/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.sensitivities; 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.financial.analytics.OpenGammaFunctionExclusions; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.financial.sensitivities.SecurityEntryData; import com.opengamma.master.security.RawSecurity; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Provides defaults for externally provided sensitivities values */ public class ExternallyProvidedSensitivitiesDefaultPropertiesFunction extends DefaultPropertyFunction { private static final Logger s_logger = LoggerFactory.getLogger(ExternallyProvidedSensitivitiesDefaultPropertiesFunction.class); private static final String[] s_valueNames = { "Present Value", "PV01", "CS01", "Yield Curve Node Sensitivities" }; private final Map<String, String> _currencyAndCurveConfigNames; public ExternallyProvidedSensitivitiesDefaultPropertiesFunction(final String[] currencyAndCurveConfigNames) { super(ComputationTargetType.POSITION, true); ArgumentChecker.notNull(currencyAndCurveConfigNames, "currency and curve config names"); final int nPairs = currencyAndCurveConfigNames.length; ArgumentChecker.isTrue(nPairs % 2 == 0, "Must have one curve config name per currency"); _currencyAndCurveConfigNames = new HashMap<String, String>(); for (int i = 0; i < currencyAndCurveConfigNames.length; i += 2) { _currencyAndCurveConfigNames.put(currencyAndCurveConfigNames[i], currencyAndCurveConfigNames[(i + 1)]); } } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { if (!(target.getPosition().getSecurity() instanceof RawSecurity)) { return false; } final RawSecurity security = (RawSecurity) target.getPosition().getSecurity(); if (!security.getSecurityType().equals(SecurityEntryData.EXTERNAL_SENSITIVITIES_SECURITY_TYPE)) { return false; } final Currency currency = FinancialSecurityUtils.getCurrency(security); if (currency == null) { return false; } final String currencyName = currency.getCode(); if (!this._currencyAndCurveConfigNames.containsKey(currencyName)) { return false; } return true; } @Override protected void getDefaults(final DefaultPropertyFunction.PropertyDefaults defaults) { for (final String valueName : s_valueNames) { defaults.addValuePropertyName(valueName, "CurveCalculationConfig"); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { if ("CurveCalculationConfig".equals(propertyName)) { final String currencyName = FinancialSecurityUtils.getCurrency(target.getPosition().getSecurity()).getCode(); final String configName = _currencyAndCurveConfigNames.get(currencyName); if (configName == null) { s_logger.error("Could not get config for currency " + currencyName + "; should never happen"); return null; } return Collections.singleton(configName); } return null; } @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.EXTERNALLY_PROVIDED_SENSITIVITIES_DEFAULTS; } }