/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.comparison;
import java.io.ByteArrayOutputStream;
import java.math.BigDecimal;
import java.util.Random;
import java.util.concurrent.atomic.AtomicInteger;
import org.threeten.bp.LocalDateTime;
import org.threeten.bp.ZoneId;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.core.position.Position;
import com.opengamma.core.position.Trade;
import com.opengamma.core.position.impl.SimplePosition;
import com.opengamma.core.position.impl.SimpleTrade;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.impl.SimpleSecurityLink;
import com.opengamma.financial.security.fra.FRASecurity;
import com.opengamma.financial.security.option.AmericanExerciseType;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.financial.security.option.OptionType;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.id.UniqueId;
import com.opengamma.master.security.RawSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Expiry;
/**
* Base class for portfolio comparison tests.
*/
/* package */class AbstractTest {
private final AtomicInteger _nextId = new AtomicInteger();
private final Random _rnd = new Random(0);
protected UniqueId createUniqueId(final String scheme) {
return UniqueId.of(scheme, Integer.toString(_nextId.incrementAndGet()));
}
protected ExternalId createExternalId(final String scheme) {
return ExternalId.of(scheme, Integer.toString(_nextId.incrementAndGet()));
}
protected ExternalIdBundle createExternalIdBundle() {
switch (_rnd.nextInt(3)) {
case 0:
return ExternalIdBundle.of(createExternalId("Foo"));
case 1:
return ExternalIdBundle.of(createExternalId("Bar"));
case 2:
return ExternalIdBundle.of(createExternalId("Foo"), createExternalId("Bar"));
default:
throw new IllegalStateException();
}
}
protected Trade createTrade(final int quantity, final Security security, final String attr1Value, final String attr2Value) {
final SimpleTrade trade = new SimpleTrade();
trade.setQuantity(new BigDecimal(quantity));
trade.setUniqueId(createUniqueId("Trade"));
trade.setSecurityLink(SimpleSecurityLink.ofBundleId(security));
if (attr1Value != null) {
trade.addAttribute("Attr1", attr1Value);
}
if (attr2Value != null) {
trade.addAttribute("Attr2", attr2Value);
}
return trade;
}
protected Position createPosition(final String uid, final int quantity, final Security security, final String attr1Value, final String attr2Value, final Trade trade1, final Trade trade2) {
final SimplePosition position = new SimplePosition(new BigDecimal(quantity), security.getExternalIdBundle());
position.setSecurityLink(SimpleSecurityLink.of(security));
if (attr1Value != null) {
position.addAttribute("Attr1", attr1Value);
}
if (attr2Value != null) {
position.addAttribute("Attr2", attr2Value);
}
if (trade1 != null) {
position.addTrade(trade1);
}
if (trade2 != null) {
position.addTrade(trade2);
}
position.setUniqueId(UniqueId.of("Position", uid));
return position;
}
protected Security createRawSecurity(final String name, final int data) {
final ByteArrayOutputStream baos = new ByteArrayOutputStream();
baos.write(data);
final RawSecurity security = new RawSecurity("WOSSNAME", baos.toByteArray());
security.setExternalIdBundle(createExternalIdBundle());
security.setName(name);
security.setUniqueId(createUniqueId("Security"));
return security;
}
protected Security createEquityOptionSecurity(final String name, final OptionType type, final double strike, final ExternalId underlying) {
final EquityOptionSecurity security = new EquityOptionSecurity(type, strike, Currency.USD, underlying, new AmericanExerciseType(),
new Expiry(zdt(2010, 10, 10, 12, 0, 0, 0, ZoneOffset.UTC)), 0d, "EXCH");
security.setExternalIdBundle(createExternalIdBundle());
security.setName(name);
security.setUniqueId(createUniqueId("Security"));
return security;
}
protected Security createSwaptionSecurity(final String name, final boolean isPayer, final Currency currency, final ExternalId underlying) {
final SwaptionSecurity security = new SwaptionSecurity(isPayer, underlying, false,
new Expiry(zdt(2010, 10, 10, 12, 0, 0, 0, ZoneOffset.UTC)), false, currency);
security.setExternalIdBundle(createExternalIdBundle());
security.setName(name);
security.setUniqueId(createUniqueId("Security"));
return security;
}
protected Security createFRASecurity(final String name, final Currency currency, final double rate, final ExternalId underlying) {
final ZonedDateTime startDate = zdt(2010, 10, 10, 12, 0, 0, 0, ZoneOffset.UTC);
final ZonedDateTime settlementDate = startDate.plusDays(2);
final FRASecurity security = new FRASecurity(currency, ExternalId.of("Region", "US"), startDate, zdt(2012, 10, 10, 12, 0, 0, 0,
ZoneOffset.UTC), rate, 0d, underlying, settlementDate);
security.setExternalIdBundle(createExternalIdBundle());
security.setName(name);
security.setUniqueId(createUniqueId("Security"));
return security;
}
//-------------------------------------------------------------------------
private static ZonedDateTime zdt(int y, int m, int d, int hr, int min, int sec, int nanos, ZoneId zone) {
return LocalDateTime.of(y, m, d, hr, min, sec, nanos).atZone(zone);
}
}