List of addPortfolioRequirement() Examples

Examples of addPortfolioRequirement()

com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()
Adds a required portfolio output for the given security type. This is an output produced at the position and aggregate position level, with respect to the reference portfolio. @param securityType the type of security for which the output should be produced, not null @param requiredOutput an output name, not null @param constraints constraints on the requirement, not null

Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

    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());

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

    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());

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

    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()));

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

        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()));

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

//        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());

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

//        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());

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

    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()));

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

        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()));

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

    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());

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Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

    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());

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