/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity;
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.property.DefaultPropertyFunction;
import com.opengamma.id.UniqueId;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Triple;
/**
*
*/
public class EquityForwardCurveYieldCurveImpliedPerCurrencyDefaults extends DefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(EquityForwardCurveYieldCurveImpliedPerCurrencyDefaults.class);
/** The value requirements for which these defaults apply */
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.FORWARD_CURVE,
ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA
};
/** The priority of this set of defaults */
private final PriorityClass _priority;
/** Map from currency to curve configuration, curve name and currency */
private final Map<String, Triple<String, String, String>> _perCurrencyConfig;
/**
* @param priority The priority, not null
* @param perCurrencyConfig The default values per currency, not null
*/
public EquityForwardCurveYieldCurveImpliedPerCurrencyDefaults(final String priority, final String... perCurrencyConfig) {
super(ComputationTargetType.PRIMITIVE, true); // // [PLAT-2286]: change to correct type; should this be SECURITY?
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(perCurrencyConfig, "per currency config");
final int nPairs = perCurrencyConfig.length;
ArgumentChecker.isTrue(nPairs % 4 == 0, "Must have one curve config and discounting curve name per currency");
_priority = PriorityClass.valueOf(priority);
_perCurrencyConfig = new HashMap<>();
for (int i = 0; i < perCurrencyConfig.length; i += 4) {
final Triple<String, String, String> config = Triple.of(perCurrencyConfig[i + 1], perCurrencyConfig[i + 2], perCurrencyConfig[i + 3]);
_perCurrencyConfig.put(perCurrencyConfig[i].toUpperCase(), config);
}
}
@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 _perCurrencyConfig.containsKey(currency);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CURRENCY);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.DIVIDEND_TYPE);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue,
final String propertyName) {
//TODO put back in when calculation method property is added to EquityOptionVolatilitySurfaceDataFunction
// if (!ForwardCurveValuePropertyNames.PROPERTY_YIELD_CURVE_IMPLIED_METHOD.equals(desiredValue.getConstraint(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD))) {
// return null;
// }
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;
}
final Triple<String, String, String> config = _perCurrencyConfig.get(currency);
if (ValuePropertyNames.CURVE.equals(propertyName)) {
return Collections.singleton(config.getFirst());
}
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(config.getSecond());
}
if (ValuePropertyNames.DIVIDEND_TYPE.equals(propertyName)) {
return Collections.singleton(config.getThird());
}
if (ValuePropertyNames.CURVE_CURRENCY.equals(propertyName)) {
return Collections.singleton(currency);
}
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.EQUITY_FORWARD_CURVE_DEFAULTS;
}
}