com.opengamma.financial.analytics.model.equity.indexoption.EquityIndexOptionDefaultPropertiesFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.equity.indexoption.EquityIndexOptionDefaultPropertiesFunction.java

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/**
 * 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.indexoption;

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

import org.apache.commons.lang.Validate;

import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetType;
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.ircurve.YieldCurveFunction;
import com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.option.EquityBarrierOptionSecurity;
import com.opengamma.financial.security.option.EquityIndexOptionSecurity;

/**
 *
 */
public class EquityIndexOptionDefaultPropertiesFunction extends DefaultPropertyFunction {

    private final String _volSurfaceName;
    private final String _fundingCurveName;
    private final String _smileInterpolator;

    private static final String[] s_valueNames = new String[] { ValueRequirementNames.PRESENT_VALUE,
            ValueRequirementNames.VEGA_QUOTE_MATRIX, ValueRequirementNames.VALUE_VEGA,
            ValueRequirementNames.IMPLIED_VOLATILITY, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
            ValueRequirementNames.FORWARD, ValueRequirementNames.SPOT, ValueRequirementNames.VALUE_DELTA,
            ValueRequirementNames.VALUE_GAMMA, ValueRequirementNames.VALUE_VOMMA, ValueRequirementNames.VALUE_VANNA,
            ValueRequirementNames.VALUE_RHO };

    public EquityIndexOptionDefaultPropertiesFunction(final String volSurface, final String fundingCurve,
            final String smileInterpolator) {
        super(ComputationTargetType.SECURITY, true);
        Validate.notNull(volSurface, "No volSurface name was provided to use as default value.");
        Validate.notNull(fundingCurve, "No fundingCurve name was provided to use as default value.");
        _volSurfaceName = volSurface;
        _fundingCurveName = fundingCurve;
        _smileInterpolator = smileInterpolator;
    }

    @Override
    protected void getDefaults(final PropertyDefaults defaults) {
        for (final String valueName : s_valueNames) {
            defaults.addValuePropertyName(valueName, YieldCurveFunction.PROPERTY_FUNDING_CURVE);
            defaults.addValuePropertyName(valueName, ValuePropertyNames.SURFACE);
            defaults.addValuePropertyName(valueName,
                    BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SMILE_INTERPOLATOR);
        }
    }

    @Override
    protected Set<String> getDefaultValue(FunctionCompilationContext context, ComputationTarget target,
            ValueRequirement desiredValue, String propertyName) {
        if (YieldCurveFunction.PROPERTY_FUNDING_CURVE.equals(propertyName)) {
            return Collections.singleton(_fundingCurveName);
        } else if (ValuePropertyNames.SURFACE.equals(propertyName)) {
            return Collections.singleton(_volSurfaceName);
        } else if (BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SMILE_INTERPOLATOR.equals(propertyName)) {
            return Collections.singleton(_smileInterpolator);
        }
        return null;
    }

    @Override
    public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
        if (target.getType() != ComputationTargetType.SECURITY) {
            return false;
        }

        return (target.getSecurity() instanceof EquityIndexOptionSecurity)
                || target.getSecurity() instanceof EquityBarrierOptionSecurity;
    }
}