@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = new HashSet<>();
final ValueProperties constraints = desiredValue.getConstraints();
// curve
final String curveName = constraints.getStrictValue(ValuePropertyNames.CURVE);
if (curveName == null) {
return null;
}
// interpolator
final String interpolatorName =
constraints.getStrictValue(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR);
if (interpolatorName == null) {
return null;
}
// interpolator left extrapolator
final String leftExtrapolatorName =
constraints.getStrictValue(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
if (leftExtrapolatorName == null) {
return null;
}
// interpolator right extrapolator
final String rightExtrapolatorName =
constraints.getStrictValue(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
if (rightExtrapolatorName == null) {
return null;
}
final ValueProperties futureCurveProperties =
ValueProperties.builder()
.with(
InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE,
InstrumentTypeProperties.EQUITY_FUTURE_PRICE)
.with(ValuePropertyNames.CURVE, curveName)
.get();
requirements.add(
new ValueRequirement(
ValueRequirementNames.FUTURE_PRICE_CURVE_DATA,
target.toSpecification(),
futureCurveProperties));
return requirements;
}
