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

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Here is the source code for com.opengamma.financial.analytics.model.equity.indexoption.EquityIndexVanillaBarrierOptionDefaultPropertiesFunction.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.property.DefaultPropertyFunction;
import com.opengamma.financial.security.option.EquityBarrierOptionSecurity;

/**
 * Default properties to define the choices of overhedge (shift of strike)
 * and smoothing (width of ramp created by pricing binary as call or put spread)
 */
public class EquityIndexVanillaBarrierOptionDefaultPropertiesFunction extends DefaultPropertyFunction {

    private final String _callSpreadFullWidth;
    private final String _barrierOverhedge;

    private static final String[] s_valueNames = new String[] { ValueRequirementNames.PRESENT_VALUE,
            ValueRequirementNames.FORWARD, ValueRequirementNames.SPOT, 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 EquityIndexVanillaBarrierOptionDefaultPropertiesFunction(final String barrierOverhedge,
            final String callSpreadFullWidth) {
        super(ComputationTargetType.SECURITY, true);
        Validate.notNull(barrierOverhedge, "No barrierOverhedge name was provided to use as default value.");
        Validate.notNull(callSpreadFullWidth, "No callSpreadFullWidth name was provided to use as default value.");
        _barrierOverhedge = barrierOverhedge;
        _callSpreadFullWidth = callSpreadFullWidth;
    }

    @Override
    protected void getDefaults(PropertyDefaults defaults) {
        for (final String valueName : s_valueNames) {
            defaults.addValuePropertyName(valueName, ValuePropertyNames.BINARY_OVERHEDGE);
            defaults.addValuePropertyName(valueName, ValuePropertyNames.BINARY_SMOOTHING_FULLWIDTH);
        }
    }

    @Override
    protected Set<String> getDefaultValue(FunctionCompilationContext context, ComputationTarget target,
            ValueRequirement desiredValue, String propertyName) {
        if (ValuePropertyNames.BINARY_OVERHEDGE.equals(propertyName)) {
            return Collections.singleton(_barrierOverhedge);
        } else if (ValuePropertyNames.BINARY_SMOOTHING_FULLWIDTH.equals(propertyName)) {
            return Collections.singleton(_callSpreadFullWidth);
        }
        return null;
    }

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

}