/**
* 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.property.DefaultPropertyFunction;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public abstract class PureBlackVolatilitySurfaceDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(PureBlackVolatilitySurfaceDefaults.class);
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.PURE_VOLATILITY_SURFACE,
};
private final Map<String, String> _tickerToCurveName;
private final Map<String, String> _tickerToCurveCurrency;
private final Map<String, String> _tickerToCurveCalculationConfig;
private final Map<String, String> _tickerToSurfaceName;
public PureBlackVolatilitySurfaceDefaults(final ComputationTargetType target, final String... defaultsPerTicker) {
super(target, true);
ArgumentChecker.notNull(defaultsPerTicker, "defaults per currency");
final int n = defaultsPerTicker.length;
ArgumentChecker.isTrue(n % 5 == 0, "Need one discounting curve name, curve currency, curve calculation config name and surface name per ticker value");
_tickerToCurveName = Maps.newLinkedHashMap();
_tickerToCurveCurrency = Maps.newLinkedHashMap();
_tickerToCurveCalculationConfig = Maps.newLinkedHashMap();
_tickerToSurfaceName = Maps.newLinkedHashMap();
for (int i = 0; i < n; i += 5) {
final String ticker = defaultsPerTicker[i];
_tickerToCurveName.put(ticker, defaultsPerTicker[i + 1]);
_tickerToCurveCurrency.put(ticker, defaultsPerTicker[i + 2]);
_tickerToCurveCalculationConfig.put(ticker, defaultsPerTicker[i + 3]);
_tickerToSurfaceName.put(ticker, defaultsPerTicker[i + 4]);
}
}
@Override
public abstract boolean canApplyTo(FunctionCompilationContext context, final ComputationTarget target);
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CURRENCY);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final String ticker = getTicker(target);
final String curveName = _tickerToCurveName.get(ticker);
if (curveName == null) {
s_logger.error("Could not get curve name for {}; should never happen", target.getValue());
return null;
}
if (ValuePropertyNames.CURVE.equals(propertyName)) {
return Collections.singleton(curveName);
}
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(_tickerToCurveCalculationConfig.get(ticker));
}
if (ValuePropertyNames.CURVE_CURRENCY.equals(propertyName)) {
return Collections.singleton(_tickerToCurveCurrency.get(ticker));
}
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
return Collections.singleton(_tickerToSurfaceName.get(ticker));
}
s_logger.error("Could not find default value for {} in this function", propertyName);
return null;
}
protected Collection<String> getAllTickers() {
return _tickerToCurveName.keySet();
}
protected abstract String getTicker(ComputationTarget target);
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.EQUITY_PURE_VOLATILITY_SURFACE_DEFAULTS;
}
}