/**
* 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.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.SecuritySource;
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.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames;
import com.opengamma.financial.analytics.model.equity.EquitySecurityUtils;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.id.UniqueId;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class EquityFutureBlackVolatilitySurfacePerCurrencyDefaults extends DefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(EquityFutureBlackVolatilitySurfacePerCurrencyDefaults.class);
/** The value requirements for which these defaults apply */
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.BLACK_VOLATILITY_SURFACE,
ValueRequirementNames.LOCAL_VOLATILITY_SURFACE,
ValueRequirementNames.PURE_VOLATILITY_SURFACE,
ValueRequirementNames.FORWARD_DELTA,
ValueRequirementNames.DUAL_DELTA,
ValueRequirementNames.DUAL_GAMMA,
ValueRequirementNames.FORWARD_GAMMA,
ValueRequirementNames.FORWARD_VEGA,
ValueRequirementNames.FORWARD_VOMMA,
ValueRequirementNames.FORWARD_VANNA,
ValueRequirementNames.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
};
/** Ids to forward curve names */
private final Map<String, Set<String>> _forwardCurveNames;
/** Ids to curve calculation method names */
private final Map<String, Set<String>> _forwardCurveCalculationMethodNames;
/** Ids to surface names */
private final Map<String, Set<String>> _surfaceNames;
/** The priority of these defaults */
private final PriorityClass _priority;
/**
* @param priority The priority of these defaults, not null
* @param defaults The defaults, not null.
*/
public EquityFutureBlackVolatilitySurfacePerCurrencyDefaults(final String priority, final String... defaults) {
super(ComputationTargetType.PRIMITIVE, true); //TODO [PLAT-2286]: change to correct type; should this be SECURITY?
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(defaults, "defaults");
final int n = defaults.length;
ArgumentChecker.isTrue(n % 4 == 0, "Need one forward curve name, forward curve calculation method and surface name per currency");
_priority = PriorityClass.valueOf(priority);
_forwardCurveNames = new HashMap<>();
_forwardCurveCalculationMethodNames = new HashMap<>();
_surfaceNames = new HashMap<>();
for (int i = 0; i < n; i += 4) {
final String currencyName = defaults[i];
_forwardCurveNames.put(currencyName, Collections.singleton(defaults[i + 1]));
_forwardCurveCalculationMethodNames.put(currencyName, Collections.singleton(defaults[i + 2]));
_surfaceNames.put(currencyName, Collections.singleton(defaults[i + 3]));
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
// TODO [PLAT-2286] If the target type is security then the resolver will do half the work that EquitySecurityUtils.getCurrency is doing
// and it will just need to apply the currency lookup visitor to the resolved security object
final UniqueId id = target.getUniqueId();
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final String currency = EquitySecurityUtils.getCurrency(securitySource, id);
if (currency == null) {
return false;
}
return _forwardCurveNames.containsKey(currency);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
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 SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final String currency = EquitySecurityUtils.getCurrency(securitySource, target.getUniqueId());
if (currency == null) {
s_logger.error("Could not get currency for {}; should never happen", target.getUniqueId());
return null;
}
switch (propertyName) {
case ValuePropertyNames.CURVE:
return _forwardCurveNames.get(currency);
case ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD:
return _forwardCurveCalculationMethodNames.get(currency);
case ValuePropertyNames.SURFACE:
return _surfaceNames.get(currency);
default:
s_logger.error("Could not find default value for {} in this function", propertyName);
return null;
}
}
@Override
public PriorityClass getPriority() {
return _priority;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.BLACK_VOLATILITY_SURFACE_DEFAULTS;
}
}