/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.volatility.local.defaultproperties;
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.core.security.Security;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
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.volatility.local.PDEPropertyNamesAndValues;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
*
*/
public class FXPDECurveDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXPDECurveDefaults.class);
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.FORWARD_DELTA,
ValueRequirementNames.DUAL_DELTA,
ValueRequirementNames.DUAL_GAMMA,
ValueRequirementNames.FORWARD_GAMMA,
ValueRequirementNames.FOREX_DOMESTIC_PRICE,
ValueRequirementNames.FOREX_PV_QUOTES,
ValueRequirementNames.FORWARD_VEGA,
ValueRequirementNames.FORWARD_VOMMA,
ValueRequirementNames.FORWARD_VANNA,
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.FX_PRESENT_VALUE,
ValueRequirementNames.IMPLIED_VOLATILITY,
ValueRequirementNames.GRID_DUAL_DELTA,
ValueRequirementNames.GRID_DUAL_GAMMA,
ValueRequirementNames.GRID_FORWARD_DELTA,
ValueRequirementNames.GRID_FORWARD_GAMMA,
ValueRequirementNames.GRID_FORWARD_VEGA,
ValueRequirementNames.GRID_FORWARD_VANNA,
ValueRequirementNames.GRID_FORWARD_VOMMA,
ValueRequirementNames.GRID_IMPLIED_VOLATILITY,
ValueRequirementNames.GRID_PRESENT_VALUE
};
private final Map<String, Pair<String, String>> _currencyCurveConfigAndDiscountingCurveNames;
public FXPDECurveDefaults(final String... currencyCurveConfigAndDiscountingCurveNames) {
super(FinancialSecurityTypes.FX_OPTION_SECURITY, true);
ArgumentChecker.notNull(currencyCurveConfigAndDiscountingCurveNames, "currency and curve config names");
final int nPairs = currencyCurveConfigAndDiscountingCurveNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and discounting curve name per currency");
_currencyCurveConfigAndDiscountingCurveNames = new HashMap<String, Pair<String, String>>();
for (int i = 0; i < currencyCurveConfigAndDiscountingCurveNames.length; i += 3) {
final Pair<String, String> pair = Pairs.of(currencyCurveConfigAndDiscountingCurveNames[i + 1], currencyCurveConfigAndDiscountingCurveNames[i + 2]);
_currencyCurveConfigAndDiscountingCurveNames.put(currencyCurveConfigAndDiscountingCurveNames[i], pair);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getSecurity();
final FXOptionSecurity fxOption = (FXOptionSecurity) security;
final String callCurrency = fxOption.getCallCurrency().getCode();
return _currencyCurveConfigAndDiscountingCurveNames.containsKey(callCurrency);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, PDEPropertyNamesAndValues.PROPERTY_DISCOUNTING_CURVE_NAME);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final FXOptionSecurity security = (FXOptionSecurity) target.getSecurity();
final String callCurrency = security.getCallCurrency().getCode();
if (!_currencyCurveConfigAndDiscountingCurveNames.containsKey(callCurrency)) {
s_logger.error("Could not get config for call currency " + callCurrency + "; should never happen");
return null;
}
final Pair<String, String> pair = _currencyCurveConfigAndDiscountingCurveNames.get(callCurrency);
if (PDEPropertyNamesAndValues.PROPERTY_DISCOUNTING_CURVE_NAME.equals(propertyName)) {
return Collections.singleton(pair.getFirst());
}
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(pair.getSecond());
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.CURVE_DEFAULTS;
}
}