/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.pnl;
import java.util.Collections;
import java.util.HashMap;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
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.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.option.BondFutureOptionSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Pair;
/**
*
*/
public class BondFutureOptionBlackYieldCurveNodePnLDefaults extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(BondFutureOptionBlackYieldCurveNodePnLDefaults.class);
private final String _samplingPeriod;
private final String _scheduleCalculator;
private final String _samplingFunction;
private final HashMap<String, Pair<String, String>> _currencyCurveConfigAndSurfaceNames;
public BondFutureOptionBlackYieldCurveNodePnLDefaults(final String samplingPeriod, final String scheduleCalculator, final String samplingFunction,
final String... currencyCurveConfigAndSurfaceNames) {
super(ComputationTargetType.POSITION, true);
ArgumentChecker.notNull(samplingPeriod, "sampling period");
ArgumentChecker.notNull(scheduleCalculator, "schedule calculator");
ArgumentChecker.notNull(samplingFunction, "sampling function");
ArgumentChecker.notNull(currencyCurveConfigAndSurfaceNames, "currency, curve config and surface names");
final int nPairs = currencyCurveConfigAndSurfaceNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config name per currency");
_samplingPeriod = samplingPeriod;
_scheduleCalculator = scheduleCalculator;
_samplingFunction = samplingFunction;
_currencyCurveConfigAndSurfaceNames = new HashMap<String, Pair<String, String>>();
for (int i = 0; i < currencyCurveConfigAndSurfaceNames.length; i += 3) {
final Pair<String, String> pair = Pair.of(currencyCurveConfigAndSurfaceNames[i + 1], currencyCurveConfigAndSurfaceNames[i + 2]);
_currencyCurveConfigAndSurfaceNames.put(currencyCurveConfigAndSurfaceNames[i], pair);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
if (!(target.getPositionOrTrade().getSecurity() instanceof BondFutureOptionSecurity)) {
return false;
}
final BondFutureOptionSecurity bondFutureOption = (BondFutureOptionSecurity) target.getPositionOrTrade().getSecurity();
final String currency = bondFutureOption.getCurrency().getCode();
return _currencyCurveConfigAndSurfaceNames.containsKey(currency);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SURFACE);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SAMPLING_PERIOD);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SCHEDULE_CALCULATOR);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.SAMPLING_FUNCTION);
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue,
final String propertyName) {
if (ValuePropertyNames.SAMPLING_PERIOD.equals(propertyName)) {
return Collections.singleton(_samplingPeriod);
}
if (ValuePropertyNames.SCHEDULE_CALCULATOR.equals(propertyName)) {
return Collections.singleton(_scheduleCalculator);
}
if (ValuePropertyNames.SAMPLING_FUNCTION.equals(propertyName)) {
return Collections.singleton(_samplingFunction);
}
final String currencyName = FinancialSecurityUtils.getCurrency(target.getPositionOrTrade().getSecurity()).getCode();
if (!_currencyCurveConfigAndSurfaceNames.containsKey(currencyName)) {
s_logger.error("Could not config and surface names for currency " + currencyName + "; should never happen");
return null;
}
final Pair<String, String> pair = _currencyCurveConfigAndSurfaceNames.get(currencyName);
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(pair.getFirst());
}
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
return Collections.singleton(pair.getSecond());
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.PNL_SERIES;
}
}