/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.var;
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.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.util.ArgumentChecker;
/**
*
*/
public class EmpiricalHistoricalVaRDefaultPropertiesFunction extends DefaultPropertyFunction {
private static final String[] VALUE_REQUIREMENTS = new String[] {ValueRequirementNames.HISTORICAL_VAR, ValueRequirementNames.CONDITIONAL_HISTORICAL_VAR};
private final String _confidenceLevel;
private final String _horizon;
private final String _samplingPeriod;
private final String _scheduleCalculator;
private final String _samplingCalculator;
public EmpiricalHistoricalVaRDefaultPropertiesFunction(final String samplingPeriod, final String scheduleCalculator, final String samplingCalculator,
final String confidenceLevel, final String horizon) {
super(ComputationTargetType.PORTFOLIO_NODE.or(ComputationTargetType.POSITION), true);
ArgumentChecker.notNull(samplingPeriod, "sampling period name");
ArgumentChecker.notNull(scheduleCalculator, "schedule calculator name");
ArgumentChecker.notNull(samplingCalculator, "time series sampling calculator name");
ArgumentChecker.notNull(confidenceLevel, "confidence level name");
ArgumentChecker.notNull(horizon, "horizon name");
_samplingPeriod = samplingPeriod;
_scheduleCalculator = scheduleCalculator;
_samplingCalculator = samplingCalculator;
_confidenceLevel = confidenceLevel;
_horizon = horizon;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SAMPLING_PERIOD);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SCHEDULE_CALCULATOR);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SAMPLING_FUNCTION);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CONFIDENCE_LEVEL);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.HORIZON);
}
}
@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(_samplingCalculator);
}
if (ValuePropertyNames.CONFIDENCE_LEVEL.equals(propertyName)) {
return Collections.singleton(_confidenceLevel);
}
if (ValuePropertyNames.HORIZON.equals(propertyName)) {
return Collections.singleton(_horizon);
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.NORMAL_HISTORICAL_VAR;
}
}