/** * 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.surface.black.defaultproperties; import java.util.Collection; import java.util.Collections; import java.util.Map; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.google.common.collect.Maps; 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.financial.analytics.OpenGammaFunctionExclusions; import com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames; import com.opengamma.financial.property.DefaultPropertyFunction; import com.opengamma.util.ArgumentChecker; /** * */ public abstract class CommodityBlackVolatilitySurfaceDefaults extends DefaultPropertyFunction { private static final Logger s_logger = LoggerFactory.getLogger(CommodityBlackVolatilitySurfaceDefaults.class); private final String[] _valueRequirementNames; private final Map<String, Set<String>> _currencyToCurveName; private final Map<String, Set<String>> _currencyToCurveCalculationMethodName; private final Map<String, Set<String>> _currencyToSurfaceName; public CommodityBlackVolatilitySurfaceDefaults(final ComputationTargetType target, final String[] valueRequirementNames, final String... defaultsPerCurrency) { super(target, true); ArgumentChecker.notNull(defaultsPerCurrency, "defaults per currency"); ArgumentChecker.notNull(valueRequirementNames, "value requiremement names"); final int n = defaultsPerCurrency.length; ArgumentChecker.isTrue(n % 4 == 0, "Need one forward curve name, forward curve calculation method and surface name per currency"); _valueRequirementNames = valueRequirementNames; _currencyToCurveName = Maps.newLinkedHashMap(); _currencyToCurveCalculationMethodName = Maps.newLinkedHashMap(); _currencyToSurfaceName = Maps.newLinkedHashMap(); for (int i = 0; i < n; i += 4) { final String currencyPair = defaultsPerCurrency[i]; _currencyToCurveName.put(currencyPair, Collections.singleton(defaultsPerCurrency[i + 1])); _currencyToCurveCalculationMethodName.put(currencyPair, Collections.singleton(defaultsPerCurrency[i + 2])); _currencyToSurfaceName.put(currencyPair, Collections.singleton(defaultsPerCurrency[i + 3])); } } @Override public abstract boolean canApplyTo(FunctionCompilationContext context, ComputationTarget target); @Override protected void getDefaults(final PropertyDefaults defaults) { for (final String valueRequirement : _valueRequirementNames) { defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE); defaults.addValuePropertyName(valueRequirement, ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD); defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE); } } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { final String currencyPair = getCurrency(target); switch (propertyName) { case ValuePropertyNames.CURVE: return _currencyToCurveName.get(currencyPair); case ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD: return _currencyToCurveCalculationMethodName.get(currencyPair); case ValuePropertyNames.SURFACE: return _currencyToSurfaceName.get(currencyPair); default: s_logger.error("Could not find default value for {} in this function", propertyName); return null; } } protected Collection<String> getAllCurrencies() { return _currencyToCurveName.keySet(); } protected abstract String getCurrency(ComputationTarget target); @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.BLACK_VOLATILITY_SURFACE_DEFAULTS; } }