Examples of com.opengamma.engine.view.ViewCalculationConfiguration

com.opengamma.engine.view.ViewCalculationConfiguration
The configuration for one set of calculations on a particular view.

    }
    if (ValuePropertyNames.SAMPLING_FUNCTION.equals(propertyName)) {
      return Collections.singleton(_samplingFunction);
    }
    if (ValuePropertyNames.CURRENCY.equals(propertyName)) {
      final ViewCalculationConfiguration viewCalc = context.getViewCalculationConfiguration();
      if (viewCalc == null) {
        return null;
      }
      final Set<String> defaultCurrencies = viewCalc.getDefaultProperties().getValues(ValuePropertyNames.CURRENCY);
      if (defaultCurrencies != null) {
        return defaultCurrencies;
      }
      final Currency defaultCurrency = viewCalc.getViewDefinition().getDefaultCurrency();
      if (defaultCurrency != null) {
        return Collections.singleton(defaultCurrency.getCode());
      }
      return null;
    }

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    viewDefinition.setMaxFullCalculationPeriod(30000L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMaxDeltaCalculationPeriod(30000L);


    final ViewCalculationConfiguration defaultCalc = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    addValueRequirements(defaultCalc, EquitySecurity.SECURITY_TYPE,
        new String[] {
          ValueRequirementNames.FAIR_VALUE,
          ValueRequirementNames.CAPM_BETA,
          ValueRequirementNames.HISTORICAL_VAR,

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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirementName(SwapSecurity.SECURITY_TYPE, PAR_RATE);
    // The name "Default" has no special meaning, but means that the currency conversion function can never be used and so we get the instrument's natural currency
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CurrencyConversionFunction.ORIGINAL_CURRENCY, "Default").withOptional(CurrencyConversionFunction.ORIGINAL_CURRENCY).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE, ValueProperties.with(CURRENCY, "USD").get());
    for (int i = 0; i < s_swapCurrencies.length; i++) {
      final Currency ccy = s_swapCurrencies[i];
      final String ccyCode = ccy.getCode();
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      if (ccyCode.equals("USD")) {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      } else {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
            ValueProperties.with(CURVE, "Forward6M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
            ValueProperties.with(CURVE, "Forward6M").with(ValuePropertyNames.CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      }
    }
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;

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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    final Set<Currency> ccysAdded = new HashSet<>();
    for (final UnorderedCurrencyPair pair : CURRENCY_PAIRS) {
      final ComputationTargetSpecification target = ComputationTargetSpecification.of(pair.getUniqueId());
      final ValueProperties properties = ValueProperties.builder()
          .with(SURFACE, "DEFAULT")
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)
          .get();
      defaultCalculationConfig.addSpecificRequirement(new ValueRequirement(VOLATILITY_SURFACE_DATA, target, properties));
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_QUOTE_MATRIX, properties);
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_MATRIX, properties);
      if (!ccysAdded.contains(pair.getFirstCurrency())) {
        final String ccy = pair.getFirstCurrency().getCode();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, "Discounting")
            .with(CURVE_CURRENCY, ccy)
            .get();
        defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, curveProperties);
        ccysAdded.add(pair.getFirstCurrency());
      }
      if (!ccysAdded.contains(pair.getSecondCurrency())) {
        final String ccy = pair.getSecondCurrency().getCode();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, "Discounting")
            .with(CURVE_CURRENCY, ccy)
            .get();
        defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, curveProperties);
        ccysAdded.add(pair.getSecondCurrency());
      }
    }
    final ValueProperties currencyProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }

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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    final ValueProperties currencyProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VEGA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_GAMMA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_GAMMA_P, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_RHO, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_PHI, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VOMMA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VANNA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_THETA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, SECURITY_IMPLIED_VOLATILITY, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }

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    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "DefaultThreeCurveAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;
  }

View Full Code Here

    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "ForwardFromDiscountingAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;
  }

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    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "SingleAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Single").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Single").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;
  }

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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    for (final Map.Entry<Currency, String> entry : SWAPTION_SURFACES.entrySet()) {
      final ComputationTargetSpecification target = ComputationTargetSpecification.of(entry.getKey().getUniqueId());
      final ValueProperties properties = ValueProperties.builder()
          .with(SURFACE, entry.getValue())
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_ATM)
          .get();
      defaultCalculationConfig.addSpecificRequirement(new ValueRequirement(VOLATILITY_SURFACE_DATA, target, properties));
    }
    for (final Map.Entry<Currency, Pair<String, String>> entry : SWAPTION_CURVES.entrySet()) {
      ValueProperties properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, entry.getValue().getFirst())
          .with(ValuePropertyNames.CURVE_CURRENCY, entry.getKey().getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
      properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, entry.getValue().getSecond())
          .with(ValuePropertyNames.CURVE_CURRENCY, entry.getKey().getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
    }
    final ValueProperties calculationMethodProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
        .get();
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE, calculationMethodProperty);
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, VALUE_VEGA, calculationMethodProperty);
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, SECURITY_IMPLIED_VOLATILITY, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }

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    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "DefaultTwoCurveUSDConfig";
    final ViewCalculationConfiguration noExtrapolationConfig = new ViewCalculationConfiguration(viewDefinition, "No Extrapolation");
    final ViewCalculationConfiguration rightExtrapolationConfig = new ViewCalculationConfiguration(viewDefinition, "Right Extrapolation");
    final String[] securityTypes = new String[] {CapFloorCMSSpreadSecurity.SECURITY_TYPE, CapFloorSecurity.SECURITY_TYPE, SwapSecurity.SECURITY_TYPE };
    for (final String securityType : securityTypes) {
      noExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION).get());
      noExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_ALPHA_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION).get());
      noExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_NU_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION).get());
      noExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_RHO_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION).get());
      noExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION).get());
      noExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_ALPHA_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_NU_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_RHO_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
    }
    viewDefinition.addViewCalculationConfiguration(noExtrapolationConfig);
    viewDefinition.addViewCalculationConfiguration(rightExtrapolationConfig);
    return viewDefinition;

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