Package com.opengamma.core.position.impl

Examples of com.opengamma.core.position.impl.SimplePortfolioNode

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    }

    @SuppressWarnings("synthetic-access")
    @Override
    public PortfolioNode createPortfolioNode() {
      final SimplePortfolioNode node = new SimplePortfolioNode("CM Swap");
      for (final Tenor tenor : _tenors) {
        final SwapSecurity swap = createSwap(tenor);
        final ManageableTrade trade = new ManageableTrade(BigDecimal.ONE, getSecurityPersister().storeSecurity(swap), _tradeDate.toLocalDate(),
            _tradeDate.toOffsetDateTime().toOffsetTime(), ExternalId.of(Counterparty.DEFAULT_SCHEME, COUNTERPARTY));
        trade.setPremium(0.);
        trade.setPremiumCurrency(CURRENCY);
        final Position position = SimplePositionGenerator.createPositionFromTrade(trade);
        node.addPosition(position);
      }
      return node;
    }
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    }

    @SuppressWarnings("synthetic-access")
    @Override
    public PortfolioNode createPortfolioNode() {
      final SimplePortfolioNode node = new SimplePortfolioNode("CM Cap / Floor Spread");
      for (final Tenor payTenor : _payTenors) {
        for (final Tenor receiveTenor : _receiveTenors) {
          for (final Tenor maturity : _maturities) {
            for (final double strike : _strikes) {
              final CapFloorCMSSpreadSecurity cap = createCMSCapFloorSpread(payTenor, receiveTenor, maturity, strike);
              final ManageableTrade trade = new ManageableTrade(BigDecimal.ONE, getSecurityPersister().storeSecurity(cap), _tradeDate.toLocalDate(),
                  _tradeDate.toOffsetDateTime().toOffsetTime(), ExternalId.of(Counterparty.DEFAULT_SCHEME, COUNTERPARTY));
              trade.setPremium(0.);
              trade.setPremiumCurrency(CURRENCY);
              final Position position = SimplePositionGenerator.createPositionFromTrade(trade);
              node.addPosition(position);
            }
          }
        }
      }
      return node;
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      _name = name;
    }

    @Override
    public PortfolioNode createPortfolioNode() {
      final SimplePortfolioNode node = new SimplePortfolioNode(_name);
      for (int i = 0; i < _securities.length; i++) {
        final BigDecimal n = new BigDecimal(_amounts[i]);
        final GovernmentBondSecurity bond = _securities[i];
        final ZonedDateTime tradeDate = bond.getSettlementDate();
        final ManageableTrade trade = new ManageableTrade(n, getSecurityPersister().storeSecurity(bond), tradeDate.toLocalDate(),
            tradeDate.toOffsetDateTime().toOffsetTime(), ExternalId.of(Counterparty.DEFAULT_SCHEME, COUNTERPARTY));
        trade.setPremium(bond.getIssuancePrice());
        trade.setPremiumCurrency(bond.getCurrency());
        final Position position = SimplePositionGenerator.createPositionFromTrade(trade);
        node.addPosition(position);
      }
      return node;
    }
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*/
@Test(groups = TestGroup.UNIT)
public class PortfolioComparisonTest extends AbstractTest {

  public void testComparison() {
    final SimplePortfolioNode nodeA = new SimplePortfolioNode();
    nodeA.addPosition(createPosition("1", 10, createRawSecurity("1", 42), null, null, null, null));
    nodeA.addPosition(createPosition("3", 10, createRawSecurity("3", 42), null, null, null, null));
    final SimplePortfolio portfolioA = new SimplePortfolio("A", nodeA);
    final SimplePortfolioNode nodeB = new SimplePortfolioNode();
    nodeB.addPosition(createPosition("2", 10, createRawSecurity("2", 42), null, null, null, null));
    nodeB.addPosition(createPosition("3", 10, createRawSecurity("3", 42), null, null, null, null));
    final SimplePortfolio portfolioB = new SimplePortfolio("B", nodeB);
    final PortfolioComparator comparator = new PortfolioComparator(OpenGammaFudgeContext.getInstance());
    final PortfolioComparison result = comparator.compare(portfolioA, portfolioB);
    assertEquals(result.getOnlyInFirst().size(), 1);
    assertEquals(result.getOnlyInSecond().size(), 1);
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    }

    @SuppressWarnings("synthetic-access")
    @Override
    public PortfolioNode createPortfolioNode() {
      final SimplePortfolioNode node = new SimplePortfolioNode(_name);
      for (final ManageableSecurity security : _securities) {
        final ManageableTrade trade = new ManageableTrade(BigDecimal.ONE, getSecurityPersister().storeSecurity(security), _tradeDate.toLocalDate(),
            _tradeDate.toOffsetDateTime().toOffsetTime(), ExternalId.of(Counterparty.DEFAULT_SCHEME, COUNTERPARTY));
        trade.setPremium(0.);
        trade.setPremiumCurrency(CURRENCY);
        final Position position = SimplePositionGenerator.createPositionFromTrade(trade);
        node.addPosition(position);
      }
      return node;
    }
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    }

    @SuppressWarnings("synthetic-access")
    @Override
    public PortfolioNode createPortfolioNode() {
      final SimplePortfolioNode node = new SimplePortfolioNode(_name);
      for (int i = 0; i < _securities.length; i++) {
        final BigDecimal n = new BigDecimal(_amounts[i]);
        final double premium = _prices[i];
        final ManageableTrade trade = new ManageableTrade(n, getSecurityPersister().storeSecurity(_securities[i]), _tradeDate.toLocalDate(),
            _tradeDate.toOffsetDateTime().toOffsetTime(), ExternalId.of(Counterparty.DEFAULT_SCHEME, COUNTERPARTY));
        trade.setPremium(premium);
        trade.setPremiumCurrency(CURRENCY);
        final Position position = SimplePositionGenerator.createPositionFromTrade(trade);
        node.addPosition(position);
      }
      return node;
    }
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    }

    @SuppressWarnings("synthetic-access")
    @Override
    public PortfolioNode createPortfolioNode() {
      final SimplePortfolioNode node = new SimplePortfolioNode(_name);
      for (int i = 0; i < _securities.length; i++) {
        final BigDecimal n = new BigDecimal(_amounts[i]);
        final double premium = _prices[i];
        final ManageableTrade trade = new ManageableTrade(n, getSecurityPersister().storeSecurity(_securities[i]), _tradeDate.toLocalDate(),
            _tradeDate.toOffsetDateTime().toOffsetTime(), ExternalId.of(Counterparty.DEFAULT_SCHEME, COUNTERPARTY));
        trade.setPremium(premium);
        trade.setPremiumCurrency(CURRENCY);
        final Position position = SimplePositionGenerator.createPositionFromTrade(trade);
        node.addPosition(position);
      }
      return node;
    }
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public class PortfolioAggregatorTest {

  @Test(enabled = false)
  public void multipleInstancesOfSamePosition() {
    SimplePortfolio portfolio = new SimplePortfolio(id("portfolio"), "portfolio");
    SimplePortfolioNode root = new SimplePortfolioNode(id("root"), "root");
    SimplePortfolioNode node1 = new SimplePortfolioNode(id("node1"), "node1");
    SimplePortfolioNode node2 = new SimplePortfolioNode(id("node2"), "node2");
    ExternalId securityId = ExternalId.of("sec", "123");
    SimplePosition position = new SimplePosition(id("position"), BigDecimal.ONE, securityId);
    SimpleCounterparty counterparty = new SimpleCounterparty(ExternalId.of("cpty", "123"));
    SimpleSecurityLink securityLink = new SimpleSecurityLink(securityId);
    Trade trade = new SimpleTrade(securityLink, BigDecimal.ONE, counterparty, LocalDate.now(), OffsetTime.now());
    position.addTrade(trade);
    portfolio.setRootNode(root);
    node1.addPosition(position);
    node2.addPosition(position);
    root.addChildNode(node1);
    root.addChildNode(node2);

    CounterpartyAggregationFunction fn = new CounterpartyAggregationFunction();
    Portfolio aggregate = new PortfolioAggregator(fn).aggregate(portfolio);
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  }

  private PositionSource createPositionSource(final SecuritySource securities) {
    final MockPositionSource positions = new MockPositionSource();
    final SimplePortfolio portfolio = new SimplePortfolio("Test");
    final SimplePortfolioNode root = portfolio.getRootNode();
    // Portfolio node with position with a trade with an attribute
    SimplePortfolioNode node = new SimplePortfolioNode("TradeAttr");
    SimpleTrade trade = createTrade(securities);
    trade.addAttribute("Present Value.DEFAULT_ForwardCurve", "FooForward");
    trade.addAttribute("*.DEFAULT_FundingCurve", "FooFunding");
    SimplePosition position = createPosition(securities);
    position.addTrade(trade);
    node.addPosition(position);
    root.addChildNode(node);
    // Portfolio node with position with a trade without an attribute
    node = new SimplePortfolioNode("Trade");
    trade = createTrade(securities);
    position = createPosition(securities);
    position.addTrade(trade);
    node.addPosition(position);
    root.addChildNode(node);
    // Portfolio node with position with an attribute
    node = new SimplePortfolioNode("PositionAttr");
    position = createPosition(securities);
    position.addAttribute("Present Value.DEFAULT_ForwardCurve", "FooForward");
    position.addAttribute("*.DEFAULT_FundingCurve", "FooFunding");
    node.addPosition(position);
    root.addChildNode(node);
    // Portfolio node with position without an attribute
    node = new SimplePortfolioNode("Position");
    position = createPosition(securities);
    node.addPosition(position);
    root.addChildNode(node);
    portfolio.setUniqueId(UniqueId.of("Portfolio", "Test"));
    positions.addPortfolio(portfolio);
    return positions;
  }
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          s_logger.warn("Position {} not found for portfolio node {}", positionId, nodeId);
        }
      }
    }
    for (final ManageablePortfolioNode child : manNode.getChildNodes()) {
      final SimplePortfolioNode childNode = new SimplePortfolioNode();
      convertNode(child, childNode, positionCache);
      sourceNode.addChildNode(childNode);
    }
  }
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Related Classes of com.opengamma.core.position.impl.SimplePortfolioNode

  • com.opengamma.core.position.PortfolioNode
  • com.opengamma.core.position.PortfolioNodeAndPositionFudgeEncodingTest
  • com.opengamma.core.position.PortfolioNodeFudgeBuilder
  • com.opengamma.core.position.Position
  • com.opengamma.engine.function.PortfolioStructureTest
  • com.opengamma.engine.target.lazy.LazyResolvedPortfolioNode
  • com.opengamma.engine.target.MockComputationTargetResolver
  • com.opengamma.engine.view.client.NodeCheckingPortfolioFilter
  • com.opengamma.engine.view.client.NodeCheckingPortfolioFilterTest
  • com.opengamma.engine.view.client.PortfolioPermissionCheckerTest
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