/** * 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.engine.value.ValueRequirementNames; 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 FXBlackVolatilitySurfaceDefaults extends DefaultPropertyFunction { private static final Logger s_logger = LoggerFactory.getLogger(FXBlackVolatilitySurfaceDefaults.class); private static final String[] VALUE_REQUIREMENTS = new String[] { ValueRequirementNames.BLACK_VOLATILITY_SURFACE, 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 Map<String, Set<String>> _currencyPairToCurveName; //TODO duplicated in FXForwardCurveDefaults private final Map<String, Set<String>> _currencyPairToCurveCalculationMethodName; //TODO duplicated in FXForwardCurveDefaults private final Map<String, Set<String>> _currencyPairToSurfaceName; public FXBlackVolatilitySurfaceDefaults(final ComputationTargetType target, final String... defaultsPerCurrencyPair) { super(target, true); ArgumentChecker.notNull(defaultsPerCurrencyPair, "defaults per currency"); final int n = defaultsPerCurrencyPair.length; ArgumentChecker.isTrue(n % 4 == 0, "Need one forward curve name, forward curve calculation method and surface name per currency pair"); _currencyPairToCurveName = Maps.newLinkedHashMap(); _currencyPairToCurveCalculationMethodName = Maps.newLinkedHashMap(); _currencyPairToSurfaceName = Maps.newLinkedHashMap(); for (int i = 0; i < n; i += 4) { final String currencyPair = defaultsPerCurrencyPair[i]; _currencyPairToCurveName.put(currencyPair, Collections.singleton(defaultsPerCurrencyPair[i + 1])); _currencyPairToCurveCalculationMethodName.put(currencyPair, Collections.singleton(defaultsPerCurrencyPair[i + 2])); _currencyPairToSurfaceName.put(currencyPair, Collections.singleton(defaultsPerCurrencyPair[i + 3])); } } @Override public abstract boolean canApplyTo(FunctionCompilationContext context, ComputationTarget target); @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 String currencyPair = getCurrencyPair(target); switch (propertyName) { case ValuePropertyNames.CURVE: return _currencyPairToCurveName.get(currencyPair); case ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD: return _currencyPairToCurveCalculationMethodName.get(currencyPair); case ValuePropertyNames.SURFACE: return _currencyPairToSurfaceName.get(currencyPair); default: s_logger.error("Could not find default value for {} in this function", propertyName); return null; } } protected Collection<String> getAllCurrencyPairs() { return _currencyPairToCurveName.keySet(); } protected abstract String getCurrencyPair(ComputationTarget target); @Override public String getMutualExclusionGroup() { return OpenGammaFunctionExclusions.BLACK_VOLATILITY_SURFACE_DEFAULTS; } }