Package com.opengamma.engine.view

Examples of com.opengamma.engine.view.ViewCalculationConfiguration

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    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "DefaultTwoCurveUSDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);

    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
    defaultCalConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());

    defaultCalConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE_SABR_ALPHA_NODE_SENSITIVITY,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
    defaultCalConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE_SABR_RHO_NODE_SENSITIVITY,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
    defaultCalConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE_SABR_NU_NODE_SENSITIVITY,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());

    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
    defaultCalConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
    defaultCalConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());

    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.USD),
        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.USD),
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    return viewDefinition;
  }
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    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig1 = "EUR-OIS-3M-6M";
    final String curveConfig2 = "EUR-OIS-3MFut-6M";
    final ViewCalculationConfiguration firstConfig = new ViewCalculationConfiguration(viewDefinition, "EUR-OIS-3M-6M");
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig1).get()));
    firstConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig1).get()));
    firstConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig1).get()));
    viewDefinition.addViewCalculationConfiguration(firstConfig);
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    viewDefinition.addViewCalculationConfiguration(firstConfig);
    final ViewCalculationConfiguration secondConfig = new ViewCalculationConfiguration(viewDefinition, "EUR-OIS-3MFut-6M");
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3MFut").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig2).get()));
    secondConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward3MFut").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig2).get()));
    secondConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig2).get()));
    viewDefinition.addViewCalculationConfiguration(secondConfig);
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3MFut").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    ViewCalculationConfiguration thirdConfig = new ViewCalculationConfiguration(viewDefinition, "STIR futures MtM");
    thirdConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CALCULATION_METHOD, "MarkToMarket").get());
    viewDefinition.addViewCalculationConfiguration(firstConfig);
    viewDefinition.addViewCalculationConfiguration(secondConfig);
    viewDefinition.addViewCalculationConfiguration(thirdConfig);
    return viewDefinition;
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration calculationConfig1 = new ViewCalculationConfiguration(viewDefinition, "FX Implied Curves");
    final ViewCalculationConfiguration calculationConfig2 = new ViewCalculationConfiguration(viewDefinition, "FX Forward Points");
    calculationConfig1.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, PRESENT_VALUE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
                    .with(CURRENCY, Currency.USD.getCode()).get());
    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, PRESENT_VALUE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
                    .with(CURRENCY, Currency.USD.getCode()).get());
    calculationConfig1.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING).get());
    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS).get());
    viewDefinition.addViewCalculationConfiguration(calculationConfig1);
    viewDefinition.addViewCalculationConfiguration(calculationConfig2);
    return viewDefinition;
  }
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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);
    addValueRequirements(defaultCalConfig, EquitySecurity.SECURITY_TYPE, new String[]{
      VALUE_DELTA,
      DELTA,
      GAMMA,
      THETA,
      RHO,
      VEGA
    });
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, VALUE_DELTA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, DELTA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, GAMMA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, THETA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, RHO, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, VEGA, ValueProperties.none());
    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 defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    addValueRequirements(defaultCalConfig, IndexFutureSecurity.SECURITY_TYPE, new String[]{
      PRESENT_VALUE,
      PV01,
      VALUE_DELTA,
      VALUE_RHO,
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration curvesConfig = new ViewCalculationConfiguration(viewDefinition, "Curves");
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, CLEAN_PRICE,
        ValueProperties.with(CALCULATION_METHOD, BondFunction.FROM_CURVES_METHOD).get());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, MACAULAY_DURATION,
        ValueProperties.none());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, MODIFIED_DURATION,
        ValueProperties.none());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CALCULATION_METHOD, BondFunction.FROM_CURVES_METHOD).get());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, YTM,
        ValueProperties.none());
    viewDefinition.addViewCalculationConfiguration(curvesConfig);
    return viewDefinition;
  }
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    assertEquals(res1.getProperty("Currency"), "USD");
  }

  public void testSecuritySpecific() {
    final DependencyGraphBuilder builder = createBuilder();
    final ViewCalculationConfiguration config = builder.getCompilationContext().getViewCalculationConfiguration();
    config.setDefaultProperties(ValueProperties.with("SECURITY.Present Value.DEFAULT_ForwardCurve.Security~Swap", "BarForward")
        .with("SECURITY.*.DEFAULT_FundingCurve.Security~Swap", "BarFunding").get());
    final ValueRequirement req1 = createValueRequirement(
        ComputationTargetSpecification.of(builder.getCompilationContext().getSecuritySource().getSingle(ExternalIdBundle.of(ExternalId.of("Security", "Swap")))), ValueProperties.none());
    builder.addTarget(req1);
    builder.getDependencyGraph();
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    assertEquals(res1.getProperty("Currency"), "USD");
  }

  public void testSecuritySpecificOverride() {
    final DependencyGraphBuilder builder = createBuilder();
    final ViewCalculationConfiguration config = builder.getCompilationContext().getViewCalculationConfiguration();
    config.setDefaultProperties(ValueProperties.with("SECURITY.*.DEFAULT_ForwardCurve", "GenericForward").with("SECURITY.*.DEFAULT_FundingCurve", "GenericFunding")
        .with("SECURITY.Present Value.DEFAULT_ForwardCurve.Security~Swap", "BarForward").with("SECURITY.Present Value.DEFAULT_FundingCurve.Security~Swap", "BarFunding").get());
    final ValueRequirement req1 = createValueRequirement(
        ComputationTargetSpecification.of(builder.getCompilationContext().getSecuritySource().getSingle(ExternalIdBundle.of(ExternalId.of("Security", "Swap")))), ValueProperties.none());
    builder.addTarget(req1);
    builder.getDependencyGraph();
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    assertEquals(res1.getProperty("Currency"), "USD");
  }

  public void testTradeGeneric() {
    final DependencyGraphBuilder builder = createBuilder();
    final ViewCalculationConfiguration config = builder.getCompilationContext().getViewCalculationConfiguration();
    config.setDefaultProperties(ValueProperties.with("TRADE.Present Value.DEFAULT_ForwardCurve", "BarForward").with("TRADE.*.DEFAULT_FundingCurve", "BarFunding").get());
    final PositionSource positions = builder.getCompilationContext().getPortfolioStructure().getPositionSource();
    final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none());
    final ValueRequirement req2 = createValueRequirement(ComputationTargetSpecification.of(getTrade(positions, "TradeAttr")), ValueProperties.none());
    builder.addTarget(req1);
    builder.addTarget(req2);
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    assertEquals(res2.getProperty("Currency"), "USD");
  }

  public void testTradeSpecific() {
    final DependencyGraphBuilder builder = createBuilder();
    final ViewCalculationConfiguration config = builder.getCompilationContext().getViewCalculationConfiguration();
    final PositionSource positions = builder.getCompilationContext().getPortfolioStructure().getPositionSource();
    final Trade trade1 = getTrade(positions, "TradeAttr");
    config.setDefaultProperties(ValueProperties.with("TRADE.*.DEFAULT_ForwardCurve." + trade1.getUniqueId(), "BarForward")
        .with("TRADE.Present Value.DEFAULT_FundingCurve." + trade1.getUniqueId(), "BarFunding").get());
    final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(trade1), ValueProperties.none());
    final ValueRequirement req2 = createValueRequirement(ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none());
    builder.addTarget(req1);
    builder.addTarget(req2);
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