/**
* @param priority The priority, not null
* @param defaultArray The default values, not null: currency,
*/
public EquityForwardCurveYieldCurveImpliedDefaults(
final String priority, final String... defaultArray) {
super(
ComputationTargetType.PRIMITIVE,
true); // // [PLAT-2286]: change to correct type; should this be SECURITY?
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(defaultArray, "per currency config");
final int n = defaultArray.length;
ArgumentChecker.isTrue(
n == 4, "Must have 4 defaults: currency, curve, curve config, dividend type");
_priority = PriorityClass.valueOf(priority);
_currency = defaultArray[0];
_curveName = defaultArray[1];
_curveCalculationConfig = defaultArray[2];
_dividendType = defaultArray[3];
ArgumentChecker.isTrue(
_dividendType.equals(ValuePropertyNames.DIVIDEND_TYPE_CONTINUOUS)
|| _dividendType.equals(ValuePropertyNames.DIVIDEND_TYPE_DISCRETE),
"4th String in defaultArray must be either Discrete or Continuous");
}
/**
* @param priority The priority of the functions
* @param interpolatorName The volatility surface interpolator name
* @param leftExtrapolatorName The volatility surface left extrapolator name
* @param rightExtrapolatorName The volatility surface right extrapolator name
* @param propertyValuesByCurrencies Values for the properties per currency: an array of strings
* where the <i>i<sup>th</sup></i> currency has properties:
* <ul>
* <li><i>i</i> = first currency name,
* <li><i>i + 1</i> = first currency curve configuration name
* <li><i>i + 2</i> = first currency discounting curve name
* <li><i>i + 3</i> = second currency name,
* <li><i>i + 4</i> = second currency curve configuration name
* <li><i>i + 5</i> = second currency discounting curve name
* <li><i>i + 6</i> = surface name
* </ul>
*/
public FXOptionBlackDefaults(
final String priority,
final String interpolatorName,
final String leftExtrapolatorName,
final String rightExtrapolatorName,
final String... propertyValuesByCurrencies) {
super(ComputationTargetType.SECURITY, true);
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(interpolatorName, "interpolator name");
ArgumentChecker.notNull(leftExtrapolatorName, "left extrapolator name");
ArgumentChecker.notNull(rightExtrapolatorName, "right extrapolator name");
ArgumentChecker.notNull(propertyValuesByCurrencies, "property values by currency");
ArgumentChecker.isTrue(
propertyValuesByCurrencies.length % 7 == 0,
"Must have two currencies, one curve config and discounting curve name per currency pair and one surface name");
_priority = PriorityClass.valueOf(priority);
_interpolatorName = interpolatorName;
_leftExtrapolatorName = leftExtrapolatorName;
_rightExtrapolatorName = rightExtrapolatorName;
_propertyValuesByFirstCurrency = new HashMap<String, Pair<String, String>>();
_propertyValuesBySecondCurrency = new HashMap<String, Pair<String, String>>();
_surfaceNameByCurrencyPair = new HashMap<Pair<String, String>, String>();
for (int i = 0; i < propertyValuesByCurrencies.length; i += 7) {
final String firstCurrency = propertyValuesByCurrencies[i];
final Pair<String, String> firstCurrencyValues =
Pair.of(propertyValuesByCurrencies[i + 1], propertyValuesByCurrencies[i + 2]);
final String secondCurrency = propertyValuesByCurrencies[i + 3];
ArgumentChecker.isFalse(
firstCurrency.equals(secondCurrency),
"The two currencies must not be equal; have {} and {}",
firstCurrency,
secondCurrency);
final Pair<String, String> secondCurrencyValues =
Pair.of(propertyValuesByCurrencies[i + 4], propertyValuesByCurrencies[i + 5]);
final String surfaceName = propertyValuesByCurrencies[i + 6];
_propertyValuesByFirstCurrency.put(firstCurrency, firstCurrencyValues);
_propertyValuesBySecondCurrency.put(secondCurrency, secondCurrencyValues);
_surfaceNameByCurrencyPair.put(Pair.of(firstCurrency, secondCurrency), surfaceName);
}
}
public StandardVanillaCDSBucketedCS01Defaults(
final String priority, final String... perCurrencyDefaults) {
super(
FinancialSecurityTypes.STANDARD_VANILLA_CDS_SECURITY
.or(FinancialSecurityTypes.LEGACY_VANILLA_CDS_SECURITY)
.or(FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_OPTION_SECURITY)
.or(FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_INDEX_SECURITY),
true);
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(perCurrencyDefaults, "per currency defaults");
ArgumentChecker.isTrue(
perCurrencyDefaults.length % 3 == 0,
"Must have one spread curve bump, spread bump type and price type per currency");
_priority = PriorityClass.valueOf(priority);
_currencyToSpreadCurveBump = new HashMap<>();
_currencyToSpreadBumpType = new HashMap<>();
for (int i = 0; i < perCurrencyDefaults.length; i += 3) {
final String currency = perCurrencyDefaults[i];
_currencyToSpreadCurveBump.put(currency, perCurrencyDefaults[i + 1]);
_currencyToSpreadBumpType.put(currency, perCurrencyDefaults[i + 2]);
}
}