/**
* 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.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.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.volatility.local.LocalVolatilitySurfacePropertyNamesAndValues;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class LocalVolatilitySurfaceDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(LocalVolatilitySurfaceDefaults.class);
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.LOCAL_VOLATILITY_SURFACE,
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 String _eps;
public LocalVolatilitySurfaceDefaults(final String eps) {
super(ComputationTargetType.CURRENCY
.or(ComputationTargetType.UNORDERED_CURRENCY_PAIR)
.or(FinancialSecurityTypes.FX_OPTION_SECURITY)
.or(FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY), true);
ArgumentChecker.notNull(eps, "eps");
_eps = eps;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, LocalVolatilitySurfacePropertyNamesAndValues.PROPERTY_DERIVATIVE_EPS);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
if (LocalVolatilitySurfacePropertyNamesAndValues.PROPERTY_DERIVATIVE_EPS.equals(propertyName)) {
return Collections.singleton(_eps);
}
s_logger.error("Could not get default value for {}", propertyName);
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.LOCAL_VOLATILITY_SURFACE_DEFAULTS;
}
}