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

          .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()
            .with(CURVE, discountingCurve)

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

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        final String discountingCurve = CURVES_FOR_CURRENCY.get(pair.getSecondCurrency()).getFirst();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, discountingCurve)
            .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")

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      }
    }
    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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    }
    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;
  }


  private ViewDefinition getFXOptionGreeksViewDefinition(final String portfolioName, final String viewName) {

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        .get();
    final ValueProperties currencyPropertyWithScale = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .with(ValuePropertyNames.SCALE, "1")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VEGA, currencyPropertyWithScale);
    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);

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    final ValueProperties currencyPropertyWithScale = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .with(ValuePropertyNames.SCALE, "1")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VEGA, currencyPropertyWithScale);
    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);

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        .with(ValuePropertyNames.CURRENCY, "USD")
        .with(ValuePropertyNames.SCALE, "1")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VEGA, currencyPropertyWithScale);
    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);

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        .with(ValuePropertyNames.SCALE, "1")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VEGA, currencyPropertyWithScale);
    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);

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        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VEGA, currencyPropertyWithScale);
    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);

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