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

Class com.opengamma.engine.view.ViewCalculationConfiguration

Examples of com.opengamma.engine.view.ViewCalculationConfiguration.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

    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());

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        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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        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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    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 (final Map.Entry<Currency, String> entry : CONFIGS_FOR_CURRENCY.entrySet()) {
      final String ccyName = entry.getKey().getCode();

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    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 (final Map.Entry<Currency, String> entry : CONFIGS_FOR_CURRENCY.entrySet()) {
      final String ccyName = entry.getKey().getCode();
      final ComputationTargetSpecification ccyTarget = ComputationTargetSpecification.of(entry.getKey());
      final Pair<String, String> curveNames = CURVES_FOR_CURRENCY.get(entry.getKey());

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      final String ccyName = entry.getKey().getCode();
      final ComputationTargetSpecification ccyTarget = ComputationTargetSpecification.of(entry.getKey());
      final Pair<String, String> curveNames = CURVES_FOR_CURRENCY.get(entry.getKey());
      final String discountingCurve = curveNames.getFirst();
      final String forwardCurve = curveNames.getSecond();
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());

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      final String discountingCurve = curveNames.getFirst();
      final String forwardCurve = curveNames.getSecond();
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ccyTarget,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CALCULATION_CONFIG, entry.getValue())
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get()));

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          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ccyTarget,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CALCULATION_CONFIG, entry.getValue())
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get()));
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());

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          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CALCULATION_CONFIG, entry.getValue())
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get()));
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ccyTarget,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CALCULATION_CONFIG, entry.getValue())
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get()));

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      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 String discountingCurve = CURVES_FOR_CURRENCY.get(pair.getFirstCurrency()).getFirst();
        final ValueProperties curveProperties = ValueProperties.builder()

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