/** * 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; } }