final String _yLeftExtrapolator;
  private final String _yRightExtrapolator;

  public SABRRightExtrapolationVegaDefaults(final String fittingMethod, final String cutoff, final String mu,
      final String xInterpolator, final String xLeftExtrapolator, final String xRightExtrapolator, final String yInterpolator, final String yLeftExtrapolator,
      final String yRightExtrapolator, final String... currencyAndConfigNames) {
    super(fittingMethod, cutoff, mu, currencyAndConfigNames);
    ArgumentChecker.notNull(xInterpolator, "x interpolator");
    ArgumentChecker.notNull(xLeftExtrapolator, "x left extrapolator");
    ArgumentChecker.notNull(xRightExtrapolator, "x right extrapolator");
    ArgumentChecker.notNull(yInterpolator, "y interpolator");
    ArgumentChecker.notNull(yLeftExtrapolator, "y left extrapolator");
    ArgumentChecker.notNull(yRightExtrapolator, "y right extrapolator");
    _xInterpolator = xInterpolator;
    _xLeftExtrapolator = xLeftExtrapolator;
    _xRightExtrapolator = xRightExtrapolator;
    _yInterpolator = yInterpolator;
    _yLeftExtrapolator = yLeftExtrapolator;
    _yRightExtrapolator = yRightExtrapolator;
  }

  @Override
  public ComputationTargetType getTargetType() {
    return FinancialSecurityTypes.CAP_FLOOR_CMS_SPREAD_SECURITY;
  }

  @Override
  protected void getDefaults(final PropertyDefaults defaults) {
    super.getDefaults(defaults);
    defaults.addValuePropertyName(ValueRequirementNames.VEGA_QUOTE_CUBE, InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    defaults.addValuePropertyName(ValueRequirementNames.VEGA_QUOTE_CUBE, InterpolatedDataProperties.LEFT_Y_EXTRAPOLATOR_NAME);
    defaults.addValuePropertyName(ValueRequirementNames.VEGA_QUOTE_CUBE, InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    defaults.addValuePropertyName(ValueRequirementNames.VEGA_QUOTE_CUBE, InterpolatedDataProperties.RIGHT_Y_EXTRAPOLATOR_NAME);
    defaults.addValuePropertyName(ValueRequirementNames.VEGA_QUOTE_CUBE, InterpolatedDataProperties.X_INTERPOLATOR_NAME);
    defaults.addValuePropertyName(ValueRequirementNames.VEGA_QUOTE_CUBE, InterpolatedDataProperties.Y_INTERPOLATOR_NAME);
  }

  @Override
  protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
    if (InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_xLeftExtrapolator);
    }
    if (InterpolatedDataProperties.LEFT_Y_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_yLeftExtrapolator);
    }
    if (InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_xRightExtrapolator);
    }
    if (InterpolatedDataProperties.RIGHT_Y_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_yRightExtrapolator);
    }
    if (InterpolatedDataProperties.X_INTERPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_xInterpolator);
    }
    if (InterpolatedDataProperties.Y_INTERPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_yInterpolator);
    }
    final Set<String> properties = super.getDefaultValue(context, target, desiredValue, propertyName);
    if (properties != null) {
      return properties;
    }
    return null;
  }
}