/**
* 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;
}
}