@Override
protected Set<String> getDefaultValue(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue,
final String propertyName) {
if (FXOptionBlackFunction.CALL_CURVE.equals(propertyName)) {
return Collections.singleton(_callCurveName);
}
if (FXOptionBlackFunction.PUT_CURVE.equals(propertyName)) {
return Collections.singleton(_putCurveName);
}
if (FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(_callCurveConfig);
}
if (FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(_putCurveConfig);
}
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
return Collections.singleton(_surfaceName);
}
if (InterpolatedDataProperties.X_INTERPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_interpolatorName);
}
if (InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_leftExtrapolatorName);
}
if (InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_rightExtrapolatorName);
}
if (FXDigitalCallSpreadBlackFunction.PROPERTY_CALL_SPREAD_VALUE.equals(propertyName)) {
return Collections.singleton(_callSpread);
}
if (ValuePropertyNames.SAMPLING_PERIOD.equals(propertyName)) {
return Collections.singleton(_samplingPeriod);
}
if (ValuePropertyNames.SCHEDULE_CALCULATOR.equals(propertyName)) {
return Collections.singleton(_scheduleCalculator);
}
if (ValuePropertyNames.SAMPLING_FUNCTION.equals(propertyName)) {
return Collections.singleton(_samplingFunction);
}
return null;
}
@Override
protected Set<String> getDefaultValue(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue,
final String propertyName) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
if (!(_propertyValuesByFirstCurrency.containsKey(putCurrency)
|| _propertyValuesBySecondCurrency.containsKey(putCurrency))) {
s_logger.error(
"Could not get config for put currency " + putCurrency + "; should never happen");
return null;
}
if (!(_propertyValuesByFirstCurrency.containsKey(callCurrency)
|| _propertyValuesBySecondCurrency.containsKey(callCurrency))) {
s_logger.error(
"Could not get config for call currency " + callCurrency + "; should never happen");
return null;
}
final String putCurveConfig, callCurveConfig, putCurve, callCurve;
if (_propertyValuesByFirstCurrency.containsKey(putCurrency)) {
final Pair<String, String> firstCurrencyValues =
_propertyValuesByFirstCurrency.get(putCurrency);
putCurveConfig = firstCurrencyValues.getFirst();
putCurve = firstCurrencyValues.getSecond();
final Pair<String, String> secondCurrencyValues =
_propertyValuesBySecondCurrency.get(callCurrency);
callCurveConfig = secondCurrencyValues.getFirst();
callCurve = secondCurrencyValues.getSecond();
} else {
final Pair<String, String> firstCurrencyValues =
_propertyValuesByFirstCurrency.get(callCurrency);
callCurveConfig = firstCurrencyValues.getFirst();
callCurve = firstCurrencyValues.getSecond();
final Pair<String, String> secondCurrencyValues =
_propertyValuesBySecondCurrency.get(putCurrency);
putCurveConfig = secondCurrencyValues.getFirst();
putCurve = secondCurrencyValues.getSecond();
}
if (FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(putCurveConfig);
}
if (FXOptionBlackFunction.PUT_CURVE.equals(propertyName)) {
return Collections.singleton(putCurve);
}
if (FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(callCurveConfig);
}
if (FXOptionBlackFunction.CALL_CURVE.equals(propertyName)) {
return Collections.singleton(callCurve);
}
if (InterpolatedDataProperties.X_INTERPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_interpolatorName);
}
if (InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_leftExtrapolatorName);
}
if (InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_rightExtrapolatorName);
}
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
Pair<String, String> pair = Pair.of(putCurrency, callCurrency);
if (_surfaceNameByCurrencyPair.containsKey(pair)) {
return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));
}
pair = Pair.of(callCurrency, putCurrency);
if (_surfaceNameByCurrencyPair.containsKey(pair)) {
return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));
}
}
return null;
}
