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

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Here is the source code for com.opengamma.financial.analytics.model.volatility.surface.black.defaultproperties.PureBlackVolatilitySurfaceDefaults.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.property.DefaultPropertyFunction;
import com.opengamma.util.ArgumentChecker;

/**
 *
 */
public abstract class PureBlackVolatilitySurfaceDefaults extends DefaultPropertyFunction {
    private static final Logger s_logger = LoggerFactory.getLogger(PureBlackVolatilitySurfaceDefaults.class);
    private static final String[] VALUE_REQUIREMENTS = new String[] {
            ValueRequirementNames.PURE_VOLATILITY_SURFACE, };
    private final Map<String, String> _tickerToCurveName;
    private final Map<String, String> _tickerToCurveCurrency;
    private final Map<String, String> _tickerToCurveCalculationConfig;
    private final Map<String, String> _tickerToSurfaceName;

    public PureBlackVolatilitySurfaceDefaults(final ComputationTargetType target,
            final String... defaultsPerTicker) {
        super(target, true);
        ArgumentChecker.notNull(defaultsPerTicker, "defaults per currency");
        final int n = defaultsPerTicker.length;
        ArgumentChecker.isTrue(n % 5 == 0,
                "Need one discounting curve name, curve currency, curve calculation config name and surface name per ticker value");
        _tickerToCurveName = Maps.newLinkedHashMap();
        _tickerToCurveCurrency = Maps.newLinkedHashMap();
        _tickerToCurveCalculationConfig = Maps.newLinkedHashMap();
        _tickerToSurfaceName = Maps.newLinkedHashMap();
        for (int i = 0; i < n; i += 5) {
            final String ticker = defaultsPerTicker[i];
            _tickerToCurveName.put(ticker, defaultsPerTicker[i + 1]);
            _tickerToCurveCurrency.put(ticker, defaultsPerTicker[i + 2]);
            _tickerToCurveCalculationConfig.put(ticker, defaultsPerTicker[i + 3]);
            _tickerToSurfaceName.put(ticker, defaultsPerTicker[i + 4]);
        }
    }

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

    @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);
            defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.CURVE_CURRENCY);
            defaults.addValuePropertyName(valueRequirement, ValuePropertyNames.SURFACE);
        }
    }

    @Override
    protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target,
            final ValueRequirement desiredValue, final String propertyName) {
        final String ticker = getTicker(target);
        final String curveName = _tickerToCurveName.get(ticker);
        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 (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
            return Collections.singleton(_tickerToCurveCalculationConfig.get(ticker));
        }
        if (ValuePropertyNames.CURVE_CURRENCY.equals(propertyName)) {
            return Collections.singleton(_tickerToCurveCurrency.get(ticker));
        }
        if (ValuePropertyNames.SURFACE.equals(propertyName)) {
            return Collections.singleton(_tickerToSurfaceName.get(ticker));
        }
        s_logger.error("Could not find default value for {} in this function", propertyName);
        return null;
    }

    protected Collection<String> getAllTickers() {
        return _tickerToCurveName.keySet();
    }

    protected abstract String getTicker(ComputationTarget target);

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

}