com.opengamma.financial.analytics.model.curve.HardCodedHullWhiteOneFactorParametersFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.curve.HardCodedHullWhiteOneFactorParametersFunction.java

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/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.curve;

import static com.opengamma.engine.value.ValueRequirementNames.HULL_WHITE_ONE_FACTOR_PARAMETERS;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_HULL_WHITE_CURRENCY;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_HULL_WHITE_PARAMETERS;

import java.util.Collections;
import java.util.Set;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;

/**
 * Function that supplies hard-coded Hull-White one factor parameters. Used for testing only.
 */
public class HardCodedHullWhiteOneFactorParametersFunction extends AbstractFunction.NonCompiledInvoker {
    /** The name of this configuration */
    private static final String CONFIG_NAME = "Test";
    /** Hard-coded Hull-White one factor parameters */
    private static final HullWhiteOneFactorPiecewiseConstantParameters CONSTANT_PARAMETERS = new HullWhiteOneFactorPiecewiseConstantParameters(
            0.02, new double[] { 0.01 }, new double[0]);

    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
            final ComputationTarget target, final Set<ValueRequirement> desiredValues)
            throws AsynchronousExecution {
        final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(HULL_WHITE_ONE_FACTOR_PARAMETERS,
                target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, CONSTANT_PARAMETERS));
    }

    @Override
    public ComputationTargetType getTargetType() {
        return ComputationTargetType.CURRENCY;
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target) {
        final String currency = ((Currency) target.getValue()).getCode();
        final ValueProperties properties = createValueProperties().with(PROPERTY_HULL_WHITE_PARAMETERS, CONFIG_NAME)
                .with(PROPERTY_HULL_WHITE_CURRENCY, currency).get();
        return Collections.singleton(
                new ValueSpecification(HULL_WHITE_ONE_FACTOR_PARAMETERS, target.toSpecification(), properties));
    }

    @Override
    public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context,
            final ComputationTarget target, final ValueRequirement desiredValue) {
        return Collections.emptySet();
    }

}