/**
* Copyright (C) 2013 - 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.Set;
import com.opengamma.core.security.Security;
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.cds.CreditDefaultSwapIndexSecurity;
import com.opengamma.financial.security.cds.LegacyCDSSecurity;
import com.opengamma.financial.security.cds.StandardCDSSecurity;
import com.opengamma.financial.security.option.CreditDefaultSwapOptionSecurity;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class CreditInstrumentCS01PnLDefaults extends DefaultPropertyFunction {
private final String _samplingPeriod;
private final String _scheduleCalculator;
private final String _samplingFunction;
public CreditInstrumentCS01PnLDefaults(final String samplingPeriod, final String scheduleCalculator, final String samplingFunction) {
super(ComputationTargetType.POSITION, true);
ArgumentChecker.notNull(samplingPeriod, "sampling period");
ArgumentChecker.notNull(scheduleCalculator, "schedule calculator");
ArgumentChecker.notNull(samplingFunction, "sampling function");
_samplingPeriod = samplingPeriod;
_scheduleCalculator = scheduleCalculator;
_samplingFunction = samplingFunction;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getPosition().getSecurity();
return security instanceof StandardCDSSecurity ||
security instanceof LegacyCDSSecurity ||
security instanceof CreditDefaultSwapOptionSecurity ||
security instanceof CreditDefaultSwapIndexSecurity;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
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);
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.PNL_SERIES;
}
}