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

    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "ForwardFromDiscountingAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());

View Full Code Here

    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "ForwardFromDiscountingAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

View Full Code Here

    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        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.AUD),
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

View Full Code Here

    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "SingleAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Single").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Single").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

View Full Code Here

    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "SingleAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Single").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Single").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

View Full Code Here

      properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getFirst())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
      properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getSecond())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)

View Full Code Here

          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getFirst())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
      properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getSecond())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();

View Full Code Here

      properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getSecond())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
    }
    final ValueProperties calculationMethodProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
        .get();

View Full Code Here

          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getSecond())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
    }
    final ValueProperties calculationMethodProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
        .get();
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE, calculationMethodProperty);

View Full Code Here

      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
    }
    final ValueProperties calculationMethodProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
        .get();
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE, calculationMethodProperty);
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, VALUE_VEGA, calculationMethodProperty);
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, SECURITY_IMPLIED_VOLATILITY, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }

View Full Code Here

0 1 2 3 4 5 6 7 8 9

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.