/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.curve.forward;
import com.opengamma.core.security.Security;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.UnorderedCurrencyPair;
/**
*
*/
public class FXForwardCurveSecurityDefaults extends FXForwardCurveDefaults {
public FXForwardCurveSecurityDefaults(final String... defaultsPerCurrencyPair) {
super(FinancialSecurityTypes.FX_OPTION_SECURITY, defaultsPerCurrencyPair);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getSecurity();
final FXOptionSecurity fxOption = (FXOptionSecurity) security;
final Currency putCurrency = fxOption.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = fxOption.accept(ForexVisitors.getCallCurrencyVisitor());
final String currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency).getObjectId().getValue();
if (getAllCurrencyPairs().contains(currencyPair)) {
return true;
}
final String firstCcy = currencyPair.substring(0, 3);
final String secondCcy = currencyPair.substring(3, 6);
final String reversedCcys = secondCcy + firstCcy;
return getAllCurrencyPairs().contains(reversedCcys);
}
@Override
protected String getCurrencyPair(final ComputationTarget target) {
final FXOptionSecurity fxOption = (FXOptionSecurity) target.getSecurity();
final Currency putCurrency = fxOption.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = fxOption.accept(ForexVisitors.getCallCurrencyVisitor());
return UnorderedCurrencyPair.of(putCurrency, callCurrency).getObjectId().getValue();
}
}