/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.varianceswap;
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.core.security.Security;
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.analytics.model.equity.EquitySecurityUtils;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.equity.EquityVarianceSwapSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.Pair;
/**
* Defaults function for forward values for equity variance swap securities
*/
public class EquityForwardPerCurrencyDefaults extends DefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(EquityForwardPerCurrencyDefaults.class);
/** The value requirements for which these defaults are valid */
private static final String[] VALUE_REQUIREMENTS = new String[] {
ValueRequirementNames.FORWARD
};
/** The priority of these defaults */
private final PriorityClass _priority;
/** The default values */
private final Map<String, Pair<String, String>> _equityCurveConfigAndDiscountingCurveNames;
/**
* @param priority The priority of these defaults, not null
* @param equityCurveConfigAndDiscountingCurveNames The per-equity curve configuration and discounting curve names, not null
*/
public EquityForwardPerCurrencyDefaults(final String priority, final String... equityCurveConfigAndDiscountingCurveNames) {
super(FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY, true);
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(equityCurveConfigAndDiscountingCurveNames, "equity and curve config names");
final int nPairs = equityCurveConfigAndDiscountingCurveNames.length;
ArgumentChecker.isTrue(nPairs % 3 == 0, "Must have one curve config and discounting curve name per equity");
_priority = PriorityClass.valueOf(priority);
_equityCurveConfigAndDiscountingCurveNames = new HashMap<String, Pair<String, String>>();
for (int i = 0; i < equityCurveConfigAndDiscountingCurveNames.length; i += 3) {
final Pair<String, String> pair = Pair.of(equityCurveConfigAndDiscountingCurveNames[i + 1], equityCurveConfigAndDiscountingCurveNames[i + 2]);
_equityCurveConfigAndDiscountingCurveNames.put(equityCurveConfigAndDiscountingCurveNames[i], pair);
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getSecurity();
final EquityVarianceSwapSecurity varianceSwap = (EquityVarianceSwapSecurity) security;
final String underlyingEquity = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(varianceSwap);
return _equityCurveConfigAndDiscountingCurveNames.containsKey(underlyingEquity);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueRequirement : VALUE_REQUIREMENTS) {
defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE);
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 EquityVarianceSwapSecurity varianceSwap = (EquityVarianceSwapSecurity) target.getSecurity();
final String underlyingEquity = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(varianceSwap);
if (!_equityCurveConfigAndDiscountingCurveNames.containsKey(underlyingEquity)) {
s_logger.error("Could not get config for equity " + underlyingEquity + "; should never happen");
return null;
}
final Pair<String, String> pair = _equityCurveConfigAndDiscountingCurveNames.get(underlyingEquity);
if (ValuePropertyNames.CURVE.equals(propertyName)) {
return Collections.singleton(pair.getFirst());
}
if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
return Collections.singleton(pair.getSecond());
}
return null;
}
@Override
public PriorityClass getPriority() {
return _priority;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.EQUITY_VARIANCE_SWAP_DEFAULTS;
}
}