/**
* 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.black;
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;
import com.opengamma.util.tuple.Pair;
/**
*
*/
public class SwaptionBlackDefaultPropertiesFunction extends DefaultPropertyFunction {
private static final Logger s_logger = LoggerFactory.getLogger(SwaptionBlackDefaultPropertiesFunction.class);
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,
ValueRequirementNames.DELTA,
ValueRequirementNames.FORWARD_DELTA,
ValueRequirementNames.GAMMA,
ValueRequirementNames.FORWARD_GAMMA,
ValueRequirementNames.THETA,
ValueRequirementNames.DRIFTLESS_THETA,
ValueRequirementNames.VEGA,
ValueRequirementNames.FORWARD_VEGA
};
private final Map<String, Pair<String, String>> _currencyCurveConfigAndSurfaceNames;
public SwaptionBlackDefaultPropertiesFunction(final String... currencyCurveConfigAndSurfaceNames) {
super(FinancialSecurityTypes.SWAPTION_SECURITY, true);
ArgumentChecker.notNull(currencyCurveConfigAndSurfaceNames, "currency, curve config and surface names");
final int nPairs = currencyCurveConfigAndSurfaceNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and surface name per currency");
_currencyCurveConfigAndSurfaceNames = new HashMap<>();
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) {
final SwaptionSecurity swaption = (SwaptionSecurity) target.getSecurity();
final String currencyName = FinancialSecurityUtils.getCurrency(swaption).getCode();
return _currencyCurveConfigAndSurfaceNames.containsKey(currencyName);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : s_valueRequirements) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_CONFIG);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE);
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CALCULATION_METHOD);
}
}
@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 (!_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.SWAPTION_BLACK_DEFAULTS;
}
}