com.opengamma.financial.analytics.model.volatility.surface.black.defaultproperties.FXBlackVolatilitySurfaceDefaults.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.volatility.surface.black.defaultproperties.FXBlackVolatilitySurfaceDefaults.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.volatility.surface.black.defaultproperties;

import java.util.Collection;
import java.util.Collections;
import java.util.Map;
import java.util.Set;

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import com.google.common.collect.Maps;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.target.ComputationTargetType;
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.curve.forward.ForwardCurveValuePropertyNames;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.util.ArgumentChecker;

/**
 *
 */
public abstract class FXBlackVolatilitySurfaceDefaults extends DefaultPropertyFunction {
    private static final Logger s_logger = LoggerFactory.getLogger(FXBlackVolatilitySurfaceDefaults.class);
    private static final String[] VALUE_REQUIREMENTS = new String[] {
            ValueRequirementNames.BLACK_VOLATILITY_SURFACE, ValueRequirementNames.LOCAL_VOLATILITY_SURFACE,
            ValueRequirementNames.FORWARD_DELTA, ValueRequirementNames.DUAL_DELTA, ValueRequirementNames.DUAL_GAMMA,
            ValueRequirementNames.FORWARD_GAMMA, ValueRequirementNames.FOREX_DOMESTIC_PRICE,
            ValueRequirementNames.FOREX_PV_QUOTES, ValueRequirementNames.FORWARD_VEGA,
            ValueRequirementNames.FORWARD_VOMMA, ValueRequirementNames.FORWARD_VANNA,
            ValueRequirementNames.PRESENT_VALUE, ValueRequirementNames.FX_PRESENT_VALUE,
            ValueRequirementNames.IMPLIED_VOLATILITY, ValueRequirementNames.GRID_DUAL_DELTA,
            ValueRequirementNames.GRID_DUAL_GAMMA, ValueRequirementNames.GRID_FORWARD_DELTA,
            ValueRequirementNames.GRID_FORWARD_GAMMA, ValueRequirementNames.GRID_FORWARD_VEGA,
            ValueRequirementNames.GRID_FORWARD_VANNA, ValueRequirementNames.GRID_FORWARD_VOMMA,
            ValueRequirementNames.GRID_IMPLIED_VOLATILITY, ValueRequirementNames.GRID_PRESENT_VALUE };
    private final Map<String, String> _currencyPairToCurveName; //TODO duplicated in FXForwardCurveDefaults
    private final Map<String, String> _currencyPairToCurveCalculationMethodName; //TODO duplicated in FXForwardCurveDefaults
    private final Map<String, String> _currencyPairToSurfaceName;

    public FXBlackVolatilitySurfaceDefaults(final ComputationTargetType target,
            final String... defaultsPerCurrencyPair) {
        super(target, true);
        ArgumentChecker.notNull(defaultsPerCurrencyPair, "defaults per currency");
        final int n = defaultsPerCurrencyPair.length;
        ArgumentChecker.isTrue(n % 4 == 0,
                "Need one forward curve name, forward curve calculation method and surface name per currency pair");
        _currencyPairToCurveName = Maps.newLinkedHashMap();
        _currencyPairToCurveCalculationMethodName = Maps.newLinkedHashMap();
        _currencyPairToSurfaceName = Maps.newLinkedHashMap();
        for (int i = 0; i < n; i += 4) {
            final String currencyPair = defaultsPerCurrencyPair[i];
            _currencyPairToCurveName.put(currencyPair, defaultsPerCurrencyPair[i + 1]);
            _currencyPairToCurveCalculationMethodName.put(currencyPair, defaultsPerCurrencyPair[i + 2]);
            _currencyPairToSurfaceName.put(currencyPair, defaultsPerCurrencyPair[i + 3]);
        }
    }

    @Override
    public abstract boolean canApplyTo(FunctionCompilationContext context, ComputationTarget target);

    @Override
    protected void getDefaults(final PropertyDefaults defaults) {
        for (final String valueRequirement : VALUE_REQUIREMENTS) {
            defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE);
            defaults.addValuePropertyName(valueRequirement,
                    ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
            defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE);
        }
    }

    @Override
    protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target,
            final ValueRequirement desiredValue, final String propertyName) {
        final String currencyPair = getCurrencyPair(target);
        final String curveName = _currencyPairToCurveName.get(currencyPair);
        if (curveName == null) {
            s_logger.error("Could not get curve name for {}; should never happen", target.getValue());
            return null;
        }
        if (ValuePropertyNames.CURVE.equals(propertyName)) {
            return Collections.singleton(curveName);
        }
        if (ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD.equals(propertyName)) {
            return Collections.singleton(_currencyPairToCurveCalculationMethodName.get(currencyPair));
        }
        if (ValuePropertyNames.SURFACE.equals(propertyName)) {
            return Collections.singleton(_currencyPairToSurfaceName.get(currencyPair));
        }
        s_logger.error("Could not find default value for {} in this function", propertyName);
        return null;
    }

    protected Collection<String> getAllCurrencyPairs() {
        return _currencyPairToCurveName.keySet();
    }

    protected abstract String getCurrencyPair(ComputationTarget target);

    @Override
    public String getMutualExclusionGroup() {
        return OpenGammaFunctionExclusions.BLACK_VOLATILITY_SURFACE_DEFAULTS;
    }

}