/**
* 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.Arrays;
import java.util.Collections;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
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.analytics.fixedincome.InterestRateInstrumentType;
import com.opengamma.financial.analytics.ircurve.YieldCurveFunction;
import com.opengamma.financial.analytics.model.forex.FXUtils;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.util.ArgumentChecker;
/**
* @deprecated Use the version that does not refer to funding or forward curves
* @see YieldCurveNodePnLDefaults
*/
@Deprecated
public class YieldCurveNodeSensitivityPnLDefaultsDeprecated extends DefaultPropertyFunction {
private final String _forwardCurveName;
private final String _fundingCurveName;
private final String _curveCalculationMethod;
private final String _samplingPeriod;
private final String _scheduleCalculator;
private final String _samplingFunction;
private final String[] _applicableCurrencies;
public YieldCurveNodeSensitivityPnLDefaultsDeprecated(final String forwardCurveName, final String fundingCurveName, final String curveCalculationMethod,
final String samplingPeriod, final String scheduleCalculator, final String samplingFunction, final String... applicableCurrencies) {
super(ComputationTargetType.POSITION, true);
ArgumentChecker.notNull(forwardCurveName, "forward curve name");
ArgumentChecker.notNull(fundingCurveName, "funding curve name");
ArgumentChecker.notNull(curveCalculationMethod, "curve calculation method");
ArgumentChecker.notNull(samplingPeriod, "sampling period");
ArgumentChecker.notNull(scheduleCalculator, "schedule calculator");
ArgumentChecker.notNull(samplingFunction, "sampling function");
ArgumentChecker.notNull(applicableCurrencies, "applicable currencies");
_forwardCurveName = forwardCurveName;
_fundingCurveName = fundingCurveName;
_curveCalculationMethod = curveCalculationMethod;
_samplingPeriod = samplingPeriod;
_scheduleCalculator = scheduleCalculator;
_samplingFunction = samplingFunction;
_applicableCurrencies = applicableCurrencies;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getPositionOrTrade().getSecurity();
if (!(security instanceof FinancialSecurity)) {
return false;
}
if (FXUtils.isFXSecurity(security)) {
return false;
}
if (security instanceof SwapSecurity) {
try {
final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity((SwapSecurity) security);
if (type != InterestRateInstrumentType.SWAP_FIXED_IBOR && type != InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD && type != InterestRateInstrumentType.SWAP_IBOR_IBOR) {
return false;
}
} catch (final OpenGammaRuntimeException ogre) {
return false;
}
}
if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((FinancialSecurity) security)) {
return false;
}
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
if (Arrays.binarySearch(_applicableCurrencies, currency) < 0) {
return false;
}
return true;
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, YieldCurveFunction.PROPERTY_FORWARD_CURVE);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, YieldCurveFunction.PROPERTY_FUNDING_CURVE);
defaults.addValuePropertyName(ValueRequirementNames.PNL_SERIES, ValuePropertyNames.CURVE_CALCULATION_METHOD);
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 (YieldCurveFunction.PROPERTY_FORWARD_CURVE.equals(propertyName)) {
return Collections.singleton(_forwardCurveName);
}
if (YieldCurveFunction.PROPERTY_FUNDING_CURVE.equals(propertyName)) {
return Collections.singleton(_fundingCurveName);
}
if (ValuePropertyNames.CURVE_CALCULATION_METHOD.equals(propertyName)) {
return Collections.singleton(_curveCalculationMethod);
}
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;
}
}