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

          ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_ALPHA_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_NU_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_RHO_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());

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          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_ALPHA_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_NU_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_RHO_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());

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          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_NU_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_RHO_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
    }
    viewDefinition.addViewCalculationConfiguration(noExtrapolationConfig);

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          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, PRESENT_VALUE_SABR_RHO_SENSITIVITY,
          ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
      rightExtrapolationConfig.addPortfolioRequirement(securityType, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).get());
    }
    viewDefinition.addViewCalculationConfiguration(noExtrapolationConfig);
    viewDefinition.addViewCalculationConfiguration(rightExtrapolationConfig);
    return viewDefinition;

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    final ViewCalculationConfiguration calculationConfig1 = new ViewCalculationConfiguration(viewDefinition, "FX Implied Curves");
    final ViewCalculationConfiguration calculationConfig2 = new ViewCalculationConfiguration(viewDefinition, "FX Forward Points");
    calculationConfig1.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, PRESENT_VALUE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
                    .with(CURRENCY, Currency.USD.getCode()).get());
    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, PRESENT_VALUE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
                    .with(CURRENCY, Currency.USD.getCode()).get());
    calculationConfig1.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING).get());
    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,

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    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, PRESENT_VALUE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
                    .with(CURRENCY, Currency.USD.getCode()).get());
    calculationConfig1.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING).get());
    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS).get());
    viewDefinition.addViewCalculationConfiguration(calculationConfig1);
    viewDefinition.addViewCalculationConfiguration(calculationConfig2);
    return viewDefinition;
  }

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  private UniqueId getPaymentViewDefinition(final Portfolio portfolio) {
    final ViewDefinition viewDefinition = new ViewDefinition(VIEW_DEFINITION_PREFIX + portfolio.getName(), portfolio.getUniqueId(), UserPrincipal.getTestUser());
    final ViewCalculationConfiguration calcConfig = new ViewCalculationConfiguration(viewDefinition, CALC_CONFIG_NAME);
    for (final String requirementName : CASH_FLOW_VALUE_NAMES) {
      for (final String securityType : getPortfolioSecurityTypes(portfolio)) {
        calcConfig.addPortfolioRequirement(securityType, requirementName, ValueProperties.none());
      }
    }
    viewDefinition.addViewCalculationConfiguration(calcConfig);
    final ConfigItem<ViewDefinition> configItem = ConfigItem.of(viewDefinition, viewDefinition.getName());
    final ConfigDocument configDoc = getUserConfigMaster().add(new ConfigDocument(configItem));

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        for (Map.Entry<String, Map<String, String[]>> config : getPortfolioRequirements().entrySet()) {
          ViewCalculationConfiguration calcConfig = getOrCreateCalcConfig(viewDefinition, config.getKey());
          for (Map.Entry<String, String[]> security : config.getValue().entrySet()) {
            for (String value : security.getValue()) {
              final Pair<String, ValueProperties> requirement = parseValueRequirement(value);
              calcConfig.addPortfolioRequirement(security.getKey(), requirement.getFirst(), requirement.getSecond());
            }
          }
        }
      }
    } else {

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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 (int i = 0; i < s_swapCurrencies.length; i++) {
      final Currency ccy = s_swapCurrencies[i];
      final String ccyCode = ccy.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 (int i = 0; i < s_swapCurrencies.length; i++) {
      final Currency ccy = s_swapCurrencies[i];
      final String ccyCode = ccy.getCode();
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());

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