/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.swaption.basicblack;
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.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
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.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.util.ArgumentChecker;
/**
* Default properties function for swaptions that are to be priced using the basic Black method.
* @deprecated The functions for which these default properties apply are deprecated.
*/
@Deprecated
public class SwaptionBasicBlackDefaultPropertiesFunction extends DefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(SwaptionBasicBlackDefaultPropertiesFunction.class);
/** The requirements for which these defaults apply */
private static final String[] s_valueRequirements = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.VALUE_VEGA,
ValueRequirementNames.PV01,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.SECURITY_IMPLIED_VOLATILITY,
};
/** A map of currency to default curve calculation configuration names */
private final Map<String, String> _currencyAndCurveConfigNames;
/**
* @param currencyAndCurveConfigNames A list of alternating currency and curve calculation configuration names, not null
*/
public SwaptionBasicBlackDefaultPropertiesFunction(final String... currencyAndCurveConfigNames) {
super(FinancialSecurityTypes.SWAPTION_SECURITY, true);
ArgumentChecker.notNull(currencyAndCurveConfigNames, "currency and curve config names");
final int nPairs = currencyAndCurveConfigNames.length;
ArgumentChecker.isTrue(nPairs % 2 == 0, "Must have one curve config name per currency");
_currencyAndCurveConfigNames = new HashMap<>();
for (int i = 0; i < currencyAndCurveConfigNames.length; i += 2) {
_currencyAndCurveConfigNames.put(currencyAndCurveConfigNames[i], currencyAndCurveConfigNames[i + 1]);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final SwaptionSecurity swaption = (SwaptionSecurity) target.getSecurity();
final String currencyName = FinancialSecurityUtils.getCurrency(swaption).getCode();
return _currencyAndCurveConfigNames.containsKey(currencyName);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : s_valueRequirements) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
}
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final String currencyName = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
if (!_currencyAndCurveConfigNames.containsKey(currencyName)) {
s_logger.error("Could not config and surface names for currency " + currencyName + "; should never happen");
return null;
}
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(_currencyAndCurveConfigNames.get(currencyName));
}
return null;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.SWAPTION_BASIC_BLACK_DEFAULTS;
}
}